本課程教學大綱已提供完整英文資訊（本選項僅供統計使用，未提供完整英文資訊者，得免勾記）【Provide information of course syllabus in English.(This is for statistical use only. For those who do not provide information of course syllabus in English, do not check this field.)】
Class 1: Introduction to Investment Reader:class note 1 BKM Chapters 1 & 2&Appendix. Class 2: Introduction to Security Markets and Market Instruments Reader:class note 1 BKM Chapters 1 & 2&Appendix. Class 3: Security Risk and Return Reader:class note 1 BKM Chapters 5 & 6 Campbell John Y.,Martin Lettau, Burton G. Malkiel and Yexiao Xu, 2001, Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk, The Journal of Finance,Volume 56, Issue 1, pages 1–43, February 2001 Stock vs Bond Debate Class 4: Portfolio Optimization and Asset Classes Reader:class note 1 BKM Chapters 6,7,8 &BKM Appendix A, B Focus: Chapters 6,7 & 8: Leisure Readings ”Fourteen Pages to Fame,” Chapter 2 of Capital Ideas by Peter Bernstein. Class 5: Capital Asset Pricing Model Reader:class note 2: CAPM BKM Chapters 8 &9 Buffett, Warren, 1984,“The Super Investors of Graham and Doddsville” speech, the Columbia Business School Magazine Leisure Readings ”The Interior Decorator Fallacy” Chapter 3 of Capital Ideas by Peter Bernstein Lowenstein, Louis (1991), “CAPM is Flawed” from“Sense & Nonsense in Corporate Finance” Fernandez, Pablo (2014) CAPM: an absurd model Classes 6: The CAPM and APT Part 1: Theory Please read BKM Chapters 9-11, Class 7: The CAPM and APT Part 2: Applications and Tests Please read: class note 2: CAPM BKM Chapters 9,10&13, Reader: Lakonishok, Josef, Andrei Schleifer and Robert W. Vishny, 1994,Contrarian Investment, Extrapolation and Risk,Journal of Finance, December 1994 Jegadeesh and Titman (1993). Returns to Buying Winners and Selling Losers: Implications for Market Efficiency, Journal of Finance (1993). Fama, Eugene F., and Kenneth R. French. The Cross-Section of Expected Stock Returns. The Journal of Finance 47, 2 (June 1992): 427-465. Fama and French (2004),The Capital Asset Pricing Model:Theory and Evidence, Journal of Economic Perspectives—Volume 18, Number 3—Summer 2004—Pages 25–46 Thaler, R.H. and W.F.M. DeBondt, "Anomalies: A Mean-Reverting Walk Down Wall Street," Journal of Economic Perspectives, Jan. 1989. Rubinstein , Mark, 2001, Rational Markets Yes or No, Financial Analysts Journal (May/June 2001) Classes 8 : The The Efficient Market Hypothesis and behavior finance Please read: class note 3: efficient analysis BKM Chapters 10,11,12 Lo, Andrew W,2007,”EFFICIENT MARKETS HYPOTHESIS” in L. Blume and S. Durlauf, The New Palgrave: A Dictionary of Economics, Second Edition, 2007. New York: Palgrave McMillan. Thaler, R.H. and W.F.M. DeBondt, "Anomalies: A Mean-Reverting Walk Down Wall Street," Journal of Economic Perspectives, Jan. 1989. Jegadeesh and Titman (1993). “Returns to Buying Winners and Selling Losers: Implications for Market Efficiency”, Journal of Finance (1993). Jagannathan, R., and E. McGrattan, 1995, “The CAPM Debate”, Federal Reserve Bank of Minneapolis Quarterly Review 19 (1995): 2-17. PHD and serious students please read, Cochrane, John H, Asset Pricing (Ch. 20), revised 2005. Princeton University Press,”Expected Returns in theTime Series and Cross Section” Classes 9:Market Anomaly Please read: class note 3: efficient analysis BKM Chapters 12&13 Papers to read Fama, Eugene F. and Kenneth R. French.1992. “The Cross-Section of Expected Stock Returns.” Journal of Finance. 47:2, pp. 427–65. Fama, Eugene F. and Kenneth R. French. 1993. “Common Risk Factors in the Returns on Stocks and Bonds.” Journal of Financial Economics. Fama, Eugene F. and Kenneth R. French. 2004. “The Capital Asset Pricing Model: Theory and Evidence” Journal of Economic Perspectives—Volume 18, Number 3—Summer 2004—Pages 25–46 Durand, Robert B., Dominic Lim, and J. Kenton Zumwalt. 2011.” Fear and the Fama-French Factors” Financial Management • Summer 2011 • pages 409 – 426 Berger, Adam L,Ronen Israel,and Tobias J. Moskowitz, 2009,”The Case for Momentum Investing”, AQR capital management working paper Durand, Robert B., Dominic Lim, and J. Kenton Zumwalt. 