Universität Wien

040181 KU Advanced Asset Pricing (MA) (2024S)

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

Registration/Deregistration

Note: The time of your registration within the registration period has no effect on the allocation of places (no first come, first served).

Details

max. 50 participants
Language: English

Lecturers

Classes (iCal) - next class is marked with N

  • Monday 13.05. 09:45 - 11:15 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 15.05. 08:00 - 09:30 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Monday 27.05. 09:45 - 11:15 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 29.05. 08:00 - 09:30 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Monday 03.06. 09:45 - 11:15 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 05.06. 08:00 - 09:30 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Monday 10.06. 09:45 - 11:15 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 12.06. 08:00 - 09:30 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Monday 17.06. 09:45 - 11:15 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Monday 17.06. 11:30 - 13:00 Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
  • Wednesday 19.06. 08:00 - 09:30 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock
  • Friday 21.06. 08:00 - 09:30 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Monday 24.06. 09:45 - 11:15 Hörsaal 12 Oskar-Morgenstern-Platz 1 2.Stock
  • Wednesday 26.06. 08:00 - 09:30 Hörsaal 6 Oskar-Morgenstern-Platz 1 1.Stock

Information

Aims, contents and method of the course

The course Asset Pricing I is the first part of a sequence on asset pricing. Asset Pricing I analyses the determinants of asset prices in a complete market setting under symmetric information. Asset Pricing II extends the analysis to the empirically more relevant incomplete market setting with asymmetric information and liquidity risk.

Asset Pricing I provides a unified framework of classical asset pricing theories, according to which individual securities are priced in general market equilibrium taking into account all feedback effects (from other securities). Hence, it provides the foundations of the concept of the market price of risk as well as an understanding of the limits of the equilibrium concept as a basis of understanding financial crises, developed in more detail in Asset Pricing II.

The role of informational asymmetries on market participation, liquidity and, hence, asset prices will be the topic of the advanced course Asset Prices II.

While the course is mainly theoretical, all its motivation as well as the validation of the theories developed in this course is empirical and data-driven.

Assessment and permitted materials

Written (final, homework, quizzes) and oral (presentations, active participation).
The final will carry 45 points.
Homework will carry up to 30 points in total provided the results can be presented in a coherent way.
Active participation and quizzes will carry another 25 points in total.

Minimum requirements and assessment criteria

This course builds on Asset Pricing 1.

In order to pass the course at least 20 points are required in the final and 50 points overall.

Examination topics

Presentations of the lecturer including presentation slides, student presentations, reading list

Reading list

Textbooks:

• Brunnermeier, M.: Asset Pricing under Asymmetric Information, Oxford University Press 2001.
• Duffie, D.: Dynamic Asset Pricing Theory, 3rd edition, Princeton University Press, 2003.
• Hens, T. and M.O. Rieger: Financial Economics, Springer, 2010.
• Skiadas, C.: Asset Pricing Theory, Oxford University Press, 2009.

Further literature will be made available on Moodle.

Association in the course directory

Last modified: We 31.07.2024 11:25