The course blends financial economics theory and econometric modelling. The Generalized Method of Moments (GMM) is introduced as a suitable estimation strategy that exploits unconditional moment conditions implied by the basic asset pricing equation. The basic asset pricing equation, which states that asset prices emerge as the conditional expeted value of payoffs weighted by the marginal rate of substitution (the so-called stochastic discount factor, SDF), is derived from the intertemporal decision problem of an investor. Various popular asset pricing models like the CAPM, and the Fama-French-Model are shown to be special cases of the basic asset pricing equation with a specific SDF. The course discusses nonlinear models for the stochastic discount factor, which can be estimated by GMM, and models with a linear SDF, like the CAPM, which can be estimated by regression-based techniques.