Semester:WS 22/23
Type:Module/Course/Examination
Language:English
ECTS-Credits:3.0
Scheduled in semester:1
Semester Hours per Week / Contact Hours:35.0 L / 26.5 h
Self-directed study time:63.5 h
Type:Module/Course/Examination
Language:English
ECTS-Credits:3.0
Scheduled in semester:1
Semester Hours per Week / Contact Hours:35.0 L / 26.5 h
Self-directed study time:63.5 h
Module coordination/Lecturers
- Ass.-Prof. Dr. Sebastian Stöckl
(Modulleitung)
- Ass.-Prof. Dr. Sebastian Stöckl
(Interner Dozent)
Curricula
Master's degree programme in Finance (01.09.2020)Lecture Goals
- Testing Market Efficiency and Random Walks
- Estimating and Testing Asset Pricing Models
- Forecasting Stock Returns
Learning Outcomes
- 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.
Qualifications
Lectures Method
Interactive lecture with exercises
Literature
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.
Exam Modalities
See lecture(s) within the module
Exams
- PWW-MA_Empirical Methods EX (WS 22/23, bewertet)