Semester:WS 15/16
Art:Übung
Plansemester:1
Lektionen / Semester:35.0 L / 26.5 h
Selbststudium:93.7 h
Art:Übung
Plansemester:1
Lektionen / Semester:35.0 L / 26.5 h
Selbststudium:93.7 h
Modulleitung/Dozierende
- Florian Schaller, MSc
(Modulleitung)
- Mag. Ulrike Ebli-McKenna
(Modulleitungsassistenz)
- Assoz. Prof. Dr. Martin Angerer
(Interner Dozent)
- Ass.-Prof. Dr. Sebastian Stöckl
(Interner Dozent)
- Assoz. Prof. Dr. Martin Angerer
(Co-Modulleitung)
- Dr. rer. oec. Jurij-Andrei Reichenecker, MSc UZH ETH LL.M.
(Co-Modulleitung)
Studiengang
Masterstudium Finance (01.09.2015)Module
Beschreibung
This lecture is divided into empirical and experimental methods. The empirical methods will cover:
Foundations of Modern Standard Capital Market Theory
- Capital Asset Pricing Model
- Information Efficiency Hypothesis
Typical Market Anomalies
The Event Study Method
- Introduction and Background
- Event Studies in the Short Term
- Event-Studies in the Long Term
Empirical Asset Pricing Tests
- Time-series tests
- Cross-sectional tests
The experimental methods will cover:
- Key concepts of experimental methods
- Introduction to the conceptual framework of experimental finance
- Key decision mindsets of market participants
- Introduction to trading anomalies
- Speculative Bubbles
- Trading behaviour of the 'over the counter' (OTC) market
- Alternative applications of experimental methods in finance
Lernergebnisse
Students...
- understand the concept of capital market efficiency and its implications for capital market theory
- are able to list and identify market anomalies by means of empirical data
- understand crucial steps in event-study methodology and possible fields of its application
- are able to apply event-studies for own empirical investigations
- can distinguish between time-series and cross-sectional tests of the CAPM
- apply empirical asset pricing tests to time-series, cross-sections and panel data
- are able to understand how buyers and sellers set a market price
- know the fundamental rules of experimental methods in finance
- can determine how information is reflected in the market price and evaluated
- participate in experiments and create their own experiment to understand the logical structure behind this approach.
Kompetenzen
Lehrmethoden
Interactive lecture with exercises
Literatur
Required reading for Empirical Methods:
- Campbell, J. Y., Lo, A. W., & MacKinlay, A. C. (1997). The econometrics of financial markets Princeton: Princeton University Press.
- Cochrane, J. H. (2005). Asset pricing, Princeton: Princeton University Press.
Required reading for Experimental Methods:
- Current academic papers will be used in the course. They will be announced at the beginning of the term.
Prüfungsmodalitäten
Part Experimental Methods: Written Exam
Termine
Datum | Zeit | Raum |
24.09.2015 | 13:30 - 16:45 | H4 |
01.10.2015 | 13:30 - 16:45 | H4 |
08.10.2015 | 13:30 - 16:45 | H4 |
15.10.2015 | 13:30 - 16:45 | H4 |
22.10.2015 | 13:30 - 16:45 | H4 |
29.10.2015 | 09:00 - 15:00 | H4 |
29.10.2015 | 15:00 - 00:00 | H4 |
30.10.2015 | 09:00 - 15:00 | H4 |
05.11.2015 | 13:00 - 15:30 | H4 |
Prüfungen
- PWW-MA_Empirical and Experimental Methods in Finance (WS 15/16, in Bewertung)