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Study Resources for Asset Pricing Theory and Empirical Research

Article Quant Q&A · Author: Peter
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Summary

The document offers a short reading path for a mathematics and statistics graduate preparing to study asset pricing. One response recommends John Cochrane’s asset pricing textbook and associated lecture series as a direct route into the subject. Another suggests a book by Bali, Engle, and Murray for empirical asset pricing, highlighting portfolio sorts, Fama–MacBeth regressions, and research into market anomalies such as size, value, momentum, and idiosyncratic volatility.

The empirical text is described as relying on U.S. CRSP and Compustat data, with a chapter covering those datasets. These are recommendations rather than a structured prerequisite curriculum: the thread gives no detailed sequence, exercises, assessment of mathematical prerequisites, or comparison of alternative courses. The resources may help orient a learner, but the suggested empirical material has a U.S. data focus and may not transfer directly to other markets.

Key ideas

  • Cochrane’s asset pricing text and lectures are recommended for learning the theory.
  • Portfolio sorts and Fama–MacBeth regressions are highlighted as empirical asset pricing methods.
  • The empirical recommendation covers anomalies including beta, size, value, momentum, and idiosyncratic volatility.
  • The cited empirical material uses U.S. CRSP and Compustat data, which limits its direct market scope.

Tags

EquitiesFactor investingStatisticsUS markets
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# text books or online courses for a math student to learn asset pricing


# text books or online courses for a math student to learn asset pricing












I just got my bachelor degree in math and statistics and will take a mathematical finance master degree. I have not learned any financial courses and want to teach myself asset pricing. I have seen many people recommend Asset Pricing by Cochrane. What are text books and online courses that make me prepared for reading Asset Pricing by Cochrane?

## Answer by tommylicious (score 6)

https://quant.stackexchange.com/a/71868

You cannot do better than Cochrane. His lectures can be found starting here: https://www.youtube.com/playlist?list=PLAXSVuGaw0KxTEN_cy-RCuEzzRdnF_xtx

Let us know how it goes.

## Answer by skoestlmeier (score 4)

https://quant.stackexchange.com/a/71870

For empirical work, i highly recommend Bali/Engle/Murray (2016), discussing portfolios sorts, Fama/MacBeth regressions and several "capital market anomalies" like Beta, Size, Value, Momentum, Idiosyncratic volatility, etc.

All content is based on the U.S. CRISP/Compustat dataset, discussed in a separat chapter.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.