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| Semester | fall semester 2024 |
| Course frequency | Every fall sem. |
| Lecturers | Tim Kröncke (t.kroencke@unibas.ch, Assessor) |
| Content | 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. |
| Learning objectives | * 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 |
| Bibliography | The course follows the textbook: "Financial Decisions and Markets: A Course in Asset Pricing", by John Campbell, 2018, Princeton University Press |
| Weblink | Further Information |
| Admission requirements | 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). |
| Course application | 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! |
| Language of instruction | English |
| Use of digital media | No specific media used |
| Interval | Weekday | Time | Room |
|---|---|---|---|
| wöchentlich | Tuesday | 16.15-20.00 | Wirtschaftswissenschaftliche Fakultät, Auditorium |
| Modules |
Module: Core Courses in Finance, Controlling, Banking (Master's Studies: Business and Economics) Module: Fundamentals in Finance and Money (Master's Studies: Finance and Money) 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) Specialization Module: Areas of Specialization in International and/or Monetary Economics (Master's Studies: International and Monetary Economics) |
| Assessment format | main lecture exam |
| Assessment details | 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. |
| Assessment registration/deregistration | Reg.: course registration, dereg: cancel course registration |
| Repeat examination | one repetition, best attempt counts |
| Scale | 1-6 0,1 |
| Repeated registration | one repetition |
| Responsible faculty | Faculty of Business and Economics , studiendekanat-wwz@unibas.ch |
| Offered by | Faculty of Business and Economics |