Econometrics, Statistics and Empirical Economics

S413 Financial Economics


Prof. Dr. Joachim Grammig

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

Thursday 10-12 am, HS 23, Kupferbau

practical class tba
Exam written exam
Credit Points 9 ECTS
Start of the lecture 19-10-2023
Ilias-password #FinEcon2023


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