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: House of Finance on Campus Westend of Goethe University Frankfurt, Theodor-W.-Adorno-Platz 3, 60323 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 click on the link to open the registration form: http://vhbonline.org/veranstaltungen/prodok/anmeldung/anmeldeformular/ or send an email to prodok(at)vhbonline(dot)org.