Asset Pricing (SoSe 2025)

Veranstaltungszeitplan

Hinweis

Organizational Details:

• Lecturer: Prof. Dr. Nicole Branger
• Teaching Assistants: Dr. Timo Wiedemann (timo.wiedemann@wiwi.uni-muenster.de), Jan Harren (jan.harren@wiwi.uni-muenster.de)
• Course Language: English
• ECTS-Credits: 6
• Module (PO 2019): FCM 07
• First term (see timetable on Learnweb)
• Course Assessment: Written exam (120 minutes)

Beschreibung

Course Content:

The first part of the lecture explains the fundamental pricing equation and its intuition. We start with the CAPM as the most famous factor model and discuss tests based on time-series and cross-sectional regressions as well as tests based on portfolio sorts. Motivated by the empirical failure of the CAPM, we study the three-factor model of Fama and French and further extensions as e.g. the Momentum Factor by Carhart (1997) or Profitability and Investment (Fama and French (2015)). We also discuss the reasons why further risk factors besides the market return are priced. Subsequently, we look at the predictability of returns. To explain the predictive power of the price-dividend ratio for future returns, the Campbell-Shiller approximation plays a central role. We also discuss alternative predicting variables like financial ratios or macroeconomic quantities.

In the second part, we consider other asset classes besides stocks. We mainly focus on bonds and currencies and find that the insights from stock markets hold for these assets, too. We revisit the expectations hypotheses and discuss carry trades.

Learning Outcome:

Features Empirical Asset Pricing: To learn about predictability and cross-sectional asset pricing. To learn about testing procedures for factor models, such as regressions and portfolio sorts. To know about other priced factors besides the return on the market portfolio.

Preliminary Syllabus:

• Stylized facts in Asset Pricing
• Cross-Sectional Asset Pricing: Basics, CAPM Theory and Empirics, Intertemporal CAPMm Portfolio Sorts, Fama-French and beyond, Factor Search
• Market Timing: predictive variables, Campbell-Shiller approximation
• Further asset classes: Interest rates predictive variables and expectations hypothesis, Currencies carry trade and momentum

Literatur

Several textbooks cover asset allocation and asset pricing. Notable examples include Cochrane, J. H. (2009), Asset Pricing: Revised Edition, Princeton University Press, and Bali, T. G., Engle, R. F., & Murray, S. (2016), Empirical Asset Pricing: The Cross Section of Stock Returns, Wiley. Additional references, including working papers and journal articles, will be provided in class.

Dozenten

• Prof. Dr. Nicole Branger (verantwortlich)
• Dr. Timo Wiedemann (begleitend)
• Jan Harren (begleitend)