Course Announcements

Course Outline

Discussion assignments

Homework #1, Due 4/12/2012

Homework #2, Due 4/19/2012

Homework #3, Due 5/3/2012

Homework #4, Due 5/24/2012

Homework #5, Due 5/24/2012

Homework #6, Due 5/31/2012

Course Grades


Lecture Notes on "A Critique of the Asset Pricing Theory's Tests" [PDF file]

Lecture Notes on "Value and Momentum Everywhere" [PDF file]

Lecture Notes on "Size, Value, and Momentum in International Stock Returns" [PDF file]

Lecture Notes on "Commonality in Liquidity" [PDF file]

Lecture Notes on "Financial Markets and the Real Economy" [PDF file]

Lecture Notes on "A Consumption-Based Explanation of Aggregate Stock Market Behavior" [PDF file]

Lecture Notes on "Consumption, Aggregate Wealth, and Expected Stock Returns" [PowerPoint file]

Lecture Notes on "Measuring Default Risk Premia from Default Swap Rates and EDFs" [PDF file]

Lecture Notes on "The conditional CAPM does not explain asset-pricing anomalies" [PDF file]

Lecture Notes on "Risks for the Long Run" [PDF file]

Inflation & Interest Rates

Integrated Moving Average Models Lecture Notes on Hamilton's Regime-switching Model [PDF file]

Lecture Notes on Fama-French Anomalies JFin paper [PDF file]

Lecture Notes on GARCH models[PDF file]


Ken French's Data Library


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Last Updated on 5/15/2012