Hippo takes advanced investments. (Art by Eric Fama Cochrane)Prof. John Cochrane
Hippo takes advanced investments. (Art by Eric Fama Cochrane)Welcome to the 35150 web page. You’ll find documents, programs, announcements and hints here. This is the main webpage, everything else links from here.
Last update: 2/9/2012 -- click refresh to make sure you have the latest. The syllabus is updated for the Winter 2012 season. The first problem set is up and ready to go.
Announcements
Lecture notes and overheads
Problem sets
Links, hints and extras
Outline and course policies and lots of other information Read before the first class.
IMPORTANT: Reading list and sylllabus. NOTE: I may change the list of readings from what appears in the packet. This is the official reading list and syllabus. LOOK HERE to see what you're supposed to read each week. There is a first week reading assignment.
Matlab training session. Matlab is coming to town! I strongly encourage you to take this short training session -- it will make the class much easier. Veronesi, Moskowitz, Pastor, Birge and Russell also will use matlab, so it's worth taking even if you're still shopping for 35150. Wednesday, November 16, Matlab, Harper Center room C05, 5 pm Please register.
Matlab tutorial Matlab has a nice online tutorial here. Kevin Sheppard's Matlab Notes are excellent.
Asset Pricing is no longer a required textbook. The extracts will be available in the packet/on the website. Of course, I'm delighted if you want to buy the whole thing!
TAs: Vuk Talijian vtalijan@chicagobooth.edu, Yoshio Nozawa ynozawa@chicagobooth.edu
Class: Campus: F 1:30 PM-4:30 PM C03, Downtown: Sat 9:00 AM-12 PM
Note: If you are registered for one section, you are welcome to attend the other so long as seats are available.
35150-01 |
Cochrane |
Tuesdays (except 3/13) |
5:00 pm – 6:00 pm |
Harper Center – C02 |
35150-85 |
Cochrane |
Wednesdays (except 2/29 & 3/7) |
4:30 pm – 5:30 pm |
Gleacher Center – 204 |
Exam: As per official Booth schedule, campus F 3-6 PM, Gleacher Sat 9-12 AM
Note: you must take the exam at this, the scheduled time. Don’t make plans that conflict with the final! Yes, I know it's the last day of finals week. You may take the final with the other section, but ask first to make sure there is room.
FAQ:
Q: Is there a first class assignment set?
A: Yes! Download it below.
Q: Am I ready to take this class?
A: Read the prerequisite discussion in the outline and course policies. I am not enforcing prereqs in the bidding system, so it’s up to you.
Q: What computer stuff do I need?
A: We will run regressions with some pretty large data sets. It will be very hard to do the class in excel (I used to say impossible, but an excel genius proved me wrong. He did have to do a lot visual basic macros though). I recommend Matlab and will support it. Matlab is available on the PCs in both HPC and Gleacher if you want to try it out. If you know another programming or regression language, you should be able to use that. R, S+ ,Mathematica, c++, Gauss will all work, so if you’re comfortable with them they should work fine. (Hedge funds seem impressed with c++ and Matlab abilities.)
Q: I can’t register yet / will still be in the Bahamas on the first day of class etc. Can I be excused from the first problem set / hand it in late? A: No.
Q: I can’t register yet. What should I do?
A: There is always room in this class. Come to class, do the assignments and form a group as if you were registered. It’s 100% sure you will get a space!
Q: Can I audit / take the class pass fail / etc.?
A: You must check with me first for anything but a real registration and a real grade. Regular students must take the class for a grade. Alums may attend as one of their free extra classes, and may take a P/F. If you’re not doing the work you will have no idea what’s going on. You can only attend if you are doing the work, reading the readings, and I can call on you just as I do on everyone else. You may not be a “fly on the wall” in this class.
Week 1 overheads
Week 1 detailed notes I went nuts and wrote up the lecture, including a bunch of extra material. This is not required reading! The “week 1 appendix” here is optional material that I won’t get to in lecture and is not required for the course -- but irresistibly fun. Don’t expect such detailed notes for the rest of the class -- this took me 2 weeks.
Fama-French questions For week 2/3. As we go through papers, I will run the class by asking you to describe the papers, using these questions as a guideline. Some of the quiz questions will be taken from here too. Use them as a guide to reading. Yes, you get cold-called, but you know the questions in advance!
Fama-French Answers and notes to additional readings for week 3
Week 2-3 overheads on Fama French and anomalies
Week 2-3 detailed notes. Overheads and notes contain the same material. The overheads strip most of the text out of the notes. I suggest keeping only the notes, but sometimes people want the overheads too.
Week 4 overheads -- Asset pricing theory.
Week 4 detailed notes
Yoshio’s notes from the review session on how models like FF3F work.
Questions on mutual funds. Be ready to answer in class or on a quiz!
Week 5a Overheads on empirical methods
Week 5a Notes on empirical methods
Week 5b Notes on mutual funds
Questions on hedge fund readings
Week 6 overheads and notes on hedge funds. (Notes at end)
- - End of active lecture note links --
Week 3 Extras More theory, and the equity premium puzzle. This is material I will not cover this year, but if you're hungry for more it's available here.
