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| Semester | Herbstsemester 2016 |
| Angebotsmuster | Jedes Herbstsemester |
| Dozierende |
Patrick Böhler (patrick.boehler@unibas.ch)
Heinz Zimmermann (heinz.zimmermann@unibas.ch, BeurteilerIn) |
| Inhalt | Content: The classic asset pricing models (CAPM, APT) do not explicitly take the time di-mension of financial decisions into account. This is a rather strong limitation. In this course, we want to extent this perspective by developing an empirical framework for long-term pricing effects. Specifically, we cover the following issues: • We review the basic setting of Euler-equation based (SDF-) asset pricing • We extend the preference setting to allow for a separation of risk aver-sion and intertemporal substitution effects • We discuss excess volatility of stock prices with respect to fundamentals • We address intertemporal valuation problems by an analysis of the varia-bility and predictive power of dividend-price and other valuation ratios • We address the econometric problems of predictive regressions and compare it to VAR systems • We learn a technique for assessing the role of changing expectations (“news”) about future cash flows and discount rates • We derive the pricing implications of models that account for persistent changes in the economic environment and in expected returns • We specifically address the empirical relevance of LRR-models (long run risk models), developed by Campbell and coauthors and Bansal/ Yaron etc. • We discuss a major applications of LLR models: a potential explanation of the size and value premium |
| Literatur | Course Material: There is no official textbook, but a lecture note which covers most of the theory and derivations; see Syllabus on homepage. |
| Bemerkungen | |
| Weblink | Weblink |
| Teilnahmebedingungen | Prerequisites Standard textbook finance (portfolio theory, asset pricing, option pricing) and microeconomics are required to follow the course. Students who have taken "Advanced Macro and Finance" will have a definitive advantage. The empirical part of the course requires basic econometrics. Exercises in the Computer-Lab complement the lectures. We use the following econometric techniques: - Predictive linear regression models - Autoregressive models (very simple ones, AR1) - Vector autoregression model (VAR) - Maybe, some basic co-integration and error correction model An excellent quick reference with E-Views applications is: Brooks, Chris: "Introductory Econometrics for Finance", Academic Press, 2014, 3rd edition |
| Anmeldung zur Lehrveranstaltung | Registration: Please enrol in MOnA. EUCOR-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 |
| 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) |
| Leistungsüberprüfung | Semesterendprüfung |
| Hinweise zur Leistungsüberprüfung | Grading is based on a written final exam (70%) and a homework (30%). Written Exam: 14.12.16; 12:15-13:15. WWZ S14: A-Z. You can still withdraw from the examination by submitting a completed, signed form to our office from 18.10.16 until 28.10.16 / 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 17.10.16, please only use MONA for withdrawing. The exam rooms will be published up to 09.12.16. |
| An-/Abmeldung zur Leistungsüberprüfung | Anmeldung: Belegen |
| Wiederholungsprüfung | keine Wiederholungsprüfung |
| Skala | 1-6 0,1 |
| Wiederholtes Belegen | beliebig wiederholbar |
| Zuständige Fakultät | Wirtschaftswissenschaftliche Fakultät / WWZ, studiendekanat-wwz@unibas.ch |
| Anbietende Organisationseinheit | Wirtschaftswissenschaftliche Fakultät |