Back
Semester | fall semester 2020 |
Course frequency | Every fall sem. |
Lecturers |
Heiko Sorg (heiko.sorg@unibas.ch)
Heinz Zimmermann (heinz.zimmermann@unibas.ch, Assessor) |
Content | 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 |
Bibliography | Course Material: See Syllabus on homepage. |
Comments | |
Weblink | Weblink |
Admission requirements | 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. |
Course application | 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! |
Language of instruction | English |
Use of digital media | No specific media used |
Interval | Weekday | Time | Room |
---|
No dates available. Please contact the lecturer.
Modules |
Module: Theory of Finance (Master's Studies: Actuarial Science) Specialization Module: Areas of Specialization in International and/or Monetary Economics (Master's Studies: International and Monetary Economics) Specialization Module: Monetary Economics and Financial Markets (Master's Studies: Business and Economics) |
Assessment format | end-of-semester examination |
Assessment details | Grading is based on a written final exam. WWZ S15: A-Z. written exam (60'): 10.12.20; 10:15-11:15. 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. The exam rooms will be published up to 05.12.20. |
Assessment registration/deregistration | Registration: course registration |
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 |