Econometrics, Statistics and Empirical Economics

S412 Empirical Asset Pricing

Lecturer Prof. Dr. Joachim Grammig
Level Master

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

M.Sc. in European Management

M.Sc. in International Business

M.Sc. in International Economics

M.Sc. in Managerial Economics

M.Sc. in Economics

Language English
Time and Place

Lecture: Tuesday, from 4pm to 6pm and Friday from 12am to 2pm

HS 24, Kupferbau

Tutorial: Thursday from 2pm to 4pm (online)

Credit Points


Ilias-Passwort 2PassRegression23


The course blends financial economics theory and econometric modelling. The Generalized Method of Moments (GMM) is introduced as a suitable estimation strategy that exploits unconditional moment conditions implied by the basic asset pricing equation. The basic asset pricing equation, which states that asset prices emerge as the conditional expeted value of payoffs weighted by the marginal rate of substitution (the so-called stochastic discount factor, SDF), is derived from the intertemporal decision problem of an investor. Various popular asset pricing models like the CAPM, and the Fama-French-Model are shown to be special cases of the basic asset pricing equation with a specific SDF. The course discusses nonlinear models for the stochastic discount factor, which can be estimated by GMM, and models with a linear SDF, like the CAPM, which can be estimated by regression-based techniques.