Answers to hedge fund questions
Week 6 notes 2/5 on short sales, liquidity and “over pricing” These are some background notes only. We're going to focus on questions and answers and the readings.
Short sales answers to "questions" guiding class discussion
Week 7
Financial crisis overheads
Financial Crisis Notes
Week 8
Expectations hypothesis overheads 2/20
Expectations hypothesis notes 2/20
Week 9:
Bond Factor Model Overheads 2/24, update from 2/23 principal components
Bond Factor Model Notes 2/24 update includes principal components and affine model. NOTE: it is much more important than usual to read the notes ahead of time! There are simple big points here, but you don't want to get lost doing algebra in class.
Program used to make pictures and movie for lecture
Week 10 notes on portfolio theory long version with extended commentary and explanation
Week 10 overheads
Final exam from last year Warning, some of the questions refer to material we did not cover this year, and we covered some new material this year. But this should give you a sense of my style.
Final exam formula sheet Revised 3/13. .You will have this on the test. If there's something else you want, let me know. Otherwise the test is closed book.
Review questions. This is an overwhelming list of review question.Warning: I decided that this is just too overwhelming to be useful, so posted last year's exam instead. But if you want more questions to work on, this is the place to look!
Course review outline for our final review 3/12
My Slides with lots of pretty pictures Updated 2/20 with text to tell you what points I was making with the slides.
(Kedran Panageas slides from presentation at the IGM forum (lots of pictures to explain how securities work) )
Problem set 1 questions Due on first class.
Data for problem set 1
Matlab program regress_jc (you can use this to run regressions)
Matlab programs tinv.m and fcdf.m used by regress_jc You shouldn’t need these – they are part of the statistics toolbox. But if you don’t have that toolbox, you’ll need these. (They are used to find probability values for t and f tests).
Problem set 1 answers
Matlab program for problem set 1
Olsgmm function called by my matlab program (put this in the same directory, matlab will find it as needed)
Problem set 2 questions
Problem set 2 answers
Matab program for problem set 2.
Problem set 3 questions
Fama French Factors
Fama French Portfolios
Problem set 3 answers
Matlab program for problem set 3
Tsregress matlab function called by the above
Problem set 4 questions
Size data
Beme data
Problem set 4 answers
Matlab program
Problem set 5 questions
Problem set 5 answers
Problem set 6 questions
-- Links below here are not active yet. Some links will work, but they are last year's versions and will change --
Problem set 5 answers
Problem set 5 matlab program
Program tsregress2
Problem set 6 questions. 2/5 Due Wed Feb 16
Factors data
Hedge fund data
Short sale questions 2/5 Notice this is now part of the problem set requiring written answers.
Problem set 6 answers
Matlab programs: program to do hedge fund analysis; a function used by the hedge fund program; decode_date function
Short sales answers
Problem set 7 (Feel free to use my tsregress2 from problem set 5 if yours is not great)
funds and factors data in matlab format
funds and factors data in excel format
Problem set 7 answers 2/23
program 2/23
Problem set 9 (I skipped numbers so the problem set = week in which it's due) 2/23
Fama-Bliss yield curve data
Exchange rates, one month interest rates, three month interest rates
Problem set 9 answers
Problem set 9 matlab program
Problem set 10
Problem set 10 answers
Matlab program function objective used by the program
Problem set 11 questions. Hand in by monday 5 PM (to Yosh's mailfolder), at review, or email to Yoshio. Gleacher: Hand in at Review, or email. I'll post answers Mon 6 PM
---- End of active links - items below here have not been revised 2011. ---
.
Problem set 11 answers
Final Exam Information
Final exam regrade policy: I will only change an exam grade if the question is almost completely right but I graded it almost completely wrong. I will not haggle about partial credit. Reason: I assign partial credit very carefully so that the same wrong answer gets the same number of points. Thus, I can't change your partial credit without changing everyone else's. (Yes, many people get the same wrong answer.) Fairness across exams is very important to me.
If you believe I have graded your exam incorrectly, submit the exam with an explanation in writing to my mailbox in HPC (US mail to GSB or livery from downtown works if you're not on campus). I reserve the right to regrade the entire exam.
I will happily correct arithmetic errors (adding up your grades) with no fuss.
Matlab
The Econphd web page has links to a number of good matlab tutorials. (Scroll down to the bottom). The main EconPhD webpage has lots of interesting inforamation especially if you're considering a PhD or just interested in research.
Here's a great and very short Matlab Primer
Kipp Martin is now teaching a winter quarter course 36104 on excel and matlab
You can use R instead of Matlab. Here are some R to matlab hints from a 2010 student:
Data
WRDS state-of-the-art web-based data management services are available through the use of the MBA WRDS account. WRDS allows Students to query and retrieve information from a wide variety of databases across multiple disciplines such as Accounting, Finance, Marketing, Management, Insurance, Banking and Economics.
For winter quarter, the account will valid from January 3 through March 30, and you can access the WRDS account through http://wrds.wharton.upenn.edu. This account is to be used only for your GSB related class research. Any other use would violate our agreement with CRSP and WRDS. The username for this quarter is listed below.
If you have any questions, please call the Computing Services Help Desk at 773- 702-7414.
Username: gsbwin10
Password - Contact the helpdesk at 773-702-7414 after the start of the quarter.