國立中山大學 107學年度第1學期 課程教學大綱

National Sun Yat-sen University 107Academic year1st Semester Course syllabus

中文名稱
Course name(Chinese)

投資理論與實證研究

課號
Course Code

FM803

英文名稱
Course name(English)

INVESTMENT THEORY AND EMPIRICAL STUDY

課程類別
Type of the course

講授類

必選修
Required/Selected

選修

系所
Dept./faculty

財務管理學系博士班

授課教師
Instructor

劉德明    

學分
Credit

3

課程大綱 Course syllabus

         (第一週)I. Introduction
1. Introduction to finance and financial markets
閱讀進度 BKM, Chapters 1 and 2,
@“The New Capitalism, How Unfettered finance is fast reshaping the global economy”, Martin Wolf, The Financial Times, June 18, 2007.
2.Financial Instruments and Markets 閱讀進度 : BKM, Ch. 2-3
3. Statistics and Econometrics Review 閱讀進度 : BKM, Appendix A
(第二週)II. Portfolio Allocation
1. Risk and Return 閱讀進度 : BKM, Ch. 4.2-4.6, Appendix to Chapter 4. BKM, Ch. 5 Risk as a History of Ideas
@Peter L. Bernstein,” Risk as a History of Ideas”, Financial Analysts Journal ,January-February 1995
@ Paul A. Samuelson, “Risk and Uncertainty: A Fallacy of Large Numbers,” Scientia, XCVIII, 1963, 108-113.
G. W. Schwert, "Stock Market Volatility," Financial Analysts Journal, May-June 1990.
Leibowitz,M.L. and W.S. Krasker, “The Persistence of Risk :Stocks versus Bonds over the Long Term,” Financial Analysts Journal, Nov-Dec. 1988.
@ Rajnish Mehra,”The Equity Premium: Why Is It a Puzzle?”,Financial Analysts Journal, January/February 2003, Vol. 59, No. 1: 54-69
(第三週)2. Portfolio Theory 閱讀進度 : BKM, Ch. 6.1-6.4;Ch.7.2-7.4
@ George Chow and Mark Kritzman,”: Risk Budgets “,: Journal of Portfolio Management 27 no2 56-60 Wint 2001
Jorion, P., "Portfolio Optimization in Practice," Financial Analysts Journal, Jan-Feb 1992, 68-74.
Brealey, Richard, "Portfolio Theory versus Portfolio Practice", , Journal of Portfolio Management, Summer 1990, 6-10.
*Chopra, V.K. and W.T. Ziemba, “The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice,” Journal of Portfolio Management, Winter 1993, 6-11
III.Models of Capital Market Equilibrium
(第四週) 1. The CAPM and its Implications 閱讀進度:BKM, Ch. 8.1, Ch. 7.;Malikel, Ch. 9&10
2.Index Models and their Implications 閱讀進度: BKM, Ch. 9
@ Sharpe, William F. Risk, Market Sensitivity and Diversification. Financial Analysts Journal (Jan-Feb 1995): 84-88.
(第五週)3. The APT and its Implications 閱讀進度: BKM, Ch. 1
@Roll, Richard, and Stephen A. Ross. The Arbitrage Pricing Theory Approach to Strategic Portfolio Planning. Financial Analysts Journal (Jan-Feb 1995): 122-131
Bower, D.H., Bower, R.S., and D.E. Logue, "A Primer on the Arbitrage Pricing Theory,"
Midland Corporate Fiance Journal, 1986.
*Sharpe, W.F., “Factor Models, CAPMs and the APT,” Journal of Portfolio Management, Fall 1984, 21-25
(第六週) 4. Empirical Evidence on Stock and Bond Returns
Do the CAPM and the AP T Work?
閱讀進度: BKM, Ch. 11.1-11.2;*CLM, Ch. 5;*CLM, Ch. 6
@Fama, E.F. and K.R. French, "The Cross-Section of Expected Stock Returns,"
Journal of Finance, 1992, Vol. 47, 427-465
Black, F., "Beta and Return," Journal of Portfolio Management, Fall, 1993, 8-18
@Black, F,"Estimating Expected Return", Financial Analysts Journal, Jan-Feb 1995, 168-171.
