2012/2013  KAN-CM_SU06  Topics in Finance

English Title

Topics in Finance

Course information
Language	English
Exam ECTS	7.5 ECTS
Type	Elective
Level	Full Degree Master
Duration	Summer
Course period	Summer NOTE: The course schedule is at the moment ONLY available at www.cbs.dk/summer
Time Table	Please see course schedule at e-Campus
Study board	Study Board for MSc in Economics and Business Administration
Course coordinator
Faculty - Nektarios Aslanidis, Universitat Rovira i Virgili Patricia Plackett - Department of Operations Management
Main Category of the Course
Finance
Last updated on 21-11-2012

Learning objectives

At the end of the course students should be able to: compute the Net Present Value of an investment project and apply the main investment evaluation criteria have mastered the quantitative techniques required in order to analyze issues in asset pricing and market finance be familiar with recent empirical findings based on financial empirical models have gained valuable insights into the functioning of financial markets measure the risk of a financial investment portfolio understand some of the key practical issues in the modeling of key financial market variables such as asset prices, risk and dependence use the econometrics software Gretl

Prerequisite

Undergraduate finance and statistics/econometrics

Examination

Topics in Finance

4-hour written exam: Type of test Written Exam Marking scale 7-step scale Second examiner No second examiner Exam period Summer Term Aids Closed Book Duration 4 Hours Answer any FOUR questions out of SIX (4 x 25 = 100 marks).

Course content

Although quantitative methods in economics are often associated with analyzing problems such as economic growth, consumption and investment, the applications in the areas of finance have grown rapidly in the last few decades. This course provides the quantitative techniques required to analyze theoretical and empirical issues in finance.  The course covers the following topics: valuation of bonds and stocks (Net Present Value, annuities and perpetuities, valuing bonds); statistical properties of financial data (stylised facts about financial data, distribution of asset returns, time dependency); models of time-varying expected returns (univariate time series models (ARMA), applications to finance); risk measurement and investment decisions (the Capital Asset Pricing Model (CAPM), the Arbitrage Pricing Theory (APT), empirical tests of CAPM and APT); models of time-varying risk (modelling volatility (GARCH), asymmetric shocks and the leverage effect); asset allocation (multivariate volatility models, models of financial market correlations and dependence).

Teaching methods

This subject will be taught via lectures (50%) and seminars (50%). In the seminars, the students will learn using the econometrics software Gretl (available free from the internet.

Expected literature

Required course readings and literature:   Brooks C. (2008), Introductory Econometrics for Finance, 2nd edn, Cambridge University Press. Chapters 2, 3, 4, 5, 7, 8.   Articles Aslanidis N. and C. Savva (2011), Are there still portfolio diversification benefits in Eastern Europe? Aggregate versus sectoral stock market data, The Manchester School, forthcoming. Bauwens L., S. Laurent and J. Rombouts (2006), Multivariat GARCH models: a survey, Journal of Applied Econometrics21, 79-109. Cappiello L., R.F. Engle and K. Sheppard (2006), Asymmetric dynamics in the correlations of global equity and bond returns, Journal of Financial Econometrics4, 537-572. Engle R.F. (2001), Financial econometrics: A new discipline with new methods, Journal of Econometrics100,53-56.