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| Semester | spring semester 2022 |
| Course frequency | Every spring sem. |
| Lecturers |
Kaspar Burghartz (kaspar.burghartz@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): Various Lecture Notes on 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 |
| Comments | Please note, that the course already starts on monday January 31, 2022 9.15 - 17.00 as an Online course with Zoom. This is to avoid an overlap with another course in the same modules. |
| Weblink | Weblink to Syllabus |
| 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 Kaspar Burghartz (kaspar.burghartz-at-unibas.ch) by Jan 28, 2022 Please note that you have confirmed for the spring semester and paid the ordinary tuition fee. Deregistrations are possible until Feb 3, 2022 but not any later! You cannot register by means of the web application MONA; this will be done for you by the Studiensekretariat after the general deadline for registrations, i.e. after March 21, 2022. |
| Language of instruction | English |
| Use of digital media | No specific media used |
| Interval | Weekday | Time | Room |
|---|---|---|---|
| Block | See individual dates | ||
| Comments | Please note, that the course already starts on monday January 31, 2022 9.15 - 17.00 as an online course with Zoom! |
| Date | Time | Room |
|---|---|---|
| Monday 31.01.2022 | 09.15-17.00 | - Online Präsenz -, Online course per Zoom |
| Tuesday 01.02.2022 | 09.15-17.00 | - Online Präsenz -, Online course per Zoom |
| Wednesday 02.02.2022 | 09.15-17.00 | - Online Präsenz -, Online course per Zoom |
| Thursday 03.02.2022 | 09.15-17.00 | - Online Präsenz -, Online course per Zoom |
| Monday 07.02.2022 | 09.15-17.00 | - Online Präsenz -, Online course per Zoom |
| Tuesday 08.02.2022 | 09.15-17.00 | - Online Präsenz -, Online course per Zoom |
| Wednesday 09.02.2022 | 09.15-17.00 | - Online Präsenz -, Online course per Zoom |
| Modules |
Module: Core Courses in Business and Economics (Master's Studies: Business and Economics) Module: Core Courses in Finance, Controlling, Banking (Master's Studies: Business and Economics) 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: Selected Subjects of Economics and Jurisprudence (Master's Studies: Actuarial Science) Module: Specific Electives in Business and Economics (Master's Studies: Business and Economics) Module: Specific Electives in Finance, Controlling, Banking (Master's Studies: Business and Economics) Module: Specific Electives in Monetary Economics and Financial Markets (Master's Studies: Business and Economics) Specialization Module: Areas of Specialization in International and/or Monetary Economics (Master's Studies: International and Monetary Economics) Specialization Module: Finance, Controlling and Banking (Master's Studies: Business and Economics (Start of studies before 01.08.2021)) 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 | Homework on an empirical project (30%) Written exam (70%): 23.3.22; 16:15-17:45. WWZ Auditorium: 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. |
| 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 |