2016/2017
KAN-CAEFO1079U Capital Market Theory
| English Title |
| Capital Market
Theory |
|
|
| Language |
English |
| Course ECTS |
7.5 ECTS |
| Type |
Mandatory |
| Level |
Full Degree Master |
| Duration |
One Semester |
| Start time of the course |
Autumn |
| Timetable |
Course schedule will be posted at
calendar.cbs.dk |
| Study board |
Study Board for MSc in Economics and Business
Administration
|
| Course
coordinator |
- Peter Ove Christensen - Department of Finance
(FI)
|
| Main academic
disciplines |
|
|
|
Last updated on
06-07-2016
|
| Learning objectives |
To achieve the grade 12, students
should meet the following learning objectives with no or only minor
mistakes or errors: 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
|
| Examination |
|
Capital Market
Theory:
|
| Exam
ECTS |
7,5 |
| Examination form |
Written sit-in exam |
| Individual or group exam |
Individual exam |
| Assignment type |
Written assignment |
| Duration |
4 hours |
| Grading scale |
7-step scale |
| Examiner(s) |
One internal examiner |
| Exam period |
Winter |
| Aids allowed to bring to the exam |
Limited aids, see the list below:
- Written sit-in-exam on CBS' computers
- Books and compendia brought by the examinee
- Notes in paper format brought by the examinee
- Access to personal drive (S-drive) on CBS' network
- USB key to upload your notes before the
exam
|
| 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. |
| Student workload |
| Preparation for and participation in lectures |
77 hours |
| Preparation for and participation in exercise classes |
108 hours |
| Preparation for and participation in exam |
21 hours |
|
| Expected literature |
|
Bodie, Kane and Marcus, Investments and Portfolio
Management, McGraw-Hill, 9th edition
Lecture notes
|
Last updated on
06-07-2016
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