Asset Pricing WS 2018
- 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
- 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.
First lecture on Monday, 15.10., from 14.15 - 15.45 in H14
Dates and Room
Mondays, 14.15 - 15.45, H14
Wednesdays, 12.15 - 13.45, H14 (to be confirmed)
The exam is of closed form, which means you have to take the first exam to be allowed to register for the retake.