2011.” Fear and the Fama-French Factors” Financial Management • Summer 2011 • pages 409 – 426 Desai, Hemang, Shivaram Rajgopal and Mohan Venkatachalam, 2004,” Value-Glamour and Accruals Mispricing: One Anomaly or Two?”, The Accounting Review volume 79#2, 355-385 Sloan, R. 1996. Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings? The Accounting Review 71(3):289-316.Class 10: Derivative Markets and class 10 Equity Options Please read: class note 4: derivative securities BKM Chapters 20,21 Buffet, Warren on Derivatives, 2002, edited excerpts from the Berkshire Hathaway annual report for 2002. Focus: BKM Chapters 20, type of potential questions: concept check question 1, 2, 3 & 4, 6, 8, 9, 14.1 Further Reading EASY AND ENTERTAINING: ”The Universal Financial Device” Chapter 11 of Capital Ideas by Peter Bernstein. SERIOUS, INTRODUCTORY LEVEL MATERIALS: Options, Futures, and Other Derivative Securities by John Hull. Class 11:Options Pricing Models and Implied Volatility Please read: class note 4: binomial and BS option pricing model BKM Chapters 21&Concept check question 1 to 8, table 21.3/21.4, Reader: Pan, Jun (2002),”The Jump-Risk Premia Implicit in Options:Evidence from an Integrated Time-Series Study”, Journal of Financial Economics, 2002,3-50 Shleifer, Andrei and Robert W. Vishny, The limit of Arbitrage,The Journal of Finance, Vol. 52, No. 2 (March., 1997), p. 35-55 Class 12:Futures Markets Please read: class note 4: forward, futures and other exotic derivative contracts BKM Chapters 16,22&23 Class 13: The Fixed Income Market: Introduction Please read: • BKM Chapter 15 Class 14:: Time Varying Interest Rates and Yield Curves Read: BKM Chapter 15,16 Style of potential questions: Concept check questions, 1, 3, 4, 10, 26 BKM Chapter 22, Concept check question 4, 13&BKM Chapter 23 Reader: Classe 15: Security Analysis Reader: investment class note 5:Equity Valuation Class 16: Active Portfolio Management Focus:BKM Chapter 26, Concept check question question 2,3,4,5 BKM Chapter 27,Concept check question question 2,3,4,5 Reader: Carhart, Mark M., 1997, “On Persistence in Mutual Fund Performance,” Journal of Finance 52, 57-82 Fama, Eugene F. and Kenneth R. French, 2010, "Luck versus Skill in the Cross-Section of Mutual Fund Returns" Journal of Finance 65, 1915-1947 Class 17: EVALUATING TRADING STRATEGIES AND PERFORMANCE A. Evaluating Investment Portfolio Performance B. Market Timing versus Selection Reader:newpp09 and BKM ch. 24 Frazzini,Andrea, David Kabiller, and Lasse H. Pedersen(2013) "Buffett’s Alpha", NBER Working Paper 19681 ,http://www.nber.org/papers/w19681, November 2013
課程目標 Objectives
The primary objective of this course is to provide the student with the theoretical background and analytical tools necessary to sound investment decision-making. The course will introduce active trading of financial instruments where students can learn the principles of speculative and investment trading. Discussions in this course will cover a broad range of securities and markets, including equities, debt instruments, foreign exchange, commodity markets, options, and futures contracts. 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 data collection and investment analysis, 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 this course involves a fair bit of algebra, notation, and basic mathematics and be prepared Group Assignments：I believe that the best way to learn investment is through practice and experience. There are at least four group assignments including the investment portfolio simulation contest homework project for you to do each week and portfolio performance evaluation on the final week. You should try to test the various investment strategies on each week’s investment simulation and conduct some back test using the past data to justify the strategy you used during the contest. Each homework is worth between 5 to 7 points toward your final grade while the portfolio simulation homework is worth 15 points.
