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5710690: Empirical Asset Pricing (lecture)

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Semester:SS 24
Type:Lecture
Scheduled in semester:2
Semester Hours per Week / Contact Hours:60.0 L / 45.0 h
Self-directed study time:75.0 h

Module coordination/Lecturers

Curricula

Master's degree programme in Finance (01.09.2015)
Master's degree programme in Finance (01.09.2020)

Modules

Description

> Review of Portfolio Theory and Asset Pricing
> Extension of the CAPM
> CAPM, Anomalies & Multi-Factor Models
> Predictability of Asset Returns
> From Traditional to Mean-Variance Investing and Beyond
> Performance Evaluation
> Portfolio Execution, Monitoring, Rebalancing and Costs

Qualifications

Lectures Method

> Interactive lecture
> Exercises

Literature

> Elton, E., Gruber, M. J., Brown, S. J., & Goetzmann, W. N. (2010). Modern portfolio theory and investment analysis (8th ed.). Hoboken: Wiley.
> Lecture notes, Exercises, and other material distributed during the lectures.
> CFA Material

Exam Modalities

Written closed book examination (90 minutes)

Dates

DatumZeitRaum
20.02.202413:15 - 14:45H4
23.02.202409:00 - 12:15H4
27.02.202413:15 - 16:30H4
05.03.202413:15 - 14:45H4
12.03.202413:15 - 16:30H4
22.03.202409:00 - 10:30H4
26.03.202413:15 - 16:30H4
09.04.202413:15 - 16:30H4
16.04.202413:15 - 14:45H4
30.04.202413:15 - 16:30H4
07.05.202413:15 - 14:45H4
14.05.202413:15 - 16:30H4

Exams

  • PWW-MA_Empirical Asset Pricing LE (SS 24, bewertet)
  • PWW-MA_Empirical Asset Pricing LE (retake) (WS 24/25, bewertet)