Asset Pricing WS 2018

General Remarks

Relevant information and downloads are now available on Moodle.

Course Outline

  1. Introduction: finance basics
    Time value of money, compounding, measuring return, discount rates, dividend discount model, expected utility

  2. The stochastic discount factor
    Using the stochastic discount factor approach to understand returns on risky and risk-free assets

  3. Factor pricing models
    The CAPM and the empirical evidence, Fama-French-3-factors

  4. Aggregate stock price behavior
    Equity premium puzzle, time series predictability

  5. 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


Prof. Dr.  Gunter Löffler

Nenad Ćurčić


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.

Module description

This lecture is open for

  • Wiwi (MSc)
  • WiMa (MSc)
  • Finance (MSc)

and others according to study plan.

Module description