Modules | Management School | University of Liverpool

ULMS Electronic Module Catalogue

The information contained in this module specification was correct at the time of publication but may be subject to change, either during the session because of unforeseen circumstances, or following review of the module at the end of the session. Queries about the module should be directed to the member of staff with responsibility for the module.

Title	Empirical Asset Pricing
Code	ACFI804
Coordinator	Dr A Kagkadis Finance and Accounting A.Kagkadis@liverpool.ac.uk
Year	CATS Level	Semester	CATS Value
Session 2025-26	Level 7 FHEQ	Second Semester	20

Pre-requisites before taking this module (other modules and/or general educational/academic requirements):

Modules for which this module is a pre-requisite:

Programme(s) (including Year of Study) to which this module is available on a required basis:

Programme(s) (including Year of Study) to which this module is available on an optional basis:

Teaching Schedule

	Lectures	Seminars	Tutorials	Lab Practicals	Fieldwork Placement	Other	TOTAL
Study Hours	24	12					36
Timetable (if known)
Private Study							164
TOTAL HOURS							200

Assessment
EXAM	Duration	Timing (Semester)	% of final mark	Resit/resubmission opportunity	Penalty for late submission	Notes

CONTINUOUS	Duration	Timing (Semester)	% of final mark	Resit/resubmission opportunity	Penalty for late submission	Notes
Individual research essay Reassessment Opportunity: Yes. Penalty for Late Submission: Standard UoL penalty applies Anonymous Assessment: Yes	0		70
Individual research paper presentation Reassessment Opportunity: Yes Penalty for Late Submission: Standard UoL Penalty Applies Anonymous Assessment: No	60		30

Aims

This module aims to:

Provide students with understanding of empirical asset pricing;

Develop knowledge and skills in formulating and testing asset pricing models and theories;

Prepare students in evaluating the impact of empirical asset pricing research for financial markets.

Learning Outcomes
(LO1) Students will be able to critically evaluate empirical asset pricing studies in finance.
(LO2) Students will be able to formulate, estimate, and interpret empirical tests of asset pricing theories.
(LO3) Students will be able to communicate research ideas and empirical results in a succinct and clear manner.
(LO4) Students will be able to discuss the economic significance of their empirical result for financial market participants.
(S1) Organisation skills This is relevant for planning scheduled work and meeting assessment deadlines. This will be evident in the students’ independent management of their assignments and coursework and by meeting coursework deadlines.
(S2) Problem solving and decision making skills Students will be challenged to think critically about current issues in capital markets. They will do this by gathering and synthesising information, analysing alternative perspectives and options, and presenting a considered opinion or course of action in their assessment.
(S3) Communication skills Students will have opportunities to develop communication skills through classroom discussions, presentations, and coursework.
(S4) Digital skills Students will develop IT skills through data manipulation in the seminar, and the coursework assignment. Students will also demonstrate skills in the use of software applications and digital methods including word processing and using the internet and other digital platforms for information searches in the course of researching and presenting coursework.
(S5) Numeracy Students will be required to demonstrate a good level of numerical application across the syllabus through the assessments set.
(S6) Ethical awareness Students will enhance their ethical awareness by reflecting how research including their own is consistent with the principles of research ethics, integrity and open science and learning how to resolve issues and navigate challenges through in class work and completing coursework.
(S7) International awareness International issues will be covered in related group and individual activities.
(S8) Leadership and teamworking skills Some in class work for students will require them to work in groups and manage the interaction and relationships with other group members. In doing so, they will gain experience in negotiation, persuasion, influencing and managing conflict.

Teaching and Learning Strategies

Lectures x 24 hours (2 hours per week)

Seminars x 12 hours (1 hour per week)

Self-directed learning x 164 hours
Self-directed learning hours will be spent on class preparation and revision of the weekly topics, research activity in preparation for the research essay, practice on the academic writing skills, and wider reading to support the module.

Syllabus

Empirical methods in asset pricing;

The cross-section of stock returns and the factor zoo;
Market return predictability;

Return anomalies in various asset classes;

Cost of trading and liquidity risk;

Predictability of risk premia;

Volatility modelling;

Risk-neutral moments estimation;

Option return predictability;

Alternative data in asset pricing.

Recommended Texts
Reading lists are managed at readinglists.liverpool.ac.uk. Click here to access the reading lists for this module.