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Campbell (2003), "Lecture Notes on Diversification and the CAPM", unpublished notes.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