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10600-01 - Vorlesung: Advanced Asset Pricing (6 KP)
| Semester | Frühjahrsemester 2015 |
| Angebotsmuster | Jedes Frühjahrsem. |
| Dozierende |
Jonas Gusset (jonas.gusset@unibas.ch)
Matthias Huss (matthias.huss@unibas.ch) Heinz Zimmermann (heinz.zimmermann@unibas.ch, BeurteilerIn) |
| Inhalt | Content: Cross-sectional characteristics of asset returns; economic foundations/ intertemporal models; factor pricing models; SDF pricing approach; analyzing pricing errors; conditioning information and performance measurement Exercise sessions are part of the lecture; Matlab is used (a short introduction will be provided) |
| Lernziele | Understanding of advanced asset pricing models resp. capital market equilibrium: theoretical foundations, representations, and major empirical testing approaches |
| Literatur | Zimmermann (2014): Lecture Notes Asset Pricing (will be handed out) Cochrane (2005): Asset pricing. Princeton University Press, revised edition Ferson, W. (2003): Tests of multifactor pricing models, volatility bounds, and portfolio performance, in: Handbook of the Economics of Finance, Edited by G.M. Constantinides, M. Harris and R. Stulz, Elsevier |
| Weblink | Weblink |
| Teilnahmevoraussetzungen | Requirements: Completed BA in Business und Economics. The following lectures are recommended: Advanced Microeconomics, resp. Advanced Economic Theory, Finanzmarkttheorie 1 und 2 and basic knowledge in EViews |
| Anmeldung zur Lehrveranstaltung | Registration: Please enrol in MOnA. EUCOR-Students and Exchange-Students have to enrol at the students administration office (studsek@unibas.ch) within the official enrolment period. Enrolment = Registration for the exam! |
| Unterrichtssprache | Englisch |
| Einsatz digitaler Medien | kein spezifischer Einsatz |
| HörerInnen willkommen |
| Intervall | Wochentag | Zeit | Raum |
|---|
Keine Einzeltermine verfügbar, bitte informieren Sie sich direkt bei den Dozierenden.
| Module |
Spezialisierungsmodul: Areas of Specialization in International and/or Monetary Economics (Master International and Monetary Economics) Vertiefungsmodul Monetary Economics and Financial Markets (Master Wirtschaftswissenschaften) |
| Prüfung | Semesterendprüfung |
| Hinweise zur Prüfung | Written exam: 28.05.2015; 10:15-11:45. WWZ S15: A-Z. Participation during the term is expected. You can still withdraw from the examination by submitting a completed, signed form to our office from 17.03.15 until 31.03.15 / 12:00 o’clock. Withdrawals sent by email will not be accepted. You will find the examination withdrawal form on the Homepage of the Student Dean’s Office. Prior to 16.03.15, please only use MONA for withdrawing. The exam rooms will be published up to 18.05.15. |
| An-/Abmeldung zur Prüfung | Anmeldung: Belegen |
| Wiederholungsprüfung | keine Wiederholungsprüfung |
| Skala | 1-6 0,1 |
| Belegen bei Nichtbestehen | beliebig wiederholbar |
| Zuständige Fakultät | Wirtschaftswissenschaftliche Fakultät / WWZ, studiendekanat-wwz@unibas.ch |
| Anbietende Organisationseinheit | Finanzmarkttheorie |