Econometrics, Statistics and Empirical Economics

S413 Financial Economics


Prof. Dr. Joachim Grammig

Johannes Bleher (MSc.)

Level Master, PhD-oriented

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


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.


Cochrane: Asset Pricing

Huang/Litzenberger: Fundations for Financial Economics

Singleton: Empirical Dynamic Asset Pricing

Boehmer/Broussard/Kallunki: Using SAS in Financial Research