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| Semester | fall semester 2021 |
| Course frequency | Every fall sem. |
| Lecturers |
Kaspar Burghartz (kaspar.burghartz@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 |
|---|---|---|---|
| unregelmässig | See individual dates | ||
| Comments | The course is planned as an in-class course, if necessary it will be offered in hybrid form, i.e. with a simultaneous livestream or as an online presence course. |
| Date | Time | Room |
|---|---|---|
| Thursday 23.09.2021 | 10.15-14.00 | Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31 |
| Thursday 30.09.2021 | 10.15-14.00 | Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31 |
| Thursday 07.10.2021 | 10.15-14.00 | Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31 |
| Thursday 14.10.2021 | 10.15-14.00 | Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31 |
| Thursday 28.10.2021 | 10.15-14.00 | Wirtschaftswissenschaftliche Fakultät, Seminarraum S14 HG.32 |
| Thursday 04.11.2021 | 10.15-14.00 | Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31 |
| Thursday 11.11.2021 | 10.15-14.00 | Wirtschaftswissenschaftliche Fakultät, Seminarraum S15 HG.31 |
| Modules |
Module: Core Courses in Monetary Economics and Financial Markets (Master's Studies: Business and Economics) Module: Field Electives in Economics and Public Policy (Master's Studies: Economics and Public Policy) Module: Specific Electives in Business and Economics (Master's Studies: Business and Economics) Module: Specific Electives in Monetary Economics and Financial Markets (Master's Studies: Business and Economics) 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 (Start of studies before 01.08.2021)) |
| Assessment format | record of achievement |
| Assessment details | Grading is based on a written final exam. written exam:16.12.21; 14:15-15:45. WWZ S15: A-Z. 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. You can still withdraw from the examination by submitting a completed, signed form to our office from 19.10.21 until 29.10.21 / 12:00 o’clock. Please send your form by mail to belegungstorno-wwz@unibas.ch. You will find the examination withdrawal form on the Homepage of the Student Dean’s Office. Prior to 18.10.21, please only use MONA for withdrawing. |
| Assessment registration/deregistration | Reg.: course registration, dereg: cancel 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 |