Asset Pricing WS 2022
The course will be offered in the classroom. Further information and downloads will be made 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 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
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.
This lecture is open for
- Finance (MSc)
- Wiwi (MSc)
- WiMa (MSc)
- WiPhy (MSc)
and others according to study plan.