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Dienstag, 17. Oktober 2017
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VHB Gruppe

  

Kernaktivitäten

 

80. Pfingsttagung des VHB

23. bis 25. Mai 2018 in Magdeburg

 

 

 

Wissenschaftliche Kommissionen

Advanced Topics in Asset Pricing and Capital Market Research

Content

Part I (Erik Theissen)

I.1       Theory Brush Up

I.2       Risk and Return

I.3       Efficient Markets

I.4       Empirical Tests of Portfolio Theory and Individual Investor Behavior

I.5       Tests of the CAPM

I.6       Testing the APT

I.7       Anomalies or Priced Risk Factors?

I.7       Further Topics

 

Part II (Joachim Grammig)

II.1     Generalized Method of Moments (GMM) and the Basic Asset Pricing Equation

II.2     The Canonical Consumption-CAPM (C-CAPM): Theory, Estimation, and Empirical Performance

II.3     Recent variations of the C-CAPM: Habit, Long-Run-Risk, Rare Disasters

II.4     Conditioning Information: Scaled Returns and Scaled Factors

II.5     Relationship Between Regression- and GMM-based Tests of Asset Pricing Models (Link to First Part)

II.6      Empirical Tools (the use of  STATA/EVIEWS/MATLAB)

 

if time permits

II.7      Econometric Theory (Extremum Estimators)

 

Date of Event:

16. - 19. August 2017

 

Location:

 

Seminarraum OSZ 3 im Otto-Stern-Zentrum am Campus Riedberg

Goethe University Frankfurt,

Ruth-Moufang-Straße 2, 60438 Frankfurt am Main

 

Lecturer:

Prof. Dr. Joachim Grammig (Eberhard Karls Universität Tübingen)

Prof. Dr. Erik Theissen (Universität Mannheim)

 

Registration:

The deadline for registration is  16 June 2017.

Please use the registration form or send an email to prodok(at)vhbonline(dot)org.