*Brealey, R.A., “Portfolio Theory verses Portfolio Practice,” Journal of Portfolio Management, Summer 1990
@ James L. Davis; Eugene F. Fama; Kenneth R. French,2000,”Characteristics, Covariances, and Average Returns: 1929 to 1997”,The Journal of Finance, Vol. 55, No. 1. (Feb., 2000), pp. 389-406.
*Grinold, R.C., “Are Benchmark Portfolios Efficient?” Journal of Portfolio Management, Fall 1992, 34-40
@ Jagannathan, R., and E. McGrattan. The CAPM Debate. Federal Reserve Bank of Minneapolis Quarterly Review 19 (1995): 2-17.
@John H. Cochrane, “New facts in finance”, Economic Perspectives,1999 Federal Reserve Bank of Chicago 23(3), pp. 36-58, 1999..
(第七週)
IV. The Efficient Market Hypothesis: Event Studies and Market Anomalies
1. Market Efficiency and the Random Walk 閱讀進度: BKM, Ch. 12.1;Malkiel, Ch. 8
LM, Ch. 1;*CLM,Ch.2;
@ Fama, Eugene F., (1991), “Efficient capital markets:II”, Journal of Finance 46, pp383-420
@Fama, Eugene F,“Random Walks in Stock Market Prices”, Financial Analysts Journal, Jan-February,1995, 75-80.
“The Efficient Market Hypothesis and its Critics”, Burton G. Malkiel, Journal of Economic Perspectives,Winter 2003 17 (1) 59-82
@ Daniel, Kent, and Sheridan Titman. Market Efficiency in an Irrational World. Financial Analysts Journal (Nov-Dec 1999): 28-40.
*LM, Ch2, “Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test”.
Black, F., “Implications of the Random Walk Hypothesis for Portfolio Management,” Financial Analysts Journal, March-April 1971
Chua, J.H. and R.S. Woodward, "J.M. Keynes's Investment Performance :A Note," Journal
of Finance, Vol. 38, No. 1, March 1983
@Jegadeesh and Titman (1993). Returns to Buying Winners and Selling Losers: Implications for Market Efficiency, Journal of Finance (1993).
Keane, S.M.,"Paradox in the Current Crisis in Efficient Market Theory," Journal of Portfolio Management, Winter 1991, 30-34
(第八週)
2. Technical Analysis and Newsletters 閱讀進度: BKM, Ch. 12.2; Malkiel, Ch. 5&6
Ball, R. and R.R. Officer, "Try this on your Chartist," Chapter 11 in Share Markets
and Portfolio Theory, University of Queensland Press, 1980, pp 144-147.
3. Event Studies 閱讀進度: BKM, Ch. 12.3;*CLM, Ch. 4
4. Market Anomalies and Behavioral Finance 閱讀進度 : BKM, Ch.12.4
@ Statman, Meir. Behavioral Finance: Past Battles and Future Engagements. Financial Analysts Journal (Nov-Dec 1999): 18-27
*Introduction to behavior finance (power point presentation)
@Thaler, R.H. and W.F.M. DeBondt, "Anomalies: A Mean-Reverting Walk Down Wall
Street," Journal of Economic Perspectives, Jan. 1989.
Peltz, Michael, “Winner’s Curse”, Worth, Feb, 1999, 102-105
Clark,Jim, “Accidental Economist”, U.S. News & World Report, September 13, 1999, p.60-61
@ Rubinstein, Mark. Rational Markets: Yes or No? The Affirmative Case. Financial Analysts Journal (May-Jun 2001): 15-29.
*Jacobs, B.E. and K.N. Levy, “Calendar Anomalies: Abnormal Returns at Calendar Turning Points,” Financial Analysts Journal, Nov-Dec 1988
De Long, J.D. and A. Schleifer, "Closed-end Fund Discounts," Journal of Portfolio
Management, Winter 1992, 46-53.
@Lakonishok, J., A. Schleifer and R.W. Vishny, "Contrarian Investment, Extrapolation and
