390016 SE PhD-VGSF: Capital Market Theory (2017S)
Prüfungsimmanente Lehrveranstaltung
Labels
An/Abmeldung
Hinweis: Ihr Anmeldezeitpunkt innerhalb der Frist hat keine Auswirkungen auf die Platzvergabe (kein "first come, first served").
- Anmeldung von Mi 15.02.2017 09:00 bis Mi 22.02.2017 12:00
- Abmeldung bis Di 14.03.2017 23:59
Details
max. 20 Teilnehmer*innen
Sprache: Englisch
Lehrende
Termine (iCal) - nächster Termin ist mit N markiert
For administrative questions, please, contact Sigrid Hopf at sigrid.hopf@univie.ac.at or Adrian Baron at adrian.baron@wu.ac.at .
Donnerstag
09.03.
09:45 - 11:15
Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
Donnerstag
16.03.
09:45 - 11:15
Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
Donnerstag
30.03.
08:45 - 11:15
Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
Donnerstag
06.04.
08:45 - 11:15
Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
Donnerstag
27.04.
08:45 - 11:15
Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
Donnerstag
18.05.
08:45 - 11:15
Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
Donnerstag
01.06.
08:45 - 11:15
Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
Donnerstag
08.06.
08:45 - 11:15
Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
Donnerstag
29.06.
08:45 - 11:15
Seminarraum 4 Oskar-Morgenstern-Platz 1 1.Stock
Information
Ziele, Inhalte und Methode der Lehrveranstaltung
Art der Leistungskontrolle und erlaubte Hilfsmittel
Evaluation will be based on worked-out problems distributed and discussed in class.
Mindestanforderungen und Beurteilungsmaßstab
Grading:
The grading depends primarily on solved problems (80%) distributed during the course and class interaction (20%).
The grading depends primarily on solved problems (80%) distributed during the course and class interaction (20%).
Prüfungsstoff
Literatur
Suggested Background Literature:Textbooks:• Brunnermeier, M. (2001): Information, Bubbles and Market Crashes, Princeton University Press.
• Mas-Collel, A., M. Whinston, J. Green (1995): Microeconomic Theory, Oxford University Press.
• Vives, X. (2010): Information and Learning in Markets: The Impact of Market Microstructure, Princeton University Press.
Articles (preliminary list):• Angeletos, G. M., and A. Pavan. (2007): Efficient use of information and social value of information, Econometrica 75, 1103–42.
• Bray, M. (1985): „Rational Expectations, Information and Asset Markets: An Introduction“, Oxford Economic Papers, 37, 1985, 161-195.
• Geanakoplos, J. (2008): Overlapping Generations Model of General Equilibrium, in The New Palgrave Dictionary of Economics, 2nd edition, edited by Steven N. Durlauf and Lawrence E. Blume, Palgrave Macmillan (Basingstoke and New York).
• Gehrig, T. (1993): „An Information Based Explanation of the Domestic Bias in International Equity Investment“, Scandinavian Journal of Economics, 1993, 97-109.
• Grandmont, J.M. (1977): Temporary General Equilibrium Theory, Econometrica 45(3), 535-572.
• Grossman S. and J. Stiglitz (1980): „On the Impossibility of Informationally Efficient Markets“, American Economic Review 70, 1980, 393-408.
• O. Hart (1975): On the Optimality of Equilibrium when the Market Structure is Incomplete, Journal of Economic Theory 1975, 418--443.
• Hayek, F. (1945): The use of knowledge in society, American Economic Review 35, 519–30.
• Hellwig, M. (1980): On the Aggregation of Information in Competitive Markets, Journal of Economic Theory 22, 477-498.
• Jordan, J. (1982): The generic existence of rational expectations equilibrium in the higher dimensional case, Journal of Economic Theory 26(2), 224-243.
• Milgrom, P. and N. Stokey (1982): Information, Trade and Common Knowledge, Journal of Economic Theory 26(1), 17-27.
• Muth, J. F. (1961): Rational expectations and the theory of price movements, Econometrica 29, 315–35.
• R. Radner (1972): Existence of Equilibrium of Plans, Prices and Price Expectations in a Sequence of Markets, Econometrica 1972, 289--303.
• R. Radner (1979): Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices, Econometrica 1979, 655--678.
• Verrecchia, R. (1982): Information Acquisition in a Noisy Rational Expectations Economy, Econometrica 50, 1415-1430.
• Vives, X. (1988): Aggregation of information in large Cournot markets. Econometrica 56, 851– 76.
