Back to selection
10600-01 - Lecture: Advanced Asset Pricing (6 CP)
| Semester | spring semester 2017 |
| Course frequency | Every spring sem. |
| Lecturers |
Patrick Böhler (patrick.boehler@unibas.ch)
Matthias Huss (matthias.huss@unibas.ch) Heinz Zimmermann (heinz.zimmermann@unibas.ch, Assessor) |
| Content | 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) |
| Learning objectives | Understanding of advanced asset pricing models resp. capital market equilibrium: theoretical foundations, representations, and major empirical testing approaches |
| Bibliography | 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 |
| Admission requirements | 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 |
| Course application | 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. |
| Language of instruction | English |
| Use of digital media | No specific media used |
| Course auditors welcome |
| Interval | Weekday | Time | Room |
|---|
No dates available. Please contact the lecturer.
| Modules |
Specialization Module: Areas of Specialization in International and/or Monetary Economics (Master International and Monetary Economics) Specialization Module: Monetary Economics and Financial Markets (Master Business and Economics) |
| Assessment format | end-of-semester examination |
| Assessment details | Homework on an empirical project (30%) Written exam (70%): 23.03.2017; 10:00-12:00. WWZ S14: A-Z. |
| Assessment registration/deregistration | Registration/deregistration: teaching staff |
| Repeat examination | no repeat examination |
| Scale | 1-6 0,1 |
| Repeated registration | as often as necessary |
| Responsible faculty | Faculty of Business and Economics , studiendekanat-wwz@unibas.ch |
| Offered by | Faculty of Business and Economics |