Asset Pricing WS 2020

General Remarks

The course will be offered through online live sessions and  videos. 

Further information and downloads are 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 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.


Prof. Dr.  Gunter Löffler



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.

Module description

This lecture is open for

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

and others according to study plan.