Universität Wien FIND
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040029 SE Seminar Asset Pricing (MA) (2019S)

Market Microstructure

4.00 ECTS (2.00 SWS), SPL 4 - Wirtschaftswissenschaften
Continuous assessment of course work

Details

max. 24 participants
Language: English

Lecturers

Classes (iCal) - next class is marked with N

Introduction and allocation of topics at the first meeting at March 3rd.
Final presentations are scheduled for the morning of June 17 (i.e. 8:00-13:00) at the Skylounge (tbc).

Monday 04.03. 15:00 - 16:30 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
Monday 11.03. 15:00 - 16:30 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
Monday 18.03. 15:00 - 16:30 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
Monday 25.03. 15:00 - 16:30 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
Monday 01.04. 15:00 - 16:30 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
Monday 08.04. 15:00 - 16:30 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
Monday 29.04. 15:00 - 16:30 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
Monday 06.05. 15:00 - 16:30 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
Monday 13.05. 15:00 - 16:30 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
Monday 20.05. 15:00 - 16:30 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
Monday 27.05. 15:00 - 16:30 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
Monday 03.06. 15:00 - 16:30 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
Monday 17.06. 15:00 - 16:30 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
Friday 21.06. 08:00 - 14:45 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
Monday 24.06. 15:00 - 16:30 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock

Information

Aims, contents and method of the course

https://homepage.univie.ac.at/thomas.gehrig/Topics%20in%20Asset%20Pricing%20-%200219%20-%20Syllabus.pdf

Predicting asset prices has always fascinated practitioners as well as academics. Despite the huge successes of simple models to explain the basic phenomena of asset prices, standard theories provide little guidance for a vast variety of practical challenges.

The tremendous post-crisis success of ETFs does generate the emergence of common ownership. Industry 4.0 and the digital economy deeply change the interconnection of productive firms as well as the relative allocation of labor and (machine) capital. Social security affects employee risk and the cost of labor. Will, and if so how will these developments affect asset prices?

Likewise, how can we attempt to understand the widely and robustly observed cyclicality in risk premia? How can bubbles emerge and which are the determinants that limit apparent (?) arbitrage opportunities?

Moreover, how are asset prices related to individual attitudes and behavior? Which are the determinants of trust and which are the asset pricing implications of breaking trust? Are environmental attitudes priced and (how) are environmentally friendly business models rewarded by the (anonymous) market?

Assessment and permitted materials

Seminar thesis (50%)
Presentation (25%)
Active discussion of work of peers (25%)

Attendance mandatory. Course organization will be introduced and the presentation schedule will be arranged in the first meeting at October 1st. Failure to show up in the first meeting may result in the non-availability of presentation slots.

Minimum requirements and assessment criteria

This is an advanced master-level seminar. It also serves as a potential basis for the preparation of a master thesis or other advanced work. Therefore, having passed successfully the course "Basics of Finance" and Asset Pricing I" is a pre-requirement.

Grading is based on three elements:

1.The worked out seminar paper (50 points).
Each candidate has to submit a single-authored paper not exceeding 12 pages.
The seminar draft has to be submitted one week prior to the presentation in electronic form. This version is distributed to seminar participants in order to allow them preparation. After the presentation the paper can still be improved.
Final submission for all papers is July 1, 2019. Thereafter no corrections are possibly anymore.

2. Presentation of the seminar paper (25 points)
Presentations can be shared, but each candidate will be assessed on his/her own part.

3. Course participation (25 points)
Active preparation and participation are required as well as active reception and discussion of the work and presentations of peers. A seminar requires two-way communication, i.e. both a sender and a receiver. Accordingly, both roles will be relevant for grading.

Examination topics

Active participation in all presentations is required.

Reading list

A literture list will be introduced and made accessible (via Moodle) in the first meeting.

Association in the course directory

Last modified: We 03.07.2019 16:47