Asset Pricing

2019-2020
Dit vak wordt in het Engels aangeboden. Omschrijvingen kunnen daardoor mogelijk alleen in het Engels worden weergegeven.

Doel vak

This course aims to deepen your knowledge in the field of asset pricing
and investments.

After completion of the course, you should:
- Understand the determinants of equity returns.
- Understand and be able to apply optimal asset allocations for both
individual and institutional investors.
- Acquire an academic and critical attitude towards competing theories
in investment questions.
- Be able to do advanced analyses on large data sets in software such as
Microsoft Excel.

Inhoud vak

Starting from basic (undergraduate) Investments knowledge, this course
centers around the issues of asset pricing and investments. In the
first week we revisit the well-known mean-variance framework and derive
the standard CAPM. Starting from the second week, we
carefully study the assumptions underlying the CAPM framework and ask
ourselves what they imply for asset pricing. Examples include the
assumption of mean-variance utility, rational expectations, and complete
arbitrage. In the final week, we take a sidestep towards delegated asset
management. Throughout the course, neoclassical and behavioral theories
confronted with each other. The course builds on a combination of
theory and empirics. Students will compete in an
investment game in which they can directly apply their newly acquired
knowledge and experience the real-life issues associated with investing.

Onderwijsvorm

Each of the six weeks of the course feature four hours of lectures and
two hours of tutorials. The content of the tutorials varies. There
will, for example, be guest lectures from finance practitioners,
discussions of the assignments, and in-depth discussions of
particular technical issues.
The focus of the assignments is to apply the theoretical knowledge
from class to real world problems using actual stock market data in
Excel or
other software. In addition to gaining a deeper understanding of the
topics in the course, the assignments will train you in quantitative
computer skills you will need later in their career and prepare you for
similar assignments in other courses and your thesis.

Toetsvorm

Final grade = 0.75*(written exam grade) + 0.25*(assignments grade).

To pass this course, you need a minimum final grade of 5.5 and a minimum
grade of 5.0 on the written exam.

Vereiste voorkennis

You should be familiar with investments at the level of Bodie, Kane &
Marcus, Investments. Undergraduate level knowledge of statistics and
mathematics is also required (e.g., Berenson, Levine, Krehbiel: Basic
Business Statistics; and Sydsaeter and Hammond (2006; Prentice Hall):
Essential Mathematics for Economic Analysis, Sydsaeter, Hammond,
Seierstad, and Strom (2005; Prentice Hall): Further mathematics for
Economic Analysis (chapters 4 and 11)).

Literatuur

- Selected research articles.
- Lecture notes.

Overige informatie

This course can have an in-depth follow-up by choosing the investments
learning line, consisting of an
appropriate investments related Research Project in period 3 as well as
related electives in period 4 (e.g., Institutional Investments and ALM,
Macro and International Finance, Behavioral Finance, Quantitative Risk
Management).

Aanbevolen voorkennis

You are expected to be very versatile in a relevant software package,
such as Microsoft Excel (or any other similarly advance package) and use
it to perform estimation and optimization. Core texts here are Benninga,
Financial Modeling, or (more advanced) Jackson and Staunton, Advanced
modeling in Finance using excel and VBA.

Algemene informatie

Vakcode E_FIN_AP
Studiepunten 6 EC
Periode P1
Vakniveau 400
Onderwijstaal Engels
Faculteit School of Business and Economics
Vakcoördinator prof. dr. R.C.J. Zwinkels
Examinator prof. dr. R.C.J. Zwinkels
Docenten prof. dr. R.C.J. Zwinkels

Praktische informatie

Voor dit vak moet je zelf intekenen.

Werkvormen Hoorcollege, Werkgroep
Doelgroepen

Dit vak is ook toegankelijk als: