HomeAsset Pricing WS 2008/09
Organisation:
|
News:
|
|||||||||
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.
Help sessions will take place on Thursdays between 2:15 and 3:45 pm in room 2002 in O28 (close to H22).
During the help sessions you can ask Shuonan Yuan or Christian de la Torre questions concerning the lecture, the exercises or the
papers. Please write Shuonan or Christian an email with your questions well in advance of the session (best would be until Sunday preceding the session), so they can prepare.
Please scroll down to find a timetable for the help sessions, the tutor holding the respective session and the planned content.
Downloads - Lecture:
Downloads - Exercises:
Course Outline:
-
Introduction: finance basics
Time value of money, compounding, measuring return, discount rates, dividend discount model, expected utility -
The stochastic discount factor
Using the stochastic discount factor approach to understand returns on risky and risk-free assets -
Factor pricing models
The CAPM and the empirical evidence, Fama-French-3-factors -
Aggregate stock price behavior
Equity premium puzzle, time series predictability -
Rationality and Behavioral Finance
Bubbles, Prospect Theory
Exam:
The late-sit exam in Asset Pricing is going to take place on Thursday, 16th of April 2009, between 10.00 am and 12.00 am in H11. Do not forget to register for the exam in the Studentensekretariat. We aim to start at 10.00 am without time delay. Please bring student id and handcalculator with you.
Lecture Timetable:
| Date | Kind | Remark |
|---|---|---|
| Wed, 15.10.2008 | Lecture | |
| Fri, 17.10.2008 | Lecture | |
| Wed, 22.10.2008 | Lecture | |
| Fri, 24.10.2008 | Lecture | |
| Wed, 29.10.2008 | Exercises | 1st problem set |
| Fri, 31.10.2008 | Lecture | |
| Wed, 05.11.2008 | Lecture | |
| Fri, 07.11.2008 | Exercises | 2nd problem set |
| Wed, 12.11.2008 | Lecture | |
| Fri, 14.11.2008 | Lecture | |
| Wed, 19.11.2008 | Lecture | |
| Fri, 21.11.2008 | Lecture | |
| Wed, 26.11.2008 | Exercises | 3rd problem set |
| Fri, 28.11.2008 | Lecture | |
| Wed, 03.12.2008 | Lecture | |
| Fri, 05.12.2008 | Lecture | Please read Fama/French (1992) |
| Wed, 10.12.2008 | Lecture | |
| Fri, 12.12.2008 | Exercises | 4th problem set |
| Wed, 17.12.2008 | Lecture | |
| Fri, 19.12.2008 | Lecture | |
| Wed, 07.01.2009 | Exercises | 5th problem set - please read Goyal/Welch |
| Fri, 09.01.2009 | Lecture | |
| Wed, 14.01.2009 | Lecture | |
| Fri, 16.01.2009 | No lecture | |
| Wed, 21.01.2009 | Exercises | 6th problem set - please read the first part of Shiller |
| Fri, 23.01.2009 | Lecture | |
| Wed, 28.01.2009 | Lecture | Please read Malkiel |
| Fri, 30.01.2009 | Lecture | Please read Brunnermeier/Nagel |
| Wed, 04.02.2009 | Exercises | 7th problem set |
| Fri, 06.02.2009 | Lecture | |
| Wed, 11.02.2009 | Lecture | |
| Fri, 13.02.2009 | Lecture |
Help Session Timetable:
| Date | Tutor | Content |
|---|---|---|
| Thu, 23.10.2008 | Shuonan | Discounting, utility, basic regression analysis |
| Thu, 30.10.2008 | Shuonan | Basic pricing equation - derivation and interpretation |
| Thu, 06.11.2008 | Shuonan | Return on risk-free asset - derivation and interpretation |
| Thu, 13.11.2008 | Christian | Mean-variance efficient frontier, return on risky asset |
| Thu, 20.11.2008 | Shuonan | Wrap-up of chapter 2, maybe introduction to CAPM |
| Thu, 27.11.2008 | Christian | Derivation and interpretation of the CAPM |
| Thu, 04.12.2008 | Christian | Fama/French (1992), regression basics |
| Thu, 18.12.2008 | Shuonan | Fama-French 3 factors |
| Thu, 15.01.2008 | Christian | Equity premium puzzle, predictability |
| Thu, 22.01.2008 | Shuonan | Predictability (Goyal/Welch, Shiller, Cochrane's identity) |
| Thu, 29.01.2008 | Christian | Predictability, bubbles |
| Thu, 05.02.2008 | Christian | Prospect theory |
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.) - The 1st chapter of Cochrane is freely available over the website of the Princeton University Press.
- You find a list of papers in the slides.