The 4th Intensive lecture: "Introduction to Asset Pricing: Theory and Empirical Applications"
August 6-7, 2009
University of Iowa Department of Finance Professor. Paul A. Weller presented an intensive lecture “Introduction to Asset Pricing: Theory and Empirical Applications” at the Keio University Mita Campus on August 6 and 7, 2009. In the lecture, Prof. Weller elucidated from both the theoretical and empirical perspectives the fundamentals of financial market quality problems and related asset pricing theory, which have become a subject of market quality theory applied analysis.
Specifically, on the first day Prof. Weller presented the theoretical development of the Consumption-based Capital Asset Pricing Model (CCAPM), which is constructed based on conditions whereby economic agents optimize their consumption and savings behavior, as well as problems with the CCAPM which come to light through empirical analysis. On the second day, Prof. Weller considered asset pricing theory based on arbitrage, whereby economic agents attempt to gain profits taking advantage of differentials in asset prices, with a particular focus on the relation with the efficiency of financial markets.
Prof. Weller also presented his own research applying the most recent theoretical findings in behavioral finance. This research examines whether or not asset prices determined by the market are always appropriate when there is human perceptual bias, focusing on the excess profits gained when investment strategies are based on a given mechanical rule. The research concludes that short-term excess profits can be gained under a rule-based investment strategy, implying that market asset prices are not always correct. The event also afforded an opportunity for Prof. Weller to discuss the present conditions at the University of Iowa, and to provide valuable advice to the young researchers who participated regarding research and education methodologies.