Investment Analysis (Advanced Level)

2021/2022

Academic Year

ENG

Instruction in English

4

ECTS credits

Delivered at:

Department of Finance

Course type:

Elective course

When:

2 year, 1, 2 module

Instructors

Фроммель