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| Semester | Frühjahrsemester 2017 |
| Angebotsmuster | Jedes Frühjahrsem. |
| Dozierende |
Patrick Böhler (patrick.boehler@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): Variosu Lecture on 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 |
| 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 Patrick Böhler (patrick.boehler-at-unibas.ch) by Feb 5th, 2017. You do not have to register by means of the web application MONA; this will be done for you by the Studiensekretariat. Please note that for this it is necessary that you have confirmed for the spring semester and paid the ordinary tuition fee. |
| Unterrichtssprache | Englisch |
| Einsatz digitaler Medien | kein spezifischer Einsatz |
| HörerInnen willkommen |
| Intervall | Wochentag | Zeit | Raum |
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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 | Homework on an empirical project (30%) Written exam (70%): 23.03.2017; 10:00-12:00. WWZ S14: A-Z. |
| 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 |