授課方式 Teaching methods
*For the first month meeting, we will conduct video conference meeting through Google Meet. Those who wanted to take the course for credits should join TA miss Lee's FB and Line Group *九月上課採用Google Meet 遠距教學，修課的同學請事先加入助教李明姿建立的FB 與Line修課群組， Line 與FB社團名稱 : 2022投資理論與策略 這是助教的信箱 Emily9456016@gmail.com Line群組連結：https://line.me/ti/g/hfQOuMGJGh FB社團：https://www.facebook.com/groups/357209669943663 第一堂課皆開放旁聽, 尚未選到課的亦同, 請於課後告知TA Emily9456016@gmail.com 請於正式上課前, 有三件事在這提醒各位。 """"立即""""""加入 FB 社團, LINE群組 準備好個人自我介紹( CV ) 1 - 2 頁, PDF 形式, 檔案先行保留, 後續可能會要求你們寄信, 影印帶至課堂, 或者上傳雲端。 每週三小時，共15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。 Class Preparation and Participation Both class preparation and participation are important. The classroom is a great place to test and enhance your understanding of the material by asking and answering questions. It will be hard to contribute to the discussions if you are unprepared. I strongly encourage you to prepare for class in study groups. Class participation, from clarifying questions to creative and insightful comments, is greatly encouraged. Your active participation will transform this class into a great learning experience for everyone, including myself.
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.
Auther
Title
Publisher
Year of publish
Publisher place
ISBN#
1
Bodie, Z., Kane, A., and A.L.Marcus
Investments (11th edition)
Irving
2017
New York
0912021377
2
MARK RUBINSTEIN
A History of the Theory of Investments
John Wiley & Sons, Inc
2006
New Jersey
978-0-471-77056-5
3
黃嘉斌譯
金融投資理論史
寰宇
2008
Taipei
9789570477788
4
Wesley R. Gray, Tobias E. Carlisle
Quantitative Value: A Practitioner’s Guide to Automating Intelligent Investment and Eliminating Behavioral Errors,
John Wiley& Sons
2012
New Jersey
9781118328071
5
韋斯利 · 格雷, 杜白 · 卡萊爾 • 譯者： 黃嘉斌
計量價值的勝率
寰宇
2018
Taipei
9789868319417
彈性暨自主學習規劃 Alternative learning periods
本門課程是否有規劃實施學生彈性或自主學習內容（每1學分2小時）
Is any alternative learning periods planned for this course (with each credit corresponding to two hours of activity)?
否：教師需於「每週課程內容及預計進度」填寫18週課程進度（每1學分18小時之正課內容）。 No：The instructor will include an 18-week course plan in the weekly scheduled progress (each credit corresponds to 18 hours of instruction)
是：教師需於「每週課程內容及預計進度」填寫16週課程內容（每1學分16小時之正課內容），並於下列欄位填寫每1學分2小時學生彈性或自主學習內容。 Yes：The instructor will include a 16-week course plan in the weekly scheduled progress (each credit corresponds to 16 hours of instruction);the details of the planned alternative learning periods are provided below (each credit corresponds to two hours of activity).
