KTTS4130 Investments and Asset Pricing (5 cr)

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Study level:
Advanced studies
Grading scale:
0-5
Language:
English
Responsible organisation:
Jyväskylä University School of Business and Economics
Curriculum periods:
2017-2018, 2018-2019, 2019-2020

Description

Content

The lecture course gives a comprehensive treatment of theories of financial economics with a special emphasis on quantitative financial economics. The key points are the efficient market hypothesis (EMH), the Capital Asset Pricing Model (CAPM), the consumption based CAPM (CCAPM), portfolio diversification and arbitrage pricing theory (APT).

Completion methods

Contact teaching course, autumn semester, 2nd period. The study methods of the contact teaching course are specified in the study program annually.

Assessment details

Accepted completion of the designated assignments. The assessment criteria of the course is specified in the study program annually.

Learning outcomes

On successful completion of the course, students will be able to
- recognize, report, and apply theories of financial economics
- evaluate and report under what kind of conditions and assumptions theories can be applied and if theories are consistent with the empirical observations
- recognize, report, and apply empirical tests applied to theories and hypothesis of financial economics
- analyze behavior of financial markets and pricing of financial instruments by applying theories of financial economics, and to report the analysis results

Additional information

Recommended timing for BIF students: 1st year.
Recommended timing for Finnish M.Sc. degree students: 3rd or 4th year.

Description of prerequisites

KTTS1220 Mathematical Economics II
KTTA1250 Econometrics I (recommended)
KTTA4120 Applied Time Series Analysis for Finance and Macroeconomics (recommended)

Study materials

Lecture slides.
Lecture materials will be provided by the instructor.

Recommended Books:
Cuthbertson, K. & Nitzsche, D. 2004. Quantitative Financial Economics: Stocks, Bond and Foreign Exchange, 2nd edition.
Cochrane. J.H. 2005. Asset Pricing (Revised Edition).

Literature

  • Cochrane. J.H. 2005. Asset Pricing (Revised Edition), Princeton University Press.; ISBN: 978-0691121376
  • Cuthbertson, K. & Nitzsche, D. 2004. Quantitative Financial Economics: Stocks, Bond and Foreign Exchange, 2nd edition, Wiley.; ISBN: 978-0470091715

Completion methods

Method 1

Select all marked parts

Method 2

Select all marked parts
Parts of the completion methods
x

Teaching (5 cr)

Type:
Participation in teaching
Grading scale:
0-5
Language:
English

Teaching

x

Exam (5 cr)

Type:
Exam
Grading scale:
0-5
Language:
English

Teaching