Risk," Journal of Finance, 1994, Vol. 49, No. 5, 1541-1578.
@Josef Lakonishok. Andrei Shleifer. Robert W. Vishny. Oliver Hart. George L. Perry,”.The structure and performance of money management industry, Brookings Papers on Economic Activity Microeconomics 1992 339–91.
@ Lappen, Alyssa A ,”Ivory-tower investing “, Institutional Investor, Mar98, Vol. 32,
Issue 3
Database: Business Source Premier
Section: Money
Peltz, Michael, “Winner’s Curse”, Worth February 1999, P. 102-105
Dancy, Joe, “Outperforming The Investment Professionals- An Impossible Goal?”, The Lone Star Growth Investor (Investment Newsletter)
*AM, Ch. 5, “When Are Contrarian Profits Due to Stock Market Overreaction?”
Bookstaber, Richard, “Hedge Fund Existential” Financial Analysts Journal, September/October 2003, p 19.
@ Fama, Eugene F. Market Efficiency, Long-Term Returns, and Behavioral Finance. Journal of Financial Economics 49 (1998): 283-306.
第 九 週 : 期中考
(第十週)
V. Performance Evaluation
1. Performance Measure for Equities 閱讀進度: BKM, Ch. 23.1-23.2, 24.2
Sharpe, W.F., "Adjusting for Risk in Portfolio Performance Measurement," Journal of
Portfolio Management, Winter 1975, 29-34
Burton G. Malkiel, "Returns from Investing in Equity Mutual Funds: 1971-1991," Journal
of Finance, 1995, Vol. 50, No.2,549-572.
@Murphy, J.M., “Why No One Can Tell Who’s Winning,” Financial Analysts Journal, May-June 1980
@ Thomas, Lee R. III. Active Management. The Journal of Portfolio Management (Winter 2000): 25-32.
@ MARKUS K. BRUNNERMEIER and STEFAN NAGEL,” Hedge Funds and the Technology Bubble”, THE JOURNAL OF FINANCE • VOL. LIX, NO. 5, OCTOBER 2004
Bruno, H,“Why Not Diversify Internationally rather than Domestically?”, Financial Analysts Journal, Jan-Feb, 1995, 89-94.
2. Detecting Market Timing Ability 閱讀進度: BKM, Ch. 23.3, Ch. 24.4
*Samuelson, P.A., “The Judgment of Economic Science on Rational Portfolio Measurement: Indexing, Timing, and Long-Horizon Effects,” Journal of Portfolio Management, January 1989
*Jagannathan, R. and R.A. Korajczyk, “Assessing the Market Timing Performance of Managed Portfolios,” Journal of Business, January 1986[Section I&II]
@ Elton, Edwin J., and Martin J. Gruber. The Rationality of Asset Allocation Recommendations. Journal of Financial and Quantitative Analysis 35, 1 (March 2000): 27-41.
@ Mauboussin, Michael J.(2004), Decision-Making for Investors, Theory, Practice, and Pitfalls,2004, 5/24, Legg Mason Strategy Paper
(第十一週)
VI.Fixed Income Management(第十二週--第十三週)
1. Fixed Income Instruments 閱讀進度: BKM, Ch. 13.1, Ch. 13.3
2. Interest Rate Mathematics 閱讀進度: BKM, Ch. 13.4&13.5
3. The Term Structure of Interest Rates, Duration and Convexity
閱讀進度: BKM, Ch. 14.3&14.4& Ch. 15.1
Kopprasch, R.W., "Understanding Duration and Volatility," Salomon Brothers Bond
Portfolio Analysis Group, 1992.
@ Kritzman, Mark P., 1992, “(What Practitioners Need to Know) About Duration and Convexity”,. Financial Analysts Journal, Vol. 48
4. Bond Portfolio Management 閱讀進度: BKM, Ch. 15.2
*Gushee, C.H., “How to Hedge a Bond Investment,” Financial Analysts Journal, March-April 1981
(第十二週)
5. CDO and the subprime crises
@ CDO論述o證券化的新主流
