Econometrics, Statistics and Empirical Economics

S413 Financial Economics

Lecturer

Prof. Dr. Joachim Grammig

PD Dr. Thomas Dimpfl

LevelMaster, 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

LanguageEnglish
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

Examwritten exam
Credit Points9 ECTS
Start of the lecture18-10-2017

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