Financial Theory

Syllabus

First Part

• Efficient Information and Predictability of Prices : 

  • Fama (2013) “Two Pillars of Asset Pricing”, Nobel Prize Lecture. 

  • Bailey (2005). Cap. 1,3

  • Schwert (2003), "Anomalies and market efficiency", Handbook of Economics and Finance, Volume 1, Part B, Capt. 15.

  • Harvey and Liu (2019) "A Census on the Factor Zoo."

  • Feng, Giglio, and Xiu (2020) "Taming the Factor Zoo: A Test of New Factors", The Journal of Finance, 75(3),  1327-1370

  • Phillips, Shi, and Yu, J. (2015), "TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL-TIME DETECTORS". International Economic Review, 56, 1079-1134. 

• Measures of Financial Risk and Risk and Return Relationship: 

  • Tsay (2010). Cap. 1

  • McNeil, Frey, y Embrechts (2005). Capt 1 - 2

  • Cochrane (2005) Capt. 1 and 4

  • Campbell (2000), "Asset Pricing at the Millennium". The Journal of Finance, 55: 1515-1567

  • Cochrane (2011), "Presidential Address: Discount Rates". The Journal of Finance, 66: 1047-1108

• Stylized Facts of Financial Time Series

  • McNeil, Frey, y Embrechts (2005)  Capt. 4.1

  • Cont (2001). "Empirical properties of asset returns: stylized facts and statistical issues". Quantitative finance, 1(2), 223.

Second Part

• Portfolio Theory: 

  • Berk y DeMarzo (2014) Third Edition. Corporate Finance.  Cap 10 -11.

  • Bailey (2005),  Cap. 5, 6, and 9

  • Cochrane (2005), Capt 5 and 9

• Capital Structure Theory:

  • Eckbo (2009), Vol 2, Cap. 10-13

  • Berk y DeMarzo (2014) Third Edition. Corporate Finance. Cap 12, 14, 15, and 16

Third Part

• Option Theory

  • Berk and DeMarzo (2014) Third Edition. Corporate Finance. Cap 20 and 21

  • Bailey (2005). Cap. 18-20

  • Hull (2023) "Options, Futures, and other derivatives", 11th Edition, Cap.  10, 11, and 15 (19 Optional to time)

• Climate Finance

  • Giglio, Kelly, and Stroebel (2021) “Climate Finance”, The Annual Review of Financial Economics, 13, 15-36

  • Hong, Li, and Xu (2019) “Climate risks and Market Efficiency”, Journal of Econometrics, 208 (1), 265-281.

  • Bolton y Kacperczyk (2020) “Do Investors Care about Carbon Risk”, NBER Working Paper, 26968

  • Engle et al (2020) “Hedging Climate change News”, Review of Financial Studies, 33 (3), 1184-1216

  • Stroebel and Wurgler (2021) "What do you think about climate finance?" Journal of Financial Economics, 142 (2), 487-498

  • Giglio, Maggiori, Stroebel, Tan, Utkus, and Xu (2025) "Four facts about ESG beliefs and investor portfolios"Journal of Financial Economics,  164, 103984