學生彈性或自主學習活動 Alternative learning periods
勾選或填寫規劃內容 Place a check in the appropriate box or provide details
時數 Number of hours
學生分組實作及討論 Group work and discussion
參與課程相關作業、作品、實驗 Participation in course-related assignments, work, or experiments
參與校內外活動（研習營、工作坊、參訪）或競賽 Participation in on- or off-campus activities (e.g., seminars, workshops, and visits) or competitions
課外閱讀 Extracurricular reading
線上數位教材學習 Learning with online digital learning materials
其他（請填寫規劃內容） Other (please provide details)
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
Week
Date
Content and topic
1
2022/09/04~2022/09/10
Class 1: Introduction to Investment
2
2022/09/11~2022/09/17
Class 2: Securities, Random Walk on Wall Street
3
2022/09/18~2022/09/24
Class 3: Portfolio Theory Part 1: Setting up the Problem
4
2022/09/25~2022/10/01
Class 4: Portfolio Theory Part 2: Extensions
5
2022/10/02~2022/10/08
Class 5: Portfolio Theory Part 3: Optimal Risky Portfolio
6
2022/10/09~2022/10/15
Classes 6: The CAPM and APT Part 1: Theory
7
2022/10/16~2022/10/22
Class 7: The CAPM and APT Part 2: Applications and Tests
8
2022/10/23~2022/10/29
Classes 8 & 9: The Equity Market Cross Sectional Variation in Stock Returns
9
2022/10/30~2022/11/05
Class 10&11: Equity Options
10
2022/11/06~2022/11/12
期中考試
11
2022/11/13~2022/11/19
Class 13: The Fixed Income Market
12
2022/11/20~2022/11/26
Class 14: The Fixed Income MarketPart 2: Time Varying Interest Rates and Yield Curves
13
2022/11/27~2022/12/03
Classe 15: Forwards, Futures & Swaps
14
2022/12/04~2022/12/10
Class 16: Risk Management
15
2022/12/11~2022/12/17
Class 17&18: The Credit Market
16
2022/12/18~2022/12/24
Class 19: Security Analysis
17
2022/12/25~2022/12/31
Class 20: Active Portfolio Management
18
2023/01/01~2023/01/07
學期考試
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
本課程欲培養之能力與素養 This course enables students to achieve.
紙筆考試或測驗 Test.
課堂討論︵含個案討論︶ Group discussion (case analysis).
個人書面報告、作業、作品、實驗 Indivisual paper report/ assignment/ work or experiment.
群組書面報告、作業、作品、實驗 Group paper report/ assignment/ work or experiment.
個人口頭報告 Indivisual oral presentation.
群組口頭報告 Group oral presentation.
課程規劃之校外參訪及實習 Off-campus visit and intership.
證照/檢定 License.
參與課程規劃之校內外活動及競賽 Participate in off-campus/ on-campus activities and competitions.
課外閱讀 Outside reading.
※系所學生專業能力 Basic disciplines and core capabilities of the department
1.財務倫理之能力與社會責任實踐 1. Financial ethics ability.
2.國際觀之能力 2. Global perspective.
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3.解決財務問題之能力 3. Problem solving ability in Finance.
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4.溝通之能力 4. Communication skill.
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5.財務管理專業知識之能力 5. Expertise in Financial management.
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※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。 1. Articulation and communication skills
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2.探究與批判思考能力。 2. Inquisitive and critical thinking abilities
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3.終身學習能力。 3. Lifelong learning
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4.倫理與社會責任。 4. Ethnics and social responsibility
5.美感品味。 5. Aesthetic appreciation
6.創造力。 6. Creativity
7.全球視野。 7. Global perspective
8.合作與領導能力。 8. Team work and leadership
9.山海胸襟與自然情懷。 9. Broad-mindedness and the embrace of nature
Internship: The required or elective courses should include credits and learning hours. Students should participate in the corporative company or institution to practice and learn the real skills. An internship certification must be handed in at the end of internship to get the credits or to fulfil the graduation requirements.