António Manuel Rodrigues Guerra Barbosa
Home		Asset Pricing 2 (PhD Finance) Meetings: Fridays afternoons Office hours: Fridays 10:00-12:00 or by appointement Documents: Syllabus FUC Planning Schedule of classes Study Notes Duffie Cochrane Mas-Collel Problem sets: Problem set 1 Problem set 1 - Solution Problem set 2 Problem set 2 - Solution Final exam: Final exam - questions Reading list:  Presenter Paper  Paulo Carvalho (11/03) Sanford Grossman & Joseph Stiglitz (1980). On the Impossibility of Informationally Efficient Markets. American Economic Review 70(3), 393–408  Manuel Fanico (11/03) Anat Admati (1985). A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets. Econometrica 53(3), 629–658  João Ruas (25/03) Anat Admati & Paul Pfleiderer (1990). Direct and Indirect Sale of Information. Econometrica 58(4), 901–928  Sara Areia (25/03) David Easley & Maureen O-Hara (2004). Information and the Cost of Capital. Journal of Finance 59(4), 1553-1583  Pedro Ribeiro (01/04) John S Hughes, Jing Liu & Jun Liu (2007). Information Asymmetry, Diversification, and Cost of Capital. The Accounting Review 82(3), 705–729  Vítor Pereira (01/04) Stijn Van Nieuwerburgh & Laura Veldkamp (2010). Information Acquisition and Under-Diversification. Review of Economic Studies 77(2), 779–805  (29/04) Han Ozsoylev & Johan Walden (2009). Asset Pricing in Large Information Networks. Working paper.  Darina Todorova (08/04) Jiang Wang (1993). A Model of Intertemporal Asset Prices Under Asymmetric Information. Review of Economic Studies 60, 249–282  António Barbosa (08/04) António Barbosa (2010). Differential Interpretation of Information and the Post-Announcement Drift: A Story of Consensus Learning. Working paper.  (29/04) Franklin Allen, Stephen Morris & Hyun Shin (2006). Beauty Contests and Iterated Expectations in Asset Markets. Review of Financial Studies 19(3), 719-752  (29/04) Milton Harris & Artur Raviv (1993). Differences of opinion make a horse race. Review of Financial Studies 6(3), 473–506  (29/04) Snehal Banerjee, Ron Kaniel & Ilan Kremer (2009). Price Drift as an Outcome of Differences in Higher Order Beliefs. Review Of Financial Studies 22(9), 3707–3734  (06/05) Albert Kyle (1985). Continuous Auctions and Insider Trading. Econometrica 53(6), 1315-1335  (06/05) Craig Holden & Avanidhar Subrahmanyam (1992). Long-Lived Private Information and Imperfect Competition. Journal of Finance 47(1), 247–270  (06/05) James Dow & Gary Gorton (1994). Arbitrage Chains. Journal of Finance 49(3), 819–849  (06/05) Jos van Bommel (2003). Rumors. Journal of Finance 58(4), 1499–1520
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