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Asset Pricing

Exam number: 6593

Semester: from 1st semester

Duration of the module: One semester

Form of the module (i.e. obligatory, elective etc.): Elective

Frequency of module offer: Each third semester

Prerequisites: Fundamentals of Microeconomics, Statistics, Dynamic Optimization, Mathematics and Capital Market Theory.

Applicability of module for other study programmes:
Obligatory or elective in other study programmes. For further information check regulations of the study programme.

Person responsible for module: Prof. Dr. Karl L. Keiber

Name of the professor: Prof. Dr. Karl L. Keiber

Language of teaching: English

ECTS-Credits (based on the workload): 6

Workload and its composition (self-study, contact time):
Contact time (lecture, tutorials, seminar etc.) 33,75 h; self-study: 146,25 h

Contact hours (per week in semester): 3

Methods and duration of examination:
Successful written exam (120 min)

Emphasis of the grade for the final grade: Please check regulations of the study programme

Aim of the module (expected learning outcomes and competencies to be acquired):
The goal of the course is to relate the most important paradigms of finance as regards asset pricing to each other. This is done by deriving the so called Euler equation as guiding principle of asset pricing.

Contents of the module:
- Different views of asset pricing
- Saving and consumption decisions and asset pricing
- Stochastic discount factor - Prices of gross returns and excess returns
- Classic issues in Finance
- Mean-variance frontier and the stochastic discount factor
- Equity premium puzzle
- Predictability of asset prices or asset returns
- Multiperiod valuation
- Stochastic discount factor in continuous time
- Projections
- Intertemporal CAPM
- Consumption CAPM

Teaching and learning methods:
Lecture with tutorials, self-studies

Literature (compulsory reading, recommended literature):
Breeden, Douglas T. (1979), An intertemporal asset pricing model with stochastic consumption and investment opportunities, Journal of Financial Economics 7, 265-296.
Campbell, John Y., Andrew W. Lo and A. Craig MacKinlay (1997), The econometrics of financial markets, Princeton University Press, Chap. 8.
Cochrane, John H. (2005), Asset pricing (Revised), Princeton University Press.
Merton, Robert C. (1973), An intertemporal capital asset pricing model, Econometrica 41, 867-887, reproduced in: Merton, Robert C. (1990), Continuous-time finance, Blackwell, Chap. 15.
Munk, Claus (2013), Financial Asset PricingTheory, Oxford University Press, Chaps. 8, 9.
Pennacchi, George (2007), Theory of Asset Pricing, Prentice Hall. Chaps. 12-13.
Sharpe, William F. (1964), Capital asset prices: a theory of market equilibrium under conditions of risk, Journal of Finance 19(3), 425-442.
Skiadas, Costis (2009), Asset Pricing Theory, Princeton University Press.

Further information:
Registration in Moodle Viadrina required.