University of Chicago Booth School of Business
John H. Cochrane Winter 2013
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: 3/23/2013 -- always click refresh to make sure you have the latest.
Lecture notes and overheads
Links, hints and extras
Outline and course policies and lots of other information Read before the first class.
IMPORTANT: Reading list and sylllabus. LOOK HERE to see what you're supposed to read each week. There is a first week reading assignment.
1/26: Review session 2 gleacher 12-1 204 on Sundays.
1/5: Review session Mondays 12pm-1:15pm in room C04. There will be a session Monday week 1, Jan 7.
1/2: Reading list and syllabus finalized for the quarter
12/8: Problem set 1 is ready
There is no course pack. All readings will be in pdfs on the Reading list and sylllabus.
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!
Matlab tutorial Matlab has a nice online tutorial here. Kevin Sheppard's Matlab Notes are excellent.
TA: Serginio Sylvain firstname.lastname@example.org
Campus: Thursday 1:30-4:30 HCC03 Final Exam: R 11:30 AM-2:30 PM
Downtown: S 9:00 AM-12:00 PM GC204 Final Exam: S 9:00 AM-12:00 PM
If you are registered for one section, you are welcome to attend the other so long as seats are available.
You must take the exam at the scheduled time. I won't give special exams earlier in the week. Don’t make plans that conflict with the final! As long as seats are available, you may take the final with the other section, but you have to ask first and seats may run out.
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 do not enforce prerequisites s 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 wrote up the lecture, including a bunch of extra material. This is an intense lecture, so I encourage you to read them ahead of time. 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 weeks.
Week 2 questions 1/10 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!
Week 2 Answers 1/19
Week 2 overheads 1/14 on Fama French multifactor explanations and dissecting anomalies 1/17 updated last page only 1/24 updated last page again
Week 2 detailed notes. 1/14 on Fama French 1/17 updated last page only 1/24 updated last page again
Week 3 questions. 1/17 Detailed reading/discussion questions for week 3 readings.
Week 3 Questions, answers, and notes on the extra papers that might be mentioned in class 1/24
Week 4-5a detailed notes 1/27 update 2/4, added "chicken and egg" section to "asset pricing theory extras."
Yoshio Nozawa FAQ on Factor models. (Optional, but good)
Week 5b Overheads on empirical methods 2/4
Week 5b Notes on empirical methods 2/4
Week 5 extra notes on continuous time (for sunday review) 2/13 update fixed some typos, and notes cover solving sde's FYI
Week 6 questions on mutual funds. Includes my preview comments. Be ready to answer in class/quiz! 2/7 update 2/14
Week 6 extra notes on optional papers 2/13. I plan to show this in class
Week 6 Questions and answers for mutual funds, includes comments on the main papers 2/16
Week 7 overheads, notes, questions on the readings. update 2/21
Week 7 hedge fund answers and extras 2/21
Week 7 short sales notes Lamont and Thaler, Cochrane. Update 2/28
Week 8 trading notes 2/28
Week 8 financial crisis notes 2/28
Week 9 Notes on term structure 3/3
Week 9 Overheads 3/3
Week 10 notes on portfolio theory 3/9 small update 3/14
Week 10 Overheads 3/9 small update 3/14
Course review A very condensed review of the high points of the class, useful study guide.3/9
- - End of active lecture note links. You may look at what is below, from last year, but I have not yet updated it for this year --
Review questions. This contains the 2011 final with answers, a few previous years finals with answers, and a long list of review questions. Disclaimer: The course material changes from year to year, so there are some questions that you can't answer. This year's final will be based on this year's material. But these questions will give you some sense of style
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.
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 1/19
Matab program for problem set 2. 1/19
Problem set 3 questions 1/17
Fama French Factors
Fama French Portfolios
Problem set 3 answers 1/26
Matlab program for problem set 3
Tsregress matlab function called by the above
Problem set 4 questions 1/23
Problem set 4 answers 2/2
Problem set 5 questions 1/31
Problem set 5 answers 2/12
Problem set 6 questions 2/7
Problem set 6 answers 2/16
Problem set 6 matlab program 2/16
Program tsregress2 for ps6 and ps7
Problem set 7 2/14
funds and factors data in matlab format
funds and factors data in excel format
Problem set 7 answers 2/23
Problem set 8 questions. 2/22
Hedge fund data
Problem set 8 answers3/2
Matlab program and function for the hedge fund question. My factor data (you need this to run my program)
Matlab program for bootstrap
Fama French factors rmrf hml smb monthy annual updated 2/26
Fama French momentum factor monthly annual 2/26 Not really needed for anything, but I updated them so here they are
Problem set 9 questions 3/1
Problem set 9 answers 3/9
Problem set 10 questions 3/8
Fama-Bliss yield curve data 3/8
Problem set 10 answers 3/16
matlab program for Fama-French size and b/m question
Problem set 11 questions. 3/12 Hand in by Wed 10 AM (to my faculty mailfolder in the second floor faculty lounge), at review, or email. I'll post answers Wed 11 AM. Note: I know you have a lot to do on finals week. Still, trying it is worth while and reading the answers even more worthwhile.
Problem set 11 answers 3/20
Old final exams with answers 3/8
-- Links below here are not active yet. Some links will work, but they are last year's versions and will change --
Problem set 9 (I skipped numbers so the problem set = week in which it's due) 2/23
Exchange rates, one month interest rates, three month interest rates
Final Exam Information
2013 final exam answer sketch 3/23
2013 Total score grade distribution: 4/10
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.
Links, hints, extras
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:
You can get almost all of the raw data I use through CRSP via WRDS. http://wrds.wharton.upenn.edu. Call helpdesk to get the current username/password.
Ever feel like this?