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Financial Economics

Опубликовано на портале: 29-01-2003
Факультет: Economics Department
Год: Fall 2000
Язык: Английский
Язык оригинала: английский
Тематические разделы: Экономика, Финансовая экономика

This course examines asset valuation. We focus on financial assets traded on organized exchanges. Students participate in a portfolio game (on the internet this year) where they trade the securities that we study in class. A wealth of accurate accessible information on realized asset returns is available. The first ten weeks of class we study asset-pricing models that are roughly consistent with the time-series property of returnsreturns are very hard to predict, and the cross-section property of returns average returns vary across assets. The last portion of the course looks at financial derivatives, futures and options.

Introduction and Review
Financial Markets
Time Value of Money: Quantitative Review

Expectations Models: Time-Series Properties of Returns
Principles of Asset Valuation, Random Walk Model of Stock Prices, Market Efficiency
Expectations Models: Random Walk and the Expectations Theory of Interest Rates
Irrational Exuberance; Efficient Markets & Rational Bubbles; Financial and Real Assets

Risk Premiums: Cross-Section Properties of Returns
Risk vs. Expected Return: A Look at the Data; Tastes: Risk Aversion

Portfolio Theory: Individual Behavior
A Simple Alocation Model

Financial Derivatives
Future & Forward Contracts
More Options
Synthetic Options: Bankers Trust
Optimal Risky Portfolios
Capital-Asset Pricing Model: Market Equilibrium

Supplementary Readings:
Bodie, Zvi and Robert C. Merton, 2000, Finance, Prentice-Hal, Upper Saddle River, NJ.
Brealey, Richard A. and Stewart C. Myers, 1999, Principles of Corporate Finance, McGraw-Hil, New York.
Glassman, James K. and Kevin A. Hassett, 2000, Dow 36,000.
Hul, John C., 1998, Introduction to Futures and Options Markets, Prentice-Hal, Upper Saddle River, NJ.
Saunders, Anthony, 1997, Financial Institutions Management, Irwin, Chicago, IL.
Shiler, Robert J., 2000, Irrational Exuberance, Princeton University Press, Princeton, NJ.
Sharpe, Wiliam F., Gordon J Alexander and Jeffery V. Bailey, 1999, Investments, Prentice-Hal, NJ.


Ключевые слова

См. также:
Carmen M. Reinhart, Vincent R. Reinhart
Paul D. Mizen, Mervyn K. Lewis
Robert C. Merton
Journal of Financial Economics. 1980.  Vol. 8. No. 4. P. 323-361. 
Franklin Allen
[Учебная программа]
Lawrence R. Glosten, Ravi Jaganathan, David E. Runkle
Journal of Finance. 1993.  Vol. 48. No. 5. P. 1779-1801. 
Stephen W. Salant, Dale W. Henderson