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Internationale Betriebswirtschaftslehre

Capital Market Theory (formerly Kapitalmarkttheorie)

Exam number: 3035

Semester: from 4th semester (Schwerpunktbildung)

Duration of the module: One semester

Form of the module (i.e. obligatory, elective etc.): obligatory for the major in "Finance"; elective otherwise

Frequency of module offer: Each summer semester. Until summer semester 2020 in German (Kapitalmarkttheorie).

Prerequisites: Fundamentals of Microeconomics, Statistics and Mathematics (analysis und lineare algebra). Grundlagenausbildung should be completed.

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):
Participants are able to apply the fundamental principle of rational decision making under uncertainty to optimization problems of modern capital market theory. Participants can calculate the moments of probability distributions of both individual risky investments as well as of portfolios of risky investments with arbitrary count. Participants can determine efficient portfolios and are able to quantify the relationship between risk and return in equilibrium. Participants can determine the systematic risk of risky investments. Participants can distinguish equilibrium asset pricing (Capital Asset Pricing Model) and no-arbitrage asset pricing (Arbitrage Pricing Theory) as well as statistical risk-return-models (Market Model of Sharpe). Participants can test the relationship between risk and return empirically. Participants can understand and analyze fundamental problems in capital markets. Participants can further specialize in modern finance.

Contents of the module:
Axioms of rational choice, rational decision making under uncertainty, expected utility maximization theorem, multivariate normal distribution, portfolio theory, efficient frontier, capital market equilibrium, Capital Market Line, Capital Asset Pricing Model (CAPM), security market line, market model, empirical test of the CAPM, arbitrage pricing theory.

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

Literature (compulsory reading, recommended literature):
Fabozzi, Frank J. (1997), The Handbook of Fixed Income Securities, 5. ed., Mcgraw-Hill.
Campbell, Lo and MacKinlay (1997), The econometrics of financial markets, chap. 5, pp.181-218, especially sections 5.1, 5.2, 5.7.1, 5.8.
Cochrane, John (2005), Asset pricing, chapter 12, section 12.3.
Copeland, Thomas E., Fred J. Weston und Kuldeep Shastri (2005), Financial Theory and Corporate Policy, 4. ed., Pearson Addison-Wesley. Chaps. 3, 5, 6. Apps. B, C, D.
Fama and MacBeth (1973), Risk, return, and equilibrium: Empirical tests, Journal of Political Economy 81, 607-636.
Franke, Günter und Herbert Hax (2003), Finanzwirtschaft des Unternehmens und Kapitalmarkt, 5. ed., Springer.
Huang, Chi-fu und Robert H. Litzenberger (1988), Foundations for Financial Economics, Prentice Hall. Chaps. 1, 3.

Further information:
Registration in Moodle Viadrina required.