Asset Pricing WS 2020
The course will be offered through online live sessions and videos.
Further information and downloads are available on Moodle.
- 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
- John Cochrane: Asset Pricing, 2005, revised edition, in particular: chapters 1 (not 1.5), 9 (only 9.1), 12 (only 12.3), 20, 21 (21.1). The 1st edition will do but check out the typo list on Cochrane's homepage. The 1st chapter of the book is freely available on the website of John Cochrane.
- Papers from the reading list, which you will find in the slides.
You will find all relevant information on our Moodle site, which will be available by the end of October.
Dates and Room
to be announced
The exam is of open form, which means that you do not have to take the first exam to be allowed to register for the retake.
This lecture is open for
- Finance (MSc)
- Wiwi (MSc)
- WiMa (MSc)
- WiPhy (MSc)
and others according to study plan.