@高儀慧(民95),擔保債務憑證(CDO)發展現況及其衍生問題探討,證券櫃檯月刊,第107期,頁49-65。
@儲 蓉,CDO Squared ―運用槓桿效果之新興固定收益商品,證券暨期貨月刊 第二十五卷 第一期,2007
@ 張耀洲,擔保債權憑證之評價- BET、Factor Copula與Copula方法之比較與分析,2006,中華金融創新與財務工程學會電子論文雙月刊
@ Nikki Marmery, “The Pricing puzzle”,US credit, April, 2005
@ Duffie, Darrell, and Nicolae Grleanu. Risk and Valuation of Collateralized Debt Obligations. Financial Analysts Journal (Jan-Feb 2001): 41-59. for Ph.D. students
@ Kao, Duen-Li. Illiquid Securities: Pricing and Performance Measurement. Financial Analysts Journal (Mar-Apr 1993): 28-35.
(第十三週)VII.Security Analysis
1. Macroeconomic and Industry Analysis 閱讀進度: BKM, Ch. 17
2. Equity Valuation Models 閱讀進度: BKM, Ch. 18
3.Financial Statement Analysis 閱讀進度: BKM, Ch. 19
4.Valution in Practice閱讀進度: “Cash Flow Valuation: A Practitioner’s Guide” Part II, Tom Copeland, Tim Koller and Jack Murrin, Valuation, McKinsey & Company, Inc. 2003
@ The Ins and Outs of Cash Flow. Business Week (2001).
@“Do Stock Prices Reflect Fundamental Values?”, J. Randall Woolridge, Journal of Applied Corporate Finance, Spring 1995, 64-69.
(第十四週)
VIII. Futures, Options and Other Derivative Products (第十四週)
1. Futures Contracts 閱讀進度: BKM, Ch.21.1-21.4
French, K.R., "Pricing Financial Futures Contracts: An Introduction," Journal of Applied
Corporate Finance, 1989, 59-66.
(第十五週)
2.Swaps and Interest Rate Derivative Products 閱讀進度: BKM, Ch. 22.5
3. Options Markets 閱讀進度: BKM, Ch. 19.1&19.2
4. Implementing the Black-Scholes Option Pricing Model 閱讀進度: BKM, Ch. 20.1-20.6
Black, F., “How we came up with the Option Formula,” Journal of Portfolio Management, January 1989
(第十六週)
5.How to do Risk Management with Derivatives 閱讀進度: BKM, Ch. 19.3-19.5
*Rubinstein, M. and H.E. Leland, “Replicating Options with Positions in Stock and Cash,” Financial Analysts Journal, July-Aug 1981
*Moriarty, E., Phillops, S. and P. Tosini,” A Comparison of Options and Futures in the Management of Portfolio Risk,” Financial Analysts Journal, Jan-Feb 1981
@"The Case of the Missing Ten Pounds: In which Sherlock Holmes explains forward pricing, options theory and other financial arcana", John Price, Derivatives Strategy, October 1997. (also available online at http://www.sherlockinvesting.com/articles/tenpounds.htm)
@ Harvey and Siddique (Journal of Finance 2000) "Conditional Skewness in Asset Pricing Tests," with Akhtar Siddique, Journal of Finance 55, (2000): 1263-1295. for Ph.D. students
@ Jun Pan (2001),The Jump-Risk Premia Implicit in Options:Evidence from an Integrated Time-Series Study, draft June 2001 for Ph.D. students
(第十七週)
VIIII. Non-Standard Approaches to Investment Analysis
1. Chaos and Nonlinear Dynamics "The Mathematics of Markets: A Survey of the Frontiers of Finance," The Economist, Oct. 9, 1993."The New Rocket Science: Welcome to the Futures of Finance," Business Week, Nov. 2, 1992
2. Artificial Intelligence, Expert Systems and Neural Networks
@ Dr Andrew Lo Darwinian Investing, Business Week, FEBRUARY 20, 2006
*Hill, J.M. and F.J. Jones, “Equity Trading, Program Trading, Portfolio Insurance, Computer Trading and All That,” Financial Analysts Journal, July-Aug 1988
第十八週 : 期末考





