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| Semester | Frühjahrsemester 2022 |
| Angebotsmuster | Jedes Frühjahrsem. |
| Dozierende |
Kaspar Burghartz (kaspar.burghartz@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 of risk premiums from intertemporal models; Factor pricing models; SDF pricing approach with applications; Analyzing pricing errors: model diagnostics and performance; Conditioning information, portfolio selection 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 (2016): Various Lecture Notes on 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 |
| Bemerkungen | Please note, that the course already starts on monday January 31, 2022 9.15 - 17.00 as an Online course with Zoom. This is to avoid an overlap with another course in the same modules. |
| Weblink | Weblink to Syllabus |
| Teilnahmebedingungen | 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 | Applications for this course have to be sent by email to Kaspar Burghartz (kaspar.burghartz-at-unibas.ch) by Jan 28, 2022 Please note that you have confirmed for the spring semester and paid the ordinary tuition fee. Deregistrations are possible until Feb 3, 2022 but not any later! You cannot register by means of the web application MONA; this will be done for you by the Studiensekretariat after the general deadline for registrations, i.e. after March 21, 2022. |
| Unterrichtssprache | Englisch |
| Einsatz digitaler Medien | kein spezifischer Einsatz |
| Intervall | Wochentag | Zeit | Raum |
|---|---|---|---|
| Block | Siehe Einzeltermine | ||
| Bemerkungen | Please note, that the course already starts on monday January 31, 2022 9.15 - 17.00 as an online course with Zoom! |
| Datum | Zeit | Raum |
|---|---|---|
| Montag 31.01.2022 | 09.15-17.00 Uhr | - Online Präsenz -, Online course per Zoom |
| Dienstag 01.02.2022 | 09.15-17.00 Uhr | - Online Präsenz -, Online course per Zoom |
| Mittwoch 02.02.2022 | 09.15-17.00 Uhr | - Online Präsenz -, Online course per Zoom |
| Donnerstag 03.02.2022 | 09.15-17.00 Uhr | - Online Präsenz -, Online course per Zoom |
| Montag 07.02.2022 | 09.15-17.00 Uhr | - Online Präsenz -, Online course per Zoom |
| Dienstag 08.02.2022 | 09.15-17.00 Uhr | - Online Präsenz -, Online course per Zoom |
| Mittwoch 09.02.2022 | 09.15-17.00 Uhr | - Online Präsenz -, Online course per Zoom |
| Module |
Modul: Ausgewählte Themen aus Ökonomie und Rechtswissenschaft (Masterstudium: Actuarial Science) Modul: Core Courses in Business and Economics (Masterstudium: Wirtschaftswissenschaften) Modul: Core Courses in Finance, Controlling, Banking (Masterstudium: Wirtschaftswissenschaften) Modul: Core Courses in Monetary Economics and Financial Markets (Masterstudium: Wirtschaftswissenschaften) Modul: Field Electives in Economics and Public Policy (Masterstudium: Economics and Public Policy) Modul: Specific Electives in Business and Economics (Masterstudium: Wirtschaftswissenschaften) Modul: Specific Electives in Finance, Controlling, Banking (Masterstudium: Wirtschaftswissenschaften) Modul: Specific Electives in Monetary Economics and Financial Markets (Masterstudium: Wirtschaftswissenschaften) Spezialisierungsmodul: Areas of Specialization in International and/or Monetary Economics (Masterstudium: International and Monetary Economics) Vertiefungsmodul: Finance, Controlling and Banking (Masterstudium: Wirtschaftswissenschaften (Studienbeginn vor 01.08.2021)) Vertiefungsmodul: Monetary Economics and Financial Markets (Masterstudium: Wirtschaftswissenschaften (Studienbeginn vor 01.08.2021)) |
| Leistungsüberprüfung | Leistungsnachweis |
| Hinweise zur Leistungsüberprüfung | Homework on an empirical project (30%) Written exam (70%): 23.3.22; 16:15-17:45. WWZ Auditorium: A-Z.In case COVID-19 protective measures prevent examination on site, the faculty reserves the right to conduct the examination electronically during the same time slot. |
| An-/Abmeldung zur Leistungsüberprüfung | An- und Abmelden: Dozierende |
| 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 / WWZ |