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42778-01 - Vorlesung: Intermediate Finance 3 KP

Semester Herbstsemester 2018
Angebotsmuster Jedes Herbstsemester
Dozierende Heiko Sorg (heiko.sorg@unibas.ch)
Heinz Zimmermann (heinz.zimmermann@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
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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 and students of other Swiss Universities have to enrol at the students administration office (studseksupport1@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 (Masterstudium: International and Monetary Economics)
Vertiefungsmodul: Monetary Economics and Financial Markets (Masterstudium: Wirtschaftswissenschaften)
Leistungsüberprüfung Semesterendprüfung
Hinweise zur Leistungsüberprüfung Grading is based on a written final exam.
written exam: 13.12.18; 10:15-11:15; WWZ Auditorium: A-Z.
You can still withdraw from the examination by submitting a completed, signed form to our office from 16.10.18 until 26.10.18 / 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 15.10.18, please only use MONA for withdrawing. The exam rooms will be published up to 09.12.18.
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

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