Empirical finance

Aims of the course

no description

Course syllabus

1. Predictability of Stock Returns, Market Efficiency
2. International Portfolio Diversification
3. Performance Measures
4. Empirical evidence on CAPM and APT
5. Applications of Linear Factor Models
6. Valuation Models and Asset Returns
7. Stock Price Volatility
8. Optimization under Risk-parity
9. Volatility and Market Microstructure
10. Event studies
11. Fixed income instruments and Term Structure of Interest Rates

Course director(s)

  • Office Hours
  • Monday at 13:30 in RZ-105
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