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Empirical Asset Pricing and Factor Investing

Study empirical asset pricing, factor construction and the costs, capacity and risks of factor investing.

Why study Empirical Asset Pricing and Factor Investing?

A published return premium can reflect a risk exposure, a fragile empirical choice or an opportunity that is expensive to trade. Factor investing connects asset-pricing evidence to portfolio design and implementation constraints.

Who this is for

For investment researchers with econometrics, portfolio theory and robust financial-data workflows.

What you should be able to do

  • Evaluate asset-pricing models with time-series and cross-sectional evidence.
  • Construct and combine factor portfolios.
  • Assess turnover, capacity, factor decay and crowding.

An example of the work this prepares you for

A factor due-diligence report with benchmark tests, construction choices, turnover analysis and an assessment of robustness.

Prerequisites and suggested preparation

You should be comfortable with the background covered in these programmes. Equivalent knowledge from university study or independent learning is also suitable.

The goal is to use the foundations in context: explain the assumptions, carry out a calculation and interpret the result. If one of those steps feels unfamiliar, review the linked preparation first.

A preview of the learning journey

The lessons build towards these kinds of reasoning and practical work.

Assess a pricing claim

Distinguish model fit from evidence of a persistent premium.

Build an investable exposure

Explain how portfolio construction changes a factor’s behaviour.

Evaluate implementation

Assess costs, capacity and changing performance through time.

Members work through the detailed lessons, derivations, worked examples and solutions inside the learning dashboard.

Explore lesson previews by topic

Open a topic preview to see its introduction, learning objectives and prerequisites. Previous and next links let you explore the lessons in study order. Full lessons are available in the member dashboard; selected samples are free to read in full.

Topic previewTesting asset-pricing models3 lessonsTopic previewConstructing factor portfolios3 lessonsTopic previewImplementable factor portfolios3 lessonsTopic previewEvidence, decay and crowding2 lessons

Free resources to start learning

Use these alongside the programme or to prepare independently. Start with the introductory material, work through an example, then return to the research papers when the underlying ideas are familiar.

  1. Data · Free

    Kenneth R. French Data Library

    Dartmouth · Tuck School of Business

    Start with the factor definitions and public returns, including the library’s methodology notes.

  2. Video lectures · Free

    Finance Theory I: lecture videos

    MIT OpenCourseWare · Andrew Lo

    Review CAPM, portfolio theory and market efficiency.

  3. Textbook · Free

    Introduction to Econometrics with R

    Christoph Hanck, Martin Arnold, Alexander Gerber and Martin Schmelzer

    Strengthen regression and inference for empirical model comparisons.

  4. Textbook · Free

    Convex Optimization

    Stephen Boyd and Lieven Vandenberghe

    Study constraints and trade-offs before constructing factor portfolios.

  5. Research paper · Free

    The Probability of Backtest Overfitting

    David H. Bailey, Jonathan M. Borwein, Marcos López de Prado and Qiji Jim Zhu

    Read as a warning about selection across many candidate signals.

Links reviewed 14 October 2026. Free refers to the linked reading, notes or videos; printed books and certificates may cost extra.

Find more papers and learning materials in the SelfMadeQuant Directory.

Where this programme fits

  • Systematic Trading and Quantitative Research · elective programme
  • Portfolio, Factor and Asset-Management Quant · required programme

Ready to study Empirical Asset Pricing and Factor Investing? Explore membership for access to the complete lessons.

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