Prof. John Cochrane
Welcome to the 35150 web page. You’ll find documents, programs, announcements and hints here.
Last update: Jan 29 2010
Outline and course policies and lots of other information Read before the first class.
>>IMPORTANT: Reading list and sylllabus. Update 1/22 moves empirical methods to week 4. Important! 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.
New
review session: Sundays
12:00 pm – 1:30 pm Gleacher Center – 408. Campus
welcome too
Notice the change in syllabus and notes. We
will do theory week 3, empirical methods week 4 before mutual funds.
Asset Pricing is no longer a required textbook. The extracts will be available in the packet/on the website
TAs: Yoshio Nozawa ynozawa@chicagobooth.edu (primary); Mark Hendricks hendricks@uchicago.edu
Class: Campus: F 8:30-11:30 AM C10, HC Downtown: F 6-9 PM Gleacher.
Note: If you are registered for one section, you are welcome to attend the other so long as seats are available.
Review sessions: Wed 4:45-6:15 HC C10; Gleacher TBA. I will also hang around after class as long as everyone wants to talk to me.
Exam: As per official GSB schedule, campus F 8-11, Gleacher Sat, F 6:30-9:30 PM
Note: you must take the exam at this, the scheduled time. Don’t make plans that conflict with the final!
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
Q: I can’t register yet. What should I do?
A: There is always room in this class after DAS, as some students confront the workload and drop. 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: I don’t formally stop audits etc. but I strongly discourage it. 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 detailed notes I went nuts and wrote up the lecture, including a bunch of extra material. 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 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
Week 2 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.
Somehow my adobe printer driver squished all the graphs from Asset Pricing. I know about it but not yet how to fix it. You can find all the squished graphs in the book.
Yoshio’s notes from the review session on how models like FF3F work.
Week 3 overheads. Updated 1/22 no change but deleted empirical methods (which we will do next week)
Week 3 detailed notes Updated 1/22 no change but deleted empirical methods (which we will do next week)
Week 4a Overheads on empirical methods
Week 4a Notes on empirical methods
Week 4b notes on mutual
funds, and questions on mutual fund readings. (Be prepared to answer these in
class or on a quiz!)
Answers to mutual fund questions
Week 5 notes on hedge funds. Includes questions – be ready to answer on quiz/in class!
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Answers to hedge fund questions
Link to hf-implode.com
Questions on liquidity, shorts, etc. Obviously, we just lived through the liquidity event of all time.
Week 6 notes on short sales, liquidity and over pricing”
Week 7 notes on the Financial Crisis
Kedran Panageas slides from presentation at the IGM forum
Week 8 notes on expectations hypothesis and its failures
Week 8 Overheads Same stuff, short version for class presentation
Week 9 notes on term structure models
Program used to make pictures and movie for lecture
Week 10 notes on portfolio theory update 3/12
Week 10 overheads update (typo removal) 3/14
Course review outline
Problem set 1 questions Due on first class. (Update 1/6 includes matlab hints).
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
Size data
Beme data
Problem set 3 answers update 2/4. There was a bug in my time-dummy
regression
Matlab program
for problem set 3 updated 2/4 to fix bug
in time-dummy regression
Tsregress matlab function called by the above
Problem set 4 questions
Problem set 4 answers
Problem set 5 questions
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Problem set 5 answers
Problem set 5 matlab program
Program tsregress2
Problem set 6 questions Update sat PM
Problem set 6 answers
Matlab program
Data for problem set 7 (binary matlab data file, you can’t see it with a text editor. Save as)
Same data in matlab 6 format. (much bigger). Try only if the last one didn’t work.
Same data as a huge text file (zip file). You can use this if you’re using some other program (sas, splus,r)
Problem set 7 answers
Matlab program
Problem set 8 questions
Fama French factors and momentum factor, (updated to 12/09) bond return factors (use 20 year – t bill) corporate return factor (load, and subtract rf)
Hedge fund data
Problem set 8 answers
Matlab programs program to do hedge fund analysis; a function used by the hedge fund program; decode_date function
Put writing data not used in the problems set but my program wants it
Fama-Bliss yield curve data
Exchange rates, one month interest rates, three month interest rates
Problem set 9 answers
Matlab program for FB and CP regressions; program for UIP regressions
Updated Fama-French 25 portfolios. (Posted Monday. If you already did the problem with the old data, don’t worry about it.)
Problem set 11 questions. NOTE this is due WED
Industry returns for problem set 11
Problem set 10 answers
Matlab program function objective used by the program
Final review problems Update 4/14. Some editing, removed things we didn’t do this quarter, and a few more answers.
Final exam formula page. I will provide this with the final exam.
Problem set 11 answers
Matlab program
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)
Kipp Martin is now teaching a winter quarter course 36104 on excel and matlab
Data
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Password - Contact the helpdesk at 773-702-7414 after the start of the quarter.