Econ 482 - Fall 2003 

Syllabus

- Course description and outline

Problem Sets and Exams

Problem Set 1 - Due October 14
Practice Midterm Questions
Midterm
Problem Set 2 - Due December 9
Final

Papers

List of typos and corrections to Cochrane's text

Campbell (1998), "Asset Prices, Consumption, and the Business Cycle", NBER working paper
                            (Use this to check your calcuations for the equity premium. See table 5 in the paper.)

Cochrane (1999a),  "New Facts in Finance", Economic Perspectives (Federal Reserve Bank of Chicago)

Campbell (2000), "Diversification: A Bigger Free Lunch",  Canadian Investment Review

Campbell (1999),  "Who Should Buy Long-Term Bonds?",  text of a speech.

Campbell (2003),  "Lecture Notes on Diversification and the CAPM",  unpublished notes.

Malkiel (2003),  "The Efficient Market Hypothesis and Its Critics", Journal of Economic Perspectives

Shiller (2003),  "From Efficient Markets Theory to Behavioral Finance", Journal of Economic Perspectives

Cochrane (1999b),  "Portfolio Advice for a Multifactor World", Economic Perspectives (Chicago Fed)

Jagannathan & McGrattan (1995),  "The CAPM Debate",  Quarterly Review (Minneapolis Fed)

Fama & French (1992), "The Cross-Section of Expected Stock Returns", Journal of Finance

Campbell (2000),  "Asset Pricing at the Millenium",  Journal of Finance

Cochrane (1997a),  "Where is the Market Going? Uncertain Facts and Novel Theories",  Economic Perspectives

Kocherlakota (1996),  "The Equity Premium: It's Still a Puzzle", Journal of Economic Literature

McGrattan & Prescott (2003),  "Average Debt and Equity Returns: Puzzling?",  American Economic Review

Fama & French (2002),  "The Equity Premium", Journal of Finance

Data Sets

The following files contain macreconomic and financial data for 11 OECD economies.  The stock market data is from Morgan Stanley
and the macro and interest rate data is from the IMF.  The data are at a quarterly frequency.  They generally begin in 1970 for stock
prices and 1960 for macro data, although for some countries the macro data doesn't begin until the mid to late 1960s.  All series
run until the late 1990s.  The data are in tab delimited ascii format  (which you should be able to read directly into Excell).
For more detailed documentation see the text file README.TXT.

                  Stock Market Data              Macroeconomic Data             Population

                       Australia                               Australia                             Australia
                       Canada                                 Canada                              Canada
                       France                                  France                                France
                       Germany                               Germany                            Germany
                       Italy                                      Italy                                    Italy
                            Japan                                    Japan                                 Japan
                       Netherlands                          Netherlands                        Netherlands
                       Sweden                                Sweden                              Sweden
                       Switzerland                           Switzerland                         Switzerland
                       United Kingdom                   United Kingdom                  United Kingdom
                       United States                        United States                      United States

Long annual data sets are available for the UK and the USA.  These data begin around 1870 and end in the late 1990s.

                    UK (annual)                             UK (annual)
                    USA (annual)                           USA (annual)

Annual bond yield data (from 1870 to late 1990s) for the UK and USA are in:  UK_Bonds  and USA_Bonds.