課程目標 Objectives

         A sound investment decision requires in-depth knowledge of the financial markets, rigorous analytical thinking and precise mathematical derivation. The main objective of this class is to teach you these three elements:
Analytical Tools
Among others, an important analytical skill you should acquire from taking this class is the ability to transform a real life investment problem into an analytically tractable model. This modeling skill is an important aspect of this class, and will be emphasized throughout the course.
Quantitative Skills
Modern finance has its quantitative aspect. Powerful mathematical techniques such as optimization, dynamic programming, probability theory and statistical analysis pave the way for many complex investment problems.
In this class, you will be exposed to this quantitative aspect. You are not expected to be fluent in mathematics, but I hope to teach you the fundamentals, which are portable from one situation to another. Moreover, through 5 group assignments, you will have hands-on experiences with optimization, data analysis, Monte-Carlo simulation, etc.
Empirical Knowledge
Essential to any investment decision is the knowledge of the investment environment. Broadly speaking, the financial instruments can be categorized into equity, debt, and derivatives. Important empirical evidence from all three types of financial markets will be examined in this class. Although I will emphasize concepts and the big picture a lot, please realize that 15.433 involves a fair bit of algebra, notation, and basic mathematics. So if you are uncomfortable with the above three notions, please talk to the course instructor about it.
三、 課程重點
The focus of this course is on the financial theory and empirical evidence that are useful for investment decisions. The topics covered in this course can be broadly categorized into five groups:
Financial Theories
This includes portfolio theory, the capital asset pricing model and the arbitrage pricing theory, all of which have become an integrated part of the decision-making in investments.
Empirical Evidence in the Equity and Equity Options Markets
This includes patterns in cross-sections of stock returns, the time-series behavior of stock returns time-varying expected returns and stochastic volatility, and further empirical evidence from the equity options market.
Introduction to Fixed-Income and Credit Sensitive Instruments
This includes default-free as well as defaultable bonds, yield curve analysis, the effect of Fed target rates, fixed-income derivatives such as swaps, caps, floors, and swaptions, models of default and ratings transitions, and more recent development of credit derivatives.
Market Efficiency and "Active" Investments
We start with the efficient market hypothesis, which is a useful framework for modeling financial markets. Like any model, the efficient market hypothesis is not a perfect description of reality: some prices are almost certainly "wrong". Hence there are reasons to believe that active management can have effective results. Topics in active investments include security analysis, active portfolio management, hedge funds, and risk management issues.
Brief Introduction to Behavioral Finance
While traditional finance assumes investors act rationally to maximize a well-defined utility function, behavioral finance tries to use other theories of behavior, from psychology, sociology, and anthropology, to explain financial markets. This topic will be covered by just one lecture, the main purpose of which is to get you exposed to this active and fast growing field in Finance.





