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2012/2013  KAN-CM_U121  Global Stock Markets

English Title
Global Stock Markets

Course information

Language English
Exam ECTS 7.5 ECTS
Type Elective
Level Full Degree Master
Duration One Semester
Course period Spring
Changes in course schedule may occur
Friday 13.30-16.05, 6-12
Thursday 15.20-17.55, week 9
Thursday 15.20-17.00, week 10-12
Time Table Please see course schedule at e-Campus
Study board
Study Board for MSc in Economics and Business Administration
Course coordinator
  • Ole Risager - Department of International Economics and Management
Administration: Birgit Dahlgren - bgd.int@cbs.dk
Main Category of the Course
  • Finance
Last updated on 16-10-2012
Learning objectives
In order to achieve the highest possible grade – 12 – the student should be able to:

  • Explain the key issues addressed in the course (Limited arbitrage. Loss aversion. The equity premium and the problems for established theory in explaining the high premium. Over confidence and investor irrationalities. Active trading strategies and their limitations. Global financial crisis issues, etc.).
  • Apply the theories on practice. The goal is to demonstrate how to use the literature on issue that are currently important.
  • Derive mathematically the key formulas that we have worked on in the class room. A top performer will be able to go behind the curtain and demonstrate how the key propositions are derived. The key formulas will be carefully listed in the lecture notes.
Bachelor level in finance and macroeconomics
4-hour individual written exam
4-hour individual written exam:
Type of test Written Exam
Marking scale 7-step scale
Second examiner No second examiner
Exam period May/June
Aids Closed Book
Duration 4 Hours

4-hour individual written exam (closed book). No aids are allowed. Assessment according to the Danish 7-point scale.
Course content

Participants will obtain insights into global stock markets. More specifically, we look at historic returns and risks across major markets. We discuss time series properties of stock markets, including mean reversion and random walk behaviour. The course also presents different stock market plays, including value and growth strategies. Finally, the course presents a number of insights in Behavioral Finance, including overconfidence, limited arbitrage, myopia, and deviations from market efficiency.

Teaching methods
The course will be taught in lecture format with expected student participation, including class presentations of current market trends in the US, Germany, and Denmark. You are expected to read the material in advance and be prepared for class discussions. Lectures will be fairly non-mathematical. We will on a regular basis discuss market developments. The course should provide inspiration for thesis work.
Expected literature

Risager O., 2009, Investing in Value Stocks, McGraw-Hill

Barberis N. and R. Thaler, 2002, A Survey of Behavioral Finance, pp. 1-15; 30-35. NBER Working Paper 9222.
Buffett, W., 1984, The superinvestors of Graham-and-Doddsville, in B. Graham, The Intelligent Investor, Harper and Row

JPMorgan, Global Data Watch, pp. 1-3, pp. 9-11, pp. 23-24, January 11, 2008.

M. Barnes, J.H. Boyd and B.D. Smith, 1999, Inflation and Asset Returns, European Economic Review, 43, pp. 737-754.

Campbell, J.Y., Lo, A.W. and MacKinlay A.C., 1997, The Econometrics of Financial Markets, pp. 27-33, pp. 44-47, pp. 66-68. Princeton University Press.

Chan L.K.C., J. Karceski and J. Lakonishok, 2000, New Paradigm or Same Old Hype in Equity Investing?, Financial Analyst’s Journal, Vol. 56, No. 4, pp. 23-36.

Dimson E., P. Marsh and M. Staunton: Risk and Return in the 20th and 21st Centuries, Business Strategy Review, 2000, Vol. 11, pp. 1-18.

Geanakoplos J., M. Magill, and Martine Quinzli, 2004, Demography and the long run predictability of the stock market, pp. 241-247 and pp. 288-302, Brookings Paper.

Kocherlakota N. R., 1996, The Equity Premium: It’s Still a Puzzle, Journal of Economic Literature, Vol. XXXIV, pp. 42-71.

Lakonishok, J., A. Shleifer and R.W. Vishny, 1994, Contrarian Investment, Extrapolation, and Risk, Journal of Finance, Vol. 49, 5, pp. 1541-78

Nielsen S. and O. Risager, Stock Returns and Bond Yields in Denmark, Scandinavian Economic History Review, 2001.

Risager, O., 2010, Lecture Notes U121, 2012.

Rutterford, J., 1993, Chapter 5: Ordinary shares, in Introduction to Stock Exchange Investment, Second Edition, MacMillan.

Samuelson, P.A., 1991, Long-Run Risk Tolerance When Equity Returns Are Mean Regressing: Pseudoparadoxes and Vindication of “Businessmen’s Risk” in W.C. Brainard, W.D. Nordhaus, and H.W. Watts, eds., Money, Macroeconomics and Economic Policy, pp. 181-193, MIT Press.

Siegel J.J. and Thaler, R.H., 1997, Anomalies, The Equity Premium Puzzle, Journal of Economic Perspectives, Volume 11, Number 1, pp. 191-200.

Last updated on 16-10-2012