ESF:DXF_OCAK Asset Pricing - Informace o předmětu

DXF_OCAK Asset Pricing

Rozsah

0/24/0. 12 kr. Ukončení: zk.

Vyučující

doc. Ing. Tomáš Výrost, PhD. (přednášející)
Oleg Deev, Ph.D. (pomocník)

Garance

doc. Ing. Tomáš Výrost, PhD.
Katedra financí – Ekonomicko-správní fakulta
Kontaktní osoba: Mgr. Lucie Přikrylová
Dodavatelské pracoviště: Katedra financí – Ekonomicko-správní fakulta

Rozvrh

Pá 23. 2. 8:00–11:50 MT205, Pá 8. 3. 8:00–11:50 MT205, Pá 22. 3. 8:00–11:50 MT205, Pá 12. 4. 8:00–11:50 MT205, Pá 26. 4. 8:00–11:50 S307

Předpoklady

The use of own personal laptops with a spreadsheet program is strongly encouraged. The use of econometric software is strongly encouraged (for example, GRETL may be freely downloaded from http://gretl.sourceforge.net/, available for Windows/Linux/Mac). The course participants are expected to be familiar with the following topics: – Univariate and multivariate functions. – Unconstrained optimization, constrained optimization using Lagrange multipliers. – Matrix algebra – addition, multiplication, transpose, inversion. – Basic statistics – expected value, variance, covariance. – Basic econometrics – model specification, estimation via OLS, model assumptions.

Omezení zápisu do předmětu

Předmět je určen pouze studentům mateřských oborů.

Mateřské obory/plány

předmět má 26 mateřských oborů, zobrazit

Cíle předmětu

The aim of this course is to provide the participants with information and practical experience with the most common asset pricing models. The participants should become familiar with the concepts of market efficiency, cross-section of stock returns, CAPM and factor models, as well as term structure modelling.

Výstupy z učení

At the end of this course a student will be able to: - use some of the most common pricing models for modeling return; - use different performance measures in asset pricing; - understand equity premium and risk-free rate puzzles, stochastic discount factor models and consumption-CAPM; - model the term structure.

Osnova

• - Basic concepts in finance and statistics (discounted present value, utility, asset demand, significance tests, linear models, single/multivariate models). - Efficient market hypothesis, predictability of stock returns (definition of EMH, empirical tests of EMH, econometric models for stock return predictability). - CAPM and factor models, performance measures (Capital asset pricing model, systematic risk, performance measures, extensions, Fama-French three-factor model, empirical application and testing). - Stochastic discount factor models, consumption-CAPM (return predictability under C-CAPM, equity premium puzzle, extensions). - Term structure modelling (prices and yields, theories of the term structure, the expectation hypothesis, empirical evidence on the term structure).

Literatura

povinná literatura
• CUTHBERTSON, Keith a Dirk NITZSCHE. Quantitative financial economics : stocks, bonds and foreign exchange. Second edition. Chichester: John Wiley & Sons, 2005, xiv, 720. ISBN 0470091711. info

doporučená literatura
• BALI, Turan G.; ENGLE, Robert F.; MURRAY, Scott. Empirical asset pricing: the cross section of stock returns. John Wiley & Sons, 2016. ISBN 978-1-118-09504-1
• COCHRANE, John H. Asset pricing. Rev. ed. Princeton: Princeton University Press, 2005, xvii, 533. ISBN 0691121370. info
• Financial engineering and computationprinciples, mathematics, algorithms. Edited by Yuh-Dauh Lyuu. New York, NY: Cambridge University Press, 2002, xix, 627 p. ISBN 052178171X. info

Výukové metody

Lectures, online study materials.

Metody hodnocení

Online exam. Grades: 100 - 92 % = A, 91 - 84 % = B, 83 - 76 % = C, 75 - 68 % = D, 67 - 60 % = E, less than 60 % = F.

Vyučovací jazyk

Angličtina

Další komentáře

Studijní materiály
Předmět je dovoleno ukončit i mimo zkouškové období.
Předmět je vyučován každoročně.

• Statistika zápisu (nejnovější)
  
• Permalink: https://is.muni.cz/predmet/econ/jaro2024/DXF_OCAK