Asset Pricing

Course Description

The goal is to familiarize students with the theoretical foundations in asset pricing, as well as to provide them with the relevant skills to conduct empirical tests. After attending the course, students should have a basic understanding of prices in financial markets and be able to conduct empirical asset pricing tests.

Requirements

  • Basic education in statistics and mathematics from the Bachelor program is recommended.
  • Knowledge from the course "Unternehmensfinanzierung und Kapitalmarkttheorie" (Prof. Dr. Knobloch) is beneficial but not necessarily required.

Organisation

  • Credit Points: 6
  • Semester: Summersemester (the class will probably not take place in the upcoming summersemester)
  • Scope: Lecture: 2 SH, Tutorial: 2 SH
  • Course Language: English
  • Exam: Depending on the number of participants, either written (120 min.) or oral exam (20 min.) at the end of the semester. The type of examination will be communicated at the beginning of the semester.

Dates

You can find the appointments in the course catalog in the LSF.

Contact

Prof. Dr. Fabian Hollstein

Documents

Lecture and tutorial notes can be found on Moodle.

Syllabus

Chapter 1: Overview of Asset Pricing Topics, Risk Aversion and Risk Premium
Chapter 2: Stochastic Discount Factor (SDF)
Chapter 3: Mean-Variance and Beta Pricing
Chapter 4: Contingent Claims and Discount Factors
Chapter 5: Factor Pricing
Chapter 6: Empirical Asset Pricing Methodologies

Literature

  • Cochrane, J. (2005). Asset Pricing, revised edition. Princeton University Press.