授課方式 Teaching methods

         每週三小時,共17週。第二次上課時應將學員之簡歷交出並將名牌卡置於桌上明顯處。學員應上課前預習指定教材並上課時參與討論外,學員應熟習電腦軟體Spread Sheet Microsoft Excel,以便作實證研究與作業。





評分方式﹝評分標準及比例﹞Evaluation (Criteria and ratio)等第制單科成績對照表 letter grading reference

        
1.期中考25%
2.期末考25%
3.投資實證作業與報告35%
4.上課參與15%

參考書/教科書/閱讀文獻 Reference book/ textbook/ documents
〔請遵守智慧財產權觀念,不可非法影印。教師所提供之教材供學生本人自修學習使用,不得散播及做為商業用途〕
No copies for intellectual property rights. Textbooks provided by the instructor used only for self-study, can not broadcast or commercial use

        
序號作者書名出版社出版年出版地ISBN#
No.AutherTitlePublisherYear of
publish
Publisher
place
ISBN#
1Bodie, Z., Kane, A., and A.L.MarcusInvestments and Portfolio ManagementMc Graw-Hill Irwin2014New York007338237
2P. Bernstein.Capital Ideals: The Improbable Origins of Modern Wall Street.John Wiley& Sons2005New York:0-02-903012-9
3P.BernstainCapital Idea EvolvingJohn Wiledy&Sons2001New York0471731730

每週課程內容及預計進度 Weekly scheduled progress

        
週次日期授課內容及主題
WeekDateContent and topic
12018/09/10~2018/09/16Introduction to finance and financial markets
22018/09/17~2018/09/23Risk and Return
32018/09/24~2018/09/30Portfolio Theory
42018/10/01~2018/10/07The CAPM and its Implication
52018/10/08~2018/10/14The APT and its Implications
62018/10/15~2018/10/21Empirical Evidence on Stock and Bond Returns
72018/10/22~2018/10/28The Efficient Market Hypothesis: Event Studies and Market Anomalies
82018/10/29~2018/11/04Technical Analysis and Newsletters
92018/11/05~2018/11/11期中考
102018/11/12~2018/11/18Performance Measure for Equities and market timiing
112018/11/19~2018/11/25Fixed Income Management
122018/11/26~2018/12/02CDO and the subprime crises
132018/12/03~2018/12/09Security Analysis
142018/12/10~2018/12/16Futures, Options and Other Derivative Products
152018/12/17~2018/12/23Swaps and Interest Rate Derivative Products
162018/12/24~2018/12/30How to do Risk Management with Derivatives
172018/12/31~2019/01/06Non-Standard Approaches to Investment Analysis
182019/01/07~2019/01/13期末考

課業討論時間 Office hours

         時段1 Time period 1:
時間 Time:依規定免登
地點 Office/Laboratory:依規定免登
時段2 Time period 2:
時間 Time:依規定免登
地點 Office/Laboratory:依規定免登

系所學生專業能力/全校學生基本素養與核心能力 basic disciplines and core capabilitics of the dcpartment and the university

        
系所學生專業能力/全校學生基本素養與核心能力
basic disciplines and core capabilities of the department and the university
課堂活動與評量方式
Class activities and evaluation
1.本課程欲培養之能力與素養 This course enables students to achieve...2.紙筆考試或測驗 Test3.課堂討論︵含個案討論︶ Group discussion (case analysis)4.個人書面報告、作業、作品、實驗 Indivisual paper report/ assignment/ work or experiment5.群組書面報告、作業、作品、實驗 Group paper report/ assignment/ work or experiment6.個人口頭報告 Indivisual oral presentation7.群組口頭報告 Group oral presentation8.課程規劃之校外參訪及實習 Off-campus visit and intership9.證照/檢定 License10.參與課程規劃之校內外活動及競賽 Participate in off-campus/ on-campus activities and competitions11課外閱讀 Outside reading
※系所學生專業能力 Basic disciplines and core capabilities of the department
1.財務管理專業能力VVVVVVV   V
2.創新能力           
3.國際觀能力           
4.財務倫理之能力與社會責任實踐           
※全校學生基本素養與核心能力 Basic disciplines and core capabilities of the university
1.表達與溝通能力。V VVVVV   V
2.探究與批判思考能力。VVVVVVV   V
3.終身學習能力。VV        V
4.倫理與社會責任。           
5.美感品味。           
6.創造力。           
7.全球視野。           
8.合作與領導能力。           
9.山海胸襟與自然情懷。           

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