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Financial Markets and Institutions

Опубликовано на портале: 18-01-2003
Год: Fall 2002
Язык: Английский
Тематические разделы: Экономика, Финансовая экономика

This course applies principles of finance to understand modern financial markets. Central themes of the course are the structure of financial markets, the pricing function markets perform, the interaction between financial markets and macroeconomic conditions, and the processes of innovation and regulation in these markets. Students should look at the workings of a variety of markets and develop an understanding of the different problems which different types of markets address. Students should study the question of market efficiency and the interaction between government policies and financial markets. Throughout the course, students should consider the relevance of these issues for the practical corporate, portfolio, or public sector decision-maker. The course will include ideas and evidence from academic research along with historical, institutional, and international perspectives. Recent events will be used to illustrate concepts and develop analytic skills. Spreadsheet assignments and a term project requiring data analysis will develop your research skills and illustrate academic concepts. This subject has few clear-cut answers or cookbook solutions.

Course Materials:
Course Packet (required).
List of Topics and Readings:
I. Introduction to Financial Markets
II. Financial Market Structures
A. "Irrelevance" and financial theory: how market imperfections enrich the economic setting and yield relevance for corporate leverage, dividend policy, diversification, hedging, insurance, leasing
Cornel and Shapiro, 1987, Corporate Stakeholders and Corporate Finance, Financial Management 16, p. 5-14.
B. Workings of selected markets
Schaede, 1989, "Forwards and Futures in Tokugawa-Period Japan", Journal of Banking and Finance 13, p. 487-513.
Blume and Siegel, 1992, "Appendix: The Structure of World Equity Markets" in Financial Markets, Institutions, and Instruments 1, p. 43-50.
Stock Exchange of Thailand, 1997, "The Stock Exchange of Thailand Trading System Manual", p. 1-12.
C. Ilustrations and Evidence
Diamond and Dybvig, 1983, Bank Runs, Deposit Insurance, and Liquidity, Journal of Political Economy 91, p. 401-19.
James and Wier, 1988, Are Bank Loans Different? Some Evidence from the Stock Market, Journal of Applied Corporate Finance 1, p. 46-54.
James and Smith, 2000, Are Banks Still Special? New Evidence on their Role in the Corporate Capital Raising Process, Journal of Applied Corporate Finance 13, p. 52-63.
Rajan, 1996, Why Banks have a Future: Toward a New Theory of Commercial Banking, Journal of Applied Corporate Finance 9, p. 114-128.
Buckley, 1997, The Canadian Keiretsu, Journal of Applied Corporate Finance 9, p. 46-56.
Koh and Walter, 1989, A Direct Test of Rocks Model of the Underpricing of Unseasoned Issues, Journal of Financial Economics 23, p. 251-72.
Black and Gilson, 1999, Does Venture Capital Require an Active Stock Market?, Journal of Applied Corporate Finance 11, 36-47.
III. Pricing of Risky Assets in Financial Markets
A. The time value of money: theories of the term structure of interest rates, determination of corporate and municipal bond yields
B. Valuing equities: basic issues, the equilibrium risk/return trade-off
C. Market efficiency: theories and illustrations
Buell, Stephen, 1992, "The Accuracy of the Initial Pricing of Junk Bonds", Journal of Fixed Income 2, p. 77-83.
Leroy, 1990, Capital Market Efficiency: An Update, FRBSF Economic Review (Spring) p. 157-168.
Brown, Harlow, and Tinic, 1989, How Rational Investors Deal with Uncertainty, Journal of Applied Corporate Finance 2, p. 45-58.
Lee, Schleifer, and Thaler, 1990, Closed End Mutual Funds, Journal of Economic Perspectives 4, p. 153-64.
Keane , 1991, "Paradox in the Current Crisis in Efficient Market Theory", Journal of Portfolio Management 15, 30-34.
Silber, 1994, "Technical Trading: When It Works and When it Doesn't", Journal of Portfolio Management 39-44.
D. Market efficiency: explaining "bubbles" and "crashes", differing portfolio management styles
Garber, 1989, "Who Put the Mania in Tulipmania?", Journal of Portfolio Management 13, 53-60.
IV. The Macroeconomy and Financial Markets
A. Current and historical monetary policy
Bordo, 1981, The Classical Gold Standard: Some Lessons for Today, FRB St. Louis Review (May), p. 2-17.
B. Evidence from financial market prices
Beckers, Stan, 1991, "Stocks, Bonds, and Inflation in World Markets", Journal of Fixed Income 1, p. 18-30.
Harvey, Campbell, 1991, "The Term Structure and World Economic Growth", Journal of Fixed Income 1, p. 7-19.
Bonser-Neal and Morley, 1997, Does the Yield Spread Predict Real Economic Activity? A Multi-country Analysis, Economic Review (FRB Kansas City), 3rd quarter, p. 37-53.
Ederington and Lee, 1996, The Impact of Macroeconomic News on Financial Markets, Journal of Applied Corporate Finance 9, p. 41-49.
Bailey, 1989, The Effect of U.S. Money Supply Announcements on Canadian Stock,Bond, and Currency Prices, Canadian Journal of Economics 22, p. 607-18.
V. Innovation, Regulation, and Crisis
A. Innovations in securities markets Miler, Merton, 1992, Financial Innovation: Achievements and Prospects, Journal of Applied Corporate Finance 4, p. 4-11.
Tufano, Peter, 1992, "Financial Innovation and First Mover Advantages", Journal of Applied Corporate Finance 5, p. 83-87.
Markowitz, Harry, 1992, "Markets and Morality", Journal of Portfolio Management 16, p. 84-93.
B. Crises in the financial industry Kaufman, 2000, Banking and Currency Crises and Systemic Risk: Lessons from Recent Events, Economic Perspectives (FRB Chicago), 3rd quarter, p. 9-28.
Rolnick and Weber, 1982, Free Banking, Wildcat Banking, and Shinplasters, FRB Minneapolis Quarterly Review (Fal) 10-19.


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