Asset Pricing WS 2022

General Remarks

The course will be offered in the classroom. Further information and downloads will be made 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


  • 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 for the 1st edition on Cochrane's homepage.
  • Papers from the reading list, which you will find in the slides.


First lecture:  Monday, October 17, 4.15-5.45 pm in H14


Prof. Dr.  Gunter Löffler

Syed Wasif Hussain


Dates and Room

Mondays, 4.15-5.45 pm in H14,   Thursdays 2.15-3.45 pm in H14


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.

Module description

This lecture is open for

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

and others according to study plan.