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| Semester | Herbstsemester 2024 |
| Angebotsmuster | Jedes Herbstsemester |
| Dozierende | Tim Kröncke (t.kroencke@unibas.ch, BeurteilerIn) |
| Inhalt | We start with studying optimal consumption and investment decisions in a one period model under uncertainty and risk aversion. This leads us to the construction of a static equilibrium model of financial asset valuation, the Capital Asset Pricing Model (CAPM). We discuss alternative approaches with arbitrage-based valuation and multifactor models. We emphasize the link between the different approaches and show that they are, in fact, different specifications of the same equation, namely a characterization of the stochastic discount factor. The Consumption-Based Asset Pricing Model (C-CAPM) is introduced as an application of the stochastic discount factor framework. In the final part of the course, we discuss the concept of market efficiency and the possibility of return predictability. Empirical methods are presented and applied to test the empirical validity of the different models. |
| Lernziele | * Choice Under Uncertainty * Portfolio Choice * Mean-Variance Analysis * The Capital Asset Pricing Model * Multifactor Asset Pricing Models * The Consumption-CAPM * The Equity Premium and the Bond Premium * Market Efficiency * Present Value Relations * Empirical Assessment of Asset Pricing Models |
| Literatur | The course follows the textbook: "Financial Decisions and Markets: A Course in Asset Pricing", by John Campbell, 2018, Princeton University Press |
| Weblink | Further Information |
| Teilnahmebedingungen | Basic mathematics and statistics are required (e.g., derivatives, expansions, variances and covariances, linear regression, matrix algebra); standard bachelor economics (e.g., indifference curves, utility functions, monetary policy); basics of financial markets and financial management (e.g., time value of money, NPV, properties of stocks and bonds). |
| Anmeldung zur Lehrveranstaltung | Registration: Please enroll in the Online Services (services.unibas.ch); Eucor-Students and mobility students of other Swiss Universities or the FHNW first have to register at the University of Basel BEFORE the start of the course and receive their login data by post (e-mail address of the University of Basel). Processing time up to a week! Detailed information can be found here: https://www.unibas.ch/de/Studium/Mobilitaet.html After successful registration you can enroll for the course in the Online Services (services.unibas.ch). Applies to everyone: Enrolment = Registration for the course and the exam! |
| Unterrichtssprache | Englisch |
| Einsatz digitaler Medien | kein spezifischer Einsatz |
| Intervall | Wochentag | Zeit | Raum |
|---|---|---|---|
| wöchentlich | Dienstag | 16.15-20.00 | Wirtschaftswissenschaftliche Fakultät, Auditorium |
| Datum | Zeit | Raum |
|---|---|---|
| Dienstag 17.09.2024 | 16.15-20.00 Uhr | - Siehe Bemerkung, Homework instead of lecture (see information in course directory and/or ADAM) |
| Dienstag 24.09.2024 | 16.15-20.00 Uhr | Wirtschaftswissenschaftliche Fakultät, Auditorium |
| Dienstag 01.10.2024 | 16.15-20.00 Uhr | Wirtschaftswissenschaftliche Fakultät, Auditorium |
| Dienstag 08.10.2024 | 16.15-20.00 Uhr | Wirtschaftswissenschaftliche Fakultät, Auditorium |
| Dienstag 15.10.2024 | 16.15-20.00 Uhr | Wirtschaftswissenschaftliche Fakultät, Auditorium |
| Dienstag 22.10.2024 | 16.15-20.00 Uhr | Wirtschaftswissenschaftliche Fakultät, Auditorium |
| Dienstag 29.10.2024 | 16.15-20.00 Uhr | Wirtschaftswissenschaftliche Fakultät, Auditorium |
| Dienstag 05.11.2024 | 16.15-20.00 Uhr | Wirtschaftswissenschaftliche Fakultät, Auditorium |
| Dienstag 12.11.2024 | 16.15-20.00 Uhr | Wirtschaftswissenschaftliche Fakultät, Auditorium |
| Dienstag 19.11.2024 | 16.15-20.00 Uhr | Wirtschaftswissenschaftliche Fakultät, Auditorium |
| Dienstag 26.11.2024 | 16.15-20.00 Uhr | Wirtschaftswissenschaftliche Fakultät, Auditorium |
| Dienstag 03.12.2024 | 16.15-20.00 Uhr | Wirtschaftswissenschaftliche Fakultät, Auditorium |
| Dienstag 10.12.2024 | 16.15-20.00 Uhr | Wirtschaftswissenschaftliche Fakultät, Auditorium |
| Module |
Modul: Ausgewählte Themen aus Ökonomie und Rechtswissenschaft (Masterstudium: Actuarial Science) Modul: Core Courses in Finance, Controlling, Banking (Masterstudium: Wirtschaftswissenschaften) Modul: Fundamentals in Finance and Money (Masterstudium: Finance and Money) Modul: Specific Electives in Business and Economics (Masterstudium: Wirtschaftswissenschaften) Modul: Specific Electives in Finance, Controlling, Banking (Masterstudium: Wirtschaftswissenschaften) Spezialisierungsmodul: Areas of Specialization in International and/or Monetary Economics (Masterstudium: International and Monetary Economics) |
| Leistungsüberprüfung | Examen |
| Hinweise zur Leistungsüberprüfung | The course is worth 6 ECTS credit points. Grading is based on a 90-minutes written exam at the end of the lecture. The exam is open-book (no electronic devices permitted). Date of the exam: tbd repeat exam: tbd IMPORTANT: For courses with a main lecture exam, a repeat exam is offered in addition to the regular examination date.This repeat examination can only be taken if the student has taken part in and failed the regular examination (grade < 4.0) see English translation of the study guide of our master programs by December 13, 2021: Paragraph 4.13.4.1. |
| An-/Abmeldung zur Leistungsüberprüfung | Anm.: Belegen Lehrveranstaltung; Abm.: stornieren |
| Wiederholungsprüfung | eine Wiederholung, bester Versuch zählt |
| Skala | 1-6 0,1 |
| Wiederholtes Belegen | einmal wiederholbar |
| Zuständige Fakultät | Wirtschaftswissenschaftliche Fakultät / WWZ, studiendekanat-wwz@unibas.ch |
| Anbietende Organisationseinheit | Wirtschaftswissenschaftliche Fakultät / WWZ |