uni.liVeranstaltungen

5610588: C20 Empirical Methods

zurück zur Übersicht
Semester:WS 23/24
Art:Modul/LV/Prüfung
Sprache:Englisch
ECTS-Credits:3.0
Plansemester:1
Lektionen / Semester:35.0 L / 26.5 h
Selbststudium:63.5 h

Modulleitung/Dozierende

Studiengang

Masterstudium Finance (01.09.2020)

Lehrveranstaltungen

Ziele

  • Testing Market Efficiency and Random Walks
  • Estimating and Testing Asset Pricing Models
  • Forecasting Stock Returns

Lernergebnisse

  • Students can decide when to use a quantitative research approach.
  • Students understand the drivers and behavior of financial asset prices.
  • Students can test market efficiency in various ways and interpret their results.
  • Students understand how asset pricing models can be tested, conduct such tests and interpret their output.
  • Students can link their understanding of asset prices with concepts from Financial Economics.
  • Students understand how and to which amount aggregate as well as individual stock returns can be forecasted.

Kompetenzen

Lehrmethoden

Interactive lecture with exercises

Literatur

Bali, T. G., Engle, R. F., & Murray, S. (2016). Empirical Asset Pricing: The Cross Section of Stock Returns. Hoboken, New Jersey: Wiley.
Campbell, J. Y., Lo, A. W., & MacKinlay, A. C. (2012). The Econometrics of Financial Markets. Princeton University Press.

Prüfungsmodalitäten

See lecture(s) within the module

Prüfungen

  • PWW-MA_Empirical Methods EX (WS 23/24, bewertet)