DXF_OCAK Asset Pricing

Ekonomicko-správní fakulta
jaro 2019
Rozsah
24/0/0. 12 kr. Ukončení: zk.
Vyučující
doc. Ing. Martin Svoboda, Ph.D. (přednášející)
doc. Ing. Tomáš Výrost, PhD. (přednášející)
Oleg Deev, Ph.D. (pomocník)
Garance
doc. Ing. Martin Svoboda, Ph.D.
Katedra financí – Ekonomicko-správní fakulta
Kontaktní osoba: Mgr. Lucie Přikrylová
Dodavatelské pracoviště: Katedra financí – Ekonomicko-správní fakulta
Rozvrh
Pá 1. 3. 10:15–14:00 S307, Pá 8. 3. 10:15–14:00 S307, Pá 29. 3. 10:15–14:00 S307, Čt 11. 4. 9:00–12:45 S307, Pá 26. 4. 10:15–14:00 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 14 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, exercise sessions and home assignment.
Metody hodnocení
Graded home assignment (20%), written exam (80%). The home assignment must be handed in prior to taking the written exam. The participants are expected to be ready to present their home assignment during the last session upon request. 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.
Předmět je zařazen také v obdobích jaro 2010, jaro 2011, jaro 2012, jaro 2013, jaro 2014, jaro 2015, jaro 2016, jaro 2018, jaro 2020, jaro 2021, jaro 2022, jaro 2023, jaro 2024, jaro 2025.