Provides an introduction to theoretical and empirical work in asset pricing and market microstructure. Topics covered include market efficiency, time varying expected returns and volatility, tests of asset pricing models, and models and analysis of price formation. Prerequisite: Open to doctoral students in the Faculty of Business, the Department of Economics and the Program of Mathematical Finance. For all other students, written permission of instructor required. Approval of the Business PhD Program Director is also required for non-PhD students.