Organisation: Instructors: Prof. Dr. Gunter Löffler with Prof. Dr. Peter N. Posch and Jürgen Bohrmann and Roman Scholze Dates: Wednesday, 16:15 - 17:45, H15 Thursday, 14:15 - 15:45, H7 Help sessions: Monday, 14:15 - 15:45, room 2002 in O28

News: Results of the exam available here. Late-sit exam on Wednesday, 21st April, between 6-8 pm in Heho 18, room 120. Please do register in time with Studentensekretariat, bring student ID and handcalculator.

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 Mondays between 14:15 and 15:45 in room 2002 in O28 (opposite of H22).
During the help sessions you can ask Roman Scholze questions concerning the lecture, the exercises or the papers. Please write Roman an email with your questions well in advance of the session (best would be until Friday preceding the session), so he can prepare. Please scroll down to find a timetable for the help sessions.

 

Downloads - Lecture:

Introduction

Lecture slides (3-on-1)

Lecture slides (2-on-1)

Lecture slides part II (3-on-1)

Lecture slides part II (2-on-1)

Derivations in detail

Equity Puzzle (xls)

 

Downloads - Exercises:

1st exercise problem set solution (pdf) solution (xls)

2nd exercise problem set solution (pdf) solution (xls)

3rd exercise problem set xls solution (pdf) solution (xls)

4th exercise problem set xls solution (pdf) solution (xls)

5th exercise problem set xls solution (pdf) solution (xls)

6th exercise problem set xls solution (pdf) solution (xls)

7th exercise problem set> solution (pdf) solution (xls)

 

Downloads - Exam:

Old exam from WS 2008/2009

Exam preparation hints (pdf)

 

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
   Bubbles, Prospect Theory

 

Exam:

The exam will take place on Friday, 12th of February 2010, between 12.00 and 2.00 pm in H4/5. Please do not forget to register for the exam with the Studiensekretariat at least one week before the exam, if you are writing for a grade.

 

Lecture Timetable:

Date	Kind	Remark
Wed, 14.10.2009	Lecture
Thu, 15.10.2009	Lecture
Wed, 21.10.2009	Lecture
Thu, 22.10.2009	Lecture
Wed, 28.10.2009	Exercises 1st problem set	Problem set1
Thu, 29.10.2009	Lecture
Wed, 4.11.2009	Lecture
Thu, 5.11.2009	Lecture
Wed, 11.11.2009	Exercises 2nd problem set
Thu, 12.11.2009	Lecture
Wed, 18.11.2009	Lecture
Thu, 19.11.2009	Lecture
Wed, 25.11.2009	Exercises 3rd problem set
Thu, 26.11.2009	Lecture	Read Fama/French (1992) for this lecture
Wed, 2.12.2009	Lecture	Read Fama/French (1996) for this lecture
Thu, 3.12.2009	Exercises 4th problem set
Wed, 9.12.2009	Lecture	Class ends at 5.10pm
Thu, 10.12.2009	Lecture
Wed, 16.12.2009	Lecture
Thu, 17.12.2009	Lecture
Wed, 23.12.2009	No lecture. Season's Greetings.
Thu, 7.1.2010	Exercises 5th problem set
Wed, 13.1.2010	Lecture
Thu, 14.1.2010	Lecture
Wed, 20.1.2010	Lecture
Thu, 21.1.2010	Exercises 6th problem set
Wed, 27.1.2010	Lecture
Thu, 28.1.2010	Lecture
Wed, 3.2.2010	Lecture
Thu, 4.2.2010	Lecture
Wed, 10.2.2010	Exercises 7th problem set
Thu, 11.2.2010	Review of old exam

 

Help Session Timetable:

Date	Content
Monday, 26.10.2009	Discounting, utility, basic regression analysis
Monday, 02.11.2009	Questions from students, topics of last week
Monday, 09.11.2009	Questions from students, topics of last week
Monday, 16.11.2009	Questions from students, topics of last week
Monday, 23.11.2009	Questions from students, topics of last week
Monday, 30.11.2009	Questions from students, topics of last week
Monday, 07.12.2009	Questions from students, topics of last week
Monday, 14.12.2009	Questions from students, topics of last week
Monday, 21.12.2009	Questions from students, topics of last week
Monday, 18.01.2010	Questions from students, topics of last week
Monday, 25.01.2010	Questions from students, topics of last week
Monday, 01.02.2010	Questions from students, topics of last week
Monday, 08.02.2010	Questions from students, topics of last week

 

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.