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| Semester | Herbstsemester 2017 |
| Angebotsmuster | Jedes Herbstsemester |
| Dozierende | Tim Kröncke (t.kroencke@unibas.ch, BeurteilerIn) |
| Inhalt | Content: The classic asset pricing models (CAPM, APT) do not explicitly take the time dimension 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 discuss the equity premium puzzle • We address intertemporal valuation problems by an analysis of the variability and predictive power of dividend-price and other valuation ratios • We discuss excess volatility of stock prices with respect to fundamentals • We derive the pricing implications of models that can explain the equity premium and return predictability: habits, long-run risks and rare disasters • We discuss how better data can improve existing models |
| Literatur | Course Material: 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 course "Advanced Empirical Finance" covers empirical exercises of some of the models that we cover and will be complementary to this course. |
| 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 |
Modul Finanztheorie (Masterstudium: Actuarial Science) 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. written exam: 14.12.17; 16:15-17:45. WWZ S15: A-Z. You can still withdraw from the examination by submitting a completed, signed form to our office from 17.10.17 until 27.10.17 / 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 16.10.17, please only use MONA for withdrawing. The exam rooms will be published up to 08.12.17. |
| 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 |