Stock market and market anomalies 2600-DSdz3SMMAen
The course serves as a bridge between academic asset pricing theory and market practice. It begins with an analysis of the CAPM and the Efficient Market Hypothesis, subsequently critiquing these theories through the lens of behavioral anomalies (January effect, momentum, value vs. growth).
A pivotal component is the Event Studies and Backtesting methodology, enabling verification of whether observed phenomena generate statistically significant excess returns (Alpha) or are merely information noise. The course concludes with knowledge synthesis via the construction of Smart Beta strategies.
Course coordinators
Type of course
Mode
Learning outcomes
Knowledge:
The student understands the limitations of the Efficient Market Hypothesis and identifies key pricing anomalies occurring in capital markets. – K_W01 (general knowledge in finance and capital markets)
Skills:
Can independently retrieve historical data, conduct an event study, and test the hypothesis of market inefficiency. – K_U01 (practical skills in financial data analysis and testing market hypotheses)
K_U07 – (ability to independently use analytical and programming tools to conduct empirical research in finance)
Social Competences:
Critically evaluates investment recommendations and understands psychological decision-making traps of investors. – K_K01 (social competences in making investment decisions and critically evaluating market information)
Assessment criteria
The final grade is based 100% on an individual or group research project (Project-based learning).
Criteria: Methodological correctness, quality of data analysis, logical deduction.
Bibliography
Frederic S. Mishkin - Financial Markets and Institutions, Global Edition
Richard Pike & Bill Neale - Corporate Finance and Investment