Econometrics, Statistics and Empirical Economics

S413 Financial Economics

   
Lecturer

Prof. Dr. Joachim Grammig

Johannes Bleher (MSc.)

   
Level Master, PhD-oriented
   
Profiles

M.Sc. in Economics and Finance,

M.Sc. in Managerial Economics,
M.Sc. in Economics,
M.Sc. in International Economics,
M.Sc. in International Business,
M.Sc. in Accounting and Finance,
M.Sc. in General Management,
M.Sc. in European Economics

   
Language English
   
Time and Place

Monday 12-2 pm, Alte Archäologie, room 10 (Wilhelmstr. 9, entrance Nauklerstr. 2)

Tuersday 8-10 am, Alte Physik, room 02 (Gmelinstr. 6, entrance Nauklerstr.)

Start: 14-10-2019

   
practical class

Wednesday 2-6 pm, PC-lab

Start: 23-10-2019

   
Exam written exam
   
Credit Points 9 ECTS
   
Start of the lecture 14-10-2019
   

Content

Rigorous theoretical background of modern financial economics mostly in discrete time. Relationship of state-preferences, risk-neutral probabilities and pricing kernel. The fundamental theorem of financial economics: existence of a positive SDF and no-arbitrage. Relationship of stochastic discount factor representation of asset pricing models, mean-variance frontier and expected return-beta representations. Recent advances in financial economics, e.g. long-run-risk modeling, rare disaster risk, habit formation. Practical course uses software SAS for empirical analysis. Applications cover aspects from reading data management, working with financial time series, empirical tests of the CAPM, event study analysis, financial distress models, and the analysis of financial transaction data.

Literatur

Cochrane: Asset Pricing

Huang/Litzenberger: Fundations for Financial Economics

Singleton: Empirical Dynamic Asset Pricing

Boehmer/Broussard/Kallunki: Using SAS in Financial Research