Econometrics, Statistics and Empirical Economics

S413 Financial Economics

  
LecturerProf. Dr. Joachim Grammig
  
LevelMaster, PhD-oriented
  
Profiles

M.Sc. in Economics and Finance,

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

M.Sc. in International Business

M.Sc. in Data Science in Business and Economics 

  
LanguageEnglish
  
Time and PlaceThursday 2-4 p.m., HS 23, Kupferbau
  
practical classWednesday 12-2 p.m., HS 23, Kupferbau
  
Examtba
  
Credit Points9 ECTS
  
Start of the lecture15-10-2025
  
Ilias-password#FinEcon2025

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