This course is an introduction to the theories, tools and results in discrete-time asset pricing. Most of the course will focus on “classic” asset pricing and its applications. The course is structured into two parts: theory and empirics/applications. On the theory side, we introduce classical asset pricing models from two perspectives: statistics-based and preference-based. We then introduce the risk neutral pricing and consumption-based capital asset pricing model. On the empirical/application side, we discuss the main empirical methods and results from testing these classical models and present multi-factor asset pricing approaches that are used to explain the empirical ?ndings, the “equity premium puzzle” related to the consumption-based asset pricing models, and applications of empirical ?ndings to trading strategies. We’ll introduce the use of factor models in the money management industry and introduce some of the recent trends. Time permitting, we also discuss the e?ect of investment horizon on portfolio allocation, return predictability in the stock market, the debate about market e?ciency and investor rationality, and binomial option pricing models. Forming a team of no more than three, to write an empirical paper in any ?eld of ?nance in lieu of the above components. Ideally, the paper should be tied to Chinese or Asian capital markets. There are a couple of skills needed for a good empirical paper: (1) a good story (including a thoughtful literature review); (2) rigorous work of data and appropriate research design (including a control environment so that you can e?ectively establish a causal relation); and (3) good writing.