Institut für Finanzwirtschaft
- 1:
Mitarbeiter. - 2: Lehre.
- 2.1:
Sommersemester 2012. - 2.2: Wintersemester 2011.
- 2.2.1:
Issues in Emerging Market Finance. - 2.2.2: Game Theory.
- 2.2.3: Behavioral Finance.
- 2.2.4: Asset Pricing.
- 2.2.5: Advanced Financial Modeling and Data Analysis.
- 2.2.6: Seminar Emerging Markets - Focus India.
- 2.2.1:
- 2.3: Abschlussarbeiten.
- 2.4: Schwerpunktfach "Finanzwirtschaft".
- 2.5: Studien-Schwerpunkt Risikomanagement.
- 2.6: e-learning.
- 2.7: Software & Links.
- 2.1:
- 3: Forschung.
- 4: Winter Workshop: Finance, Risk and Banking.
- 5: Kontakt.
- 6: Fakultät.
Asset Pricing WS 2011
Course Outline
- Introduction: finance basics
Time value of money, compounding, measuring return, discount rates, dividend discount model, expected utility - The stochastic discount factor
Using the stochastic discount factor approach to understand returns on risky and risk-free assets - Factor pricing models
The CAPM and the empirical evidence, Fama-French-3-factors - Aggregate stock price behavior
Equity premium puzzle, time series predictability - Rationality and Behavioral Finance
Bubbles, Prospect Theory
Time Table
| Date | Kind | Remark |
| 24.10.2011 | Lecture | |
| 31.10.2011 | Lecture | |
| 07.11.2011 | Lecture, Exercise 1 | |
| 14.11.2011 | Lecture | |
| 21.11.2011 | Exercise 2, Tutorium | |
| 28.11.2011 | Lecture | |
| 05.12.2011 | Lecture | |
| 12.12.2011 | Case Study | |
| 19.12.2011 | Lecture, Talk B. Kalteier, Montagu PE | |
| X-Mas | ||
| 9.01.2012 | Exercise 3 & 4 | |
| 16.01.2012 | Lecture | |
| 23.01.2012 | Lecture | |
| 30.01.2012 | Lecture, Exercise 5 | |
| 06.02.2012 | Exam Preparation, Exercise 6 | |
| 13.02.2012 | Q&A Session | starts 9:30 |
| 14.02.2012 | Exam |
Literature
- Cochrane: Asset Pricing, 2005, in particular: chapters 1 (not 1.5), 9 (only 9.1), 12 (only 12.3), 20, 21 (21.1), Revised Edition. (1st edition will do but check out the typo list on Cochranes homepage.)
- The
1st chapter of Cochrane is freely available over the website of the Princeton University Press. - You find a list of papers in the slides.
News
The retake of the exam will be on Apr. 13th 2012.
Time: 10.00 to 12.00
Room: 226 (N24)
Peter N. PoschDates and Room
Monday: 8:30-12:00h (H12)
Exam
First exam: 14.02.2012; 10-12h; H 4/5
Retake: 13.04.2012; 10-12h; N24-226
Module description
This lecture is open for
- Wiwi (MSc, Dipl)
- WiMa (MSc, Dipl)
- Finance (MSc)
and others according to study plan.