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?
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$\begingroup$ I am not sure why this question was considered to be "career advice" by those who voted to close. Asset Pricing theory is a legitimate academic field, and the answers given here seem helpful and on point. $\endgroup$– nbbo2Aug 13, 2022 at 8:48
2 Answers
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.
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.