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.
This lecture is open for
- Wiwi (MSc)
- WiMa (MSc)
- Finance (MSc)
and others according to study plan.