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.
Contents:
Overview of asset pricing topics, risk aversion and risk premium
Stochastic discount factor (SDF)
Mean-variance and beta pricing
Contingent claims and discount factors
Factor pricing
Empirical asset pricing methodologies
- DozentIn: Fabian Hollstein