English   Danish

2013/2014  KAN-AEF_AE57  Capital Market Theory

English Title
Capital Market Theory

Course information

Language English
Exam ECTS 7.5 ECTS
Type Mandatory
Level Full Degree Master
Duration One Semester
Course period Autumn
Time Table Please see course schedule at e-Campus
Study board
Study Board for MSc in Economics and Business Administration
Course coordinator
  • Claus Munk - Department of Finance (FI)
Main academic disciplines
  • Finance
  • Economics, macro economics and managerial economics
Last updated on 02-07-2013
Learning objectives
Upon completion of the course the student should be able to:
  • Explain the concepts, theories, models, and methods for portfolio selection, risk measurement and management, the risk-return tradeoff, and the pricing of stocks, bonds, and derivative securities as discussed during the course.
  • Discuss the theoretical and empirical validity of the central theories and models developed in the course.
  • Apply the theories and models to realistic problems.
  • Implement relevant models using Excel or similar computational tools
  • Discuss the role of capital markets, the efficiency of capital markets, and theories about investor behavior
Capital Market Theory:
Examination form Written sit-in exam
Individual or group exam Individual
Assignment type Written assignment
Duration 4 hours
Grading scale 7-step scale
Examiner(s) One internal examiner
Exam period December/January and February
Aids allowed to bring to the exam Limited aids, see the list below and the exam plan/guidelines for further information:
  • Additional allowed aids
  • Books and compendia brought by the examinee
  • Notes brought by the examinee
  • Allowed calculators
  • Allowed dictionaries
Make-up exam/re-exam
Same examination form as the ordinary exam
If the number of registered candidates for the make-up examination/re-take examination warrants that it may most appropriately be held as an oral examination, the programme office will inform the students that the make-up examination/re-take examination will be held as an oral examination instead.
Course content and structure

The objective of the course is to develop a deeper understanding of the role and inner workings of financial markets and financial instruments such as stocks, bonds, and derivatives. We will place particular emphasis on helping you develop a systematic way of thinking about and making investment decisions.

The topics we will explore include the following:
• the basics of risk and return
• the investment process and the importance of asset allocation
• how financialmarkets operate
• portfolio theory and how to form optimal portfolios
• index models, alphas and betas
• equilibrium models of security prices, including the Capital Asset Pricing Model
• security price anomalies such as the size, book-to-market, and momentum effects in stock returns
• the behavioral approach to finance and its role in understanding price anomalies
• the role of fixed income securities in the portfolio
• the use and valuation of derivatives

Teaching methods
Lectures with exercices.
Expected literature

Bodie, Kane and Marcus, Investments and Portfolio Management, McGraw-Hill, 9th edition, 

Last updated on 02-07-2013