38900 THEORY OF FINANCIAL DECISIONS I (Fama)
This course is concerned with models for portfolio decisions by investors and the pricing of securities in capital markets. The material is covered in a rigorous analytical manner, although formal technical requirements are minimal. The reading list is extensive. The expectation is that the average student spends 15+ hours per week on the course, outside of class. Grades are based on weekly take-home exam questions, about five problem sets, and a term paper. Class participation (I cold call) is also used to determine grades. Cannot be taken pass/fail or audited. Written proof of permission from the Instructor to enroll in this class is required at the time of registration. Note that the first class session will meet on Saturday, Sept. 26, 2009 at 9:00 am. Attendance at the first class is mandatory.
This course is intended for (i) first-year Booth Ph.D. students with no finance and (at best) undergraduate economics and statistics backgrounds, and (ii) second-year MBA students with rather minimal economics and statistics backgrounds. Students with stronger backgrounds in economics and statistics are likely to find the pace of the course, and the exam and problem set requirements, somewhat tedious. Such students are better served by the Booth Ph.D. Asset Pricing courses offered by Cochrane, Constantinides, and Heaton. (=BUSF 35901)
39001 THEORY OF FINANCIAL DECISIONS II (Diamond / Rajan / Sufi)
This course provides a theoretical and empirical treatment of major topics in corporate finance, including: capital structure and financial contracting; investment decisions; bankruptcy; and the market for corporate control. The course is designed for Ph.D. students interested in corporate finance. Grades will be based on problem sets, referee reports, and a final examination. PQ: ECON 38900/ BUSF 35901. (=BUSF 35902)
39100 ASSET PRICING (Koijen)
This is the first course in the Ph.D. asset pricing sequence. We will march through the book Asset Pricing as far as possible. Main topics will be: 1) Discount factors and the consumption-based asset pricing model; 2) Mean-variance analysis; 3) Linear factor pricing models CAPM, ICAPM, APT; 4) GMM and regression based tests of asset pricing models; 5) Term structure of interest rates; 6) Black-Scholes and its extensions; 7) Empirical survey: Equity premium, volatility, predictability, and multiple factors; 8) New utility functions; 9) Portfolio theory. (=BUSF 35904)
39200 TOPICS IN EMPIRICAL FINANCE (Cochrane)
This course follows the theoretical development of ECON 39100/ BUSF 35904, focusing on current empirical work in finance. Topics will include stock, bond and foreign exchange return predictability and present value relations, macro-finance and consumption-based approaches to understanding risk premiums, liquidity and trading effects, and dynamic portfolio theory.
See the class website for detailed course outline, reading list, and other important information.
http://faculty.chicagobooth.edu/ ... ical_Asset_Pricing/ PQ: Students should have some Ph.D. level background in macroeconomics, finance, and time-series econometrics. The course is designed for students who have taken ECON 39100/ BUSF 35904 and ECON 38900/ BUSF 35901. (=BUSF 35905)
39400 THEORY OF FINANCIAL DECISIONS III (Diamond / Zingales)
We plan to cover three broad topics in this course: (1) theory of the firm; (2) the development of financial markets and its effects on real markets; and (3) financial intermediaries. We will start by trying to understand why firms exist. This will naturally lead on to questions about their organizational and control structures and about the way they are financed. Financial intermediaries play a key role in financing and we will attempt to understand why they are useful. Among the topics we will examine are the effects of financial contracts and intermediaries on incentives, commitment, and the liquidity of markets and the chance of a financial crisis.
This course is intended for Ph.D. students and advanced M.B.A. students who have a substantial understanding of formal economics and some basic game theory. Grades will be based on problem sets, referee reports and a final examination. PQ: ECON 39001/ BUSF 35902. A solid background in advanced microeconomics is highly recommended. (=BUSF 35903)
39600 TOPICS IN ASSET PRICING (Hansen / Heaton)
This course covers topics in the area of dynamic asset pricing, including standard complete market models, incomplete markets, portfolio constraints and transaction costs, learning and uncertainty, asymmetric information and other recent developments such as non-time additive preferences. The course will also cover selected topics in the area of derivative pricing and term structure models. (=BUSF 35907)
40101 ADVANCED INDUSTRIAL ORGANIZATION I (Syverson)
40201 ADVANCED INDUSTRIAL ORGANIZATION II (Hortaçsu)
This two-quarter sequence is part of the Industrial Organization Specialized Field taught jointly at the Ph.D. level in the Department of Economics and the Booth School of Business. Topics include modeling consumer demand, production function estimation, static and dynamic models of imperfect competition, pricing strategies, theory of the firm, auctions and market design. Recent theoretical and empirical approaches are emphasized. PQ: Solid background in first year Ph.D. level microeconomics and econometrics, e.g., ECON 30100, 30200, or 30300 and ECON 31000, 31100, or 31200. (=BUSF 33921, 33922),
40301 ADVANCED INDUSTRIAL ORGANIZATION III (Carlton)
This course will complement the other courses in the Ph.D. sequence for industrial organization and will focus on topics closely related to antitrust economics and regulation. Topics will include optimal price discrimination, bundling, tie in sales, price fixing, two sided markets including credit cards, the theory of optimal regulation, and the empirical facts of regulation. The course is primarily for PhDs in economics and business, but advanced law students interested in antitrust and regulation plus advanced and interested MBAs are welcome. (=BUSF 33923)
40401 ADVANCED INDUSTRIAL ORGANIZATION IV (Fox)
This course covers modern empirical work in industrial organization, with a particular focus on structural estimation of parameters in economic models of consumer and firm behavior. This course counts as one of the three needed to complete the field. There are no prerequisites for this course. (=BUSF 33925)
41001 BEHAVIORAL ECONOMICS (Kamenica / Thaler)
This is a research class aimed at Ph.D. students in economics, psychology, or related disciplines. Traditional economic theory is based on standard working assumptions which include unlimited rationality and complete self-control. Behavioral economics considers what happens in economic contexts when these working assumptions are modified to incorporate more realistic conceptions of human behavior. The role of markets is central to this study. We carefully consider conditions under which rationality of participants influences market outcomes. However, financial markets are not covered in detail, and this is not a finance class. Students will be asked to write frequent short papers and a more substantial research paper. The research paper is due in March, 2010 to give students time to undertake a serious paper. There will be one course meeting during the Spring quarter, on a date to be arranged, where these papers will be presented. (=BUSF 38912)
41100 EXPERIMENTAL ECONOMICS (List)
This course will provide the student with the necessary tools to be an avid consumer of the experimental literature and eventually a producer of the literature. These issues will be discussed through evaluation of both outstanding papers in the literature, and papers that fail to achieve their full potential. Thus, it will provide a summary of recent experimental findings and detail how to gather and analyze data using experimental methods. Students will be expected to carry out their own original empirical research to meet the course requirements.
41800 NUMERICAL METHODS IN ECONOMICS (Judd)
This course introduces a broad range of numerical methods, and then uses them to compute equilibrium in economic models and related econometric estimators. We will study examples of computational techniques in the current economic literature as well as discuss areas of economic analysis where numerical analysis may be useful in future research of dynamic economic problems. Applications will include solution of dynamic stochastic general equilibrium models, life-cycle dynamic programming problems, optimal taxation, nonlinear pricing, Nash equilibrium of dynamic games, and estimation of structural models.
42100 AN INTRODUCTION TO DOING EMPIRICAL MICROECONOMIC RESEARCH (Levitt)
This course is designed to give students early in their graduate careers exposure to carrying out their own empirical micro-focused research. Attention will be paid to every step in the process: idea generation, the use of data, identifying the right tools to answer the question at hand, testing hypotheses, making arguments convincing, etc. These issues will be discussed through evaluation of both outstanding papers in the literature, and papers that fail to achieve their full potential. Students will be expected to carry out their own original empirical research to meet the course requirements.