Course Schedule

Start > Masterprogramm Management & Entrepreneurship (M.A./M.Sc.) -> Major Management & Financial Institutions -> Asset Management

Lehrveranstaltungen

Asset Management (Seminar)

Dozent/in: Andrea Schertler

Termin:
 Einzeltermin | Fr, 30.10.2015, 10:00 - Fr, 30.10.2015, 12:00 | C 11.319 Seminarraum
wöchentlich | Mittwoch | 08:15 - 11:45 | 02.12.2015 - 29.01.2016 | C 6.321 Seminarraum | 2nd half of the term
Einzeltermin | Fr, 12.02.2016, 12:00 - Fr, 12.02.2016, 16:00 | C 6.321 Seminarraum
Einzeltermin | Fr, 26.02.2016, 10:00 - Fr, 26.02.2016, 16:00 | C 6.321 Seminarraum

Inhalt: People have to decide on how much to consume today and how much to postpone to the future. Given that they want to postpone some of their today’s income to the future, they have to decide on how to build their portfolios. This seminar deals with portfolio creation, equilibrium capital market models, such as the Capital Asset Pricing Model and Arbitrage Pricing Theory, as well as irrational explanations that help understand outcomes in stock markets. Topics: 1 Empirical tests of the capital asset pricing model Jensen, M. C., F. Black, and M. S. Scholes (2006). The Capital Asset Pricing Model: Some Empirical Tests 2 Arbitrage pricing theory (APT) Roll, R. and S. Ross (1980). An empirical investigation of the arbitrage pricing theory. Journal of Finance 35 (5): 1073–1103. 3 Recent developments in factor models Fama, E. F. and K. R. French (2014). A five-factor asset pricing model. Fama-Miller Working Paper. 4 Prospect theory and the equity premium puzzle Benartzi, S., and R. Thaler (1995). Myopic loss aversion and the equity premium puzzle. Quarterly Journal of Economics 110:75−92. 5 Long-term reversals De Bondt,W., and R. Thaler (1985). Does the stock market overreact? Journal of Finance 40:793−808. 6 Insufficient diversification French, K., and J. Poterba (1991). Investor diversification and international equity markets. American Economic Review 81:222−226. 7 Naive diversification Benartzi, S., and R. Thaler (2001). Naıve diversification strategies in defined contribution savings plans. American Economic Review 91:79−98. 8 Excessive trading Barber, B., and T. Odean (2000). Trading is hazardous to your wealth: the common stock performance of individual investors. Journal of Finance 55:773−806. 9 The selling decision Odean, T. (1998). Are investors reluctant to realize their losses? Journal of Finance 53:1775−1798.