Organisation: Instructors: Prof. Dr. Gunter Löffler with Jürgen Bohrmann and Elena Litkin Dates: Monday, 10:15 - 11:45, H20 Wednesday, 12:30 - 14:00, H12 Help sessions: Thursday, 12.15 - 14.00, E020, HeHo 22

News: The results of the late-sit exam have been sent out by email. If you have not received an email with your result, please write an email to Jürgen Bohrmann The results of the exam are available here. If you passed, you can collect your "Schein" in the Department of Finance's secretariat starting from 13 March.

You can send an (even anonymous) feedback using the feedback form and choosing your desired recipient.

Downloads are password protected. The username is „student“. You can use your ANA (Authentifizierter Netzzugangs-Account) from kiz and the webVPN to bypass the protection.

 

Help sessions:

In addition to the excercises we offer regular help sessions. The last help session has taken place on Thursday, 14 February, at 12:30 - 14:00.
During the help sessions you can ask Elena Litkin questions concerning the lecture, the exercises or the papers. Please write Elena an email with your questions in advance of the session, so she can prepare.

 

Downloads - lecture:

Slides for lecture

Lecture on 7th November: Example with S&P and gold price data

Lecture on 19th November - closed-end funds: Link to Germany Funds

Lecture on 19th November - law of one price: Article about arbitraging Chinese stocks

Lecture on 26th November: Interview with W. Sharpe

Lecture on 26th November: Additional slide and correction

Lecture on 28th November: Fama/MacBeth in Excel

Lecture on 5th December: Interviews with E. Fama and K. French

Lecture on 17th December: Equity premium in Excel

Lecture on 17th December: Survey on happiness

Lecture on 4th February: Nobel prize lecture of D. Kahneman

 

Downloads - exercises:

1st problem set

2nd problem set

3rd problem set

3rd problem set - Excel raw data

4th problem set

4th problem set - Excel raw data

Factor loadings on Fama-French-3-Factor model

5th problem set

6th problem set

6th problem set - Excel raw data>

7th problem set

 

Course Outline:

1. Introduction: finance basics
   Time value of money, compounding, measuring return, discount rates, dividend discount model, expected utility
2. The stochastic discount factor
   Using the stochastic discount factor approach to understand returns on risky and risk-free assets
3. Factor pricing models
   The CAPM and the empirical evidence, Fama-French-3-factors
4. Aggregate stock price behavior
   Equity premium puzzle, Time series predictability
5. Rationality and behavioral Finance
   Inflation illusion, bubbles, prospect theory

 

Dates:

Date	Kind	Remark
Mon, 07.01.2008	Lecture
Wed, 09.01.2008	Exercises (5th problem set)	Please read Goyal/Welch (2003).
Mon, 14.01.2008	Lecture
Wed, 16.01.2008	Lecture
Mon, 21.01.2008	Lecture
Wed, 23.01.2008	Exercises (6th problem set)	Please read Shiller (2003).
Mon, 28.01.2008	Lecture
Wed, 30.01.2008	Lecture	Please read Brunnermeier/Nagel (2004).
Mon, 04.02.2008	Lecture
Wed, 06.02.2008	Lecture	Please read Kahneman/Tversky (1979).
Mon, 11.02.2008	Exercises (7th problem set)	Plus Q&A for exam.
Wed, 13.02.2008	Q&A for exam
Wed, 20.02.2008	Exam in H2 and H3 from 8 am to 10 am
Tue, 01.04.2008	Late-sit exam in HeHo 18, room 120, from 2 pm to 4 pm

 

Literature:

• Cochrane: Asset Pricing, 2005, in particular: chapters 1 (not 1.5), 9 (only 9.1), 12 (only 12.3), 20, 21 (21.1), Revised Edition.
  (1st edition will do but check out the typo list on Cochranes homepage.)
• You find a list of papers in the slides.