S413 Financial Economics
Lecturer | Prof. Dr. Joachim Grammig PD Dr. Thomas Dimpfl |
Level | Master, PhD-oriented |
Profiles | M.Sc. in Economics and Finance, M.Sc. in Managerial Economics, |
Language | English |
Time and Place | Wednesday 10-12 am, room 332 (Mohlstraße 36) Thursday 10-12 am, room 332 (Mohlstraße 36) Start: 18-10-2017 |
practical class | Wednesday 4-6 pm, PC-lab Wednesday 6-8 pm, PC-Lab Start: 25-10-2017 |
Exam | written exam |
Credit Points | 9 ECTS |
Start of the lecture | 18-10-2017 |
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