• Vives, X. (1993): How fast do rational agents learn? Review of Economic Studies 60, 329–47.
• Woodford, M. (1990): Learning to believe in sunspots. Econometrica 58, 277–307.
• Leon Walras (1874): Elements d’Economie Politique Pure, ou Théorie de Richesse Sociale, R. Richon and R. Durand-Ausiaz, Paris.
• Welch, I. (1992): Sequential sales, learning and cascades, Journal of Finance 47, 695-732.An adapted list to the specific interests of participants will be distributed during the course.
• Mas-Collel, A., M. Whinston, J. Green (1995): Microeconomic Theory, Oxford University Press.
• Vives, X. (2010): Information and Learning in Markets: The Impact of Market Microstructure, Princeton University Press.
Articles (preliminary list):• Angeletos, G. M., and A. Pavan. (2007): Efficient use of information and social value of information, Econometrica 75, 1103–42.
• Bray, M. (1985): „Rational Expectations, Information and Asset Markets: An Introduction“, Oxford Economic Papers, 37, 1985, 161-195.
• Geanakoplos, J. (2008): Overlapping Generations Model of General Equilibrium, in The New Palgrave Dictionary of Economics, 2nd edition, edited by Steven N. Durlauf and Lawrence E. Blume, Palgrave Macmillan (Basingstoke and New York).
• Gehrig, T. (1993): „An Information Based Explanation of the Domestic Bias in International Equity Investment“, Scandinavian Journal of Economics, 1993, 97-109.
• Grandmont, J.M. (1977): Temporary General Equilibrium Theory, Econometrica 45(3), 535-572.
• Grossman S. and J. Stiglitz (1980): „On the Impossibility of Informationally Efficient Markets“, American Economic Review 70, 1980, 393-408.
• O. Hart (1975): On the Optimality of Equilibrium when the Market Structure is Incomplete, Journal of Economic Theory 1975, 418--443.
• Hayek, F. (1945): The use of knowledge in society, American Economic Review 35, 519–30.
• Hellwig, M. (1980): On the Aggregation of Information in Competitive Markets, Journal of Economic Theory 22, 477-498.
• Jordan, J. (1982): The generic existence of rational expectations equilibrium in the higher dimensional case, Journal of Economic Theory 26(2), 224-243.
• Milgrom, P. and N. Stokey (1982): Information, Trade and Common Knowledge, Journal of Economic Theory 26(1), 17-27.
• Muth, J. F. (1961): Rational expectations and the theory of price movements, Econometrica 29, 315–35.
• R. Radner (1972): Existence of Equilibrium of Plans, Prices and Price Expectations in a Sequence of Markets, Econometrica 1972, 289--303.
• R. Radner (1979): Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices, Econometrica 1979, 655--678.
• Verrecchia, R. (1982): Information Acquisition in a Noisy Rational Expectations Economy, Econometrica 50, 1415-1430.
• Vives, X. (1988): Aggregation of information in large Cournot markets. Econometrica 56, 851– 76.
• Vives, X. (1993): How fast do rational agents learn? Review of Economic Studies 60, 329–47.
• Woodford, M. (1990): Learning to believe in sunspots. Econometrica 58, 277–307.
• Leon Walras (1874): Elements d’Economie Politique Pure, ou Théorie de Richesse Sociale, R. Richon and R. Durand-Ausiaz, Paris.
• Welch, I. (1992): Sequential sales, learning and cascades, Journal of Finance 47, 695-732.An adapted list to the specific interests of participants will be distributed during the course.
Zuordnung im Vorlesungsverzeichnis
Letzte Änderung: Mo 07.09.2020 15:46
2.a. Temporary Equilibrium
2.a.i. existence
2.a.ii. optimality
2.b. Equilibrium of Plans, Prices and Price Expectations
2.b.i. existence
2.b.ii. optimality
2.b.iii. no trade3. Financial Markets Equilibrium when Markets are Incomplete
3.a. sources of market incompleteness
3.b. partial revelation
3.c. existence
3.d. optimality
3.d.i. informational efficiency
3.d.ii. allocational efficiency
3.e. information acquisition
3.f. sun spots
3.g. bubbles
3.h. herding
3.i. insider trading
3.j. limits to arbitrage4. Financial Innovation and Security DesignCourse outline:
http://finance.univie.ac.at/fileadmin/user_upload/inst_finanzwirtschaft/Info-Dateien/Kursbeschreibungen_SS17/CMT__0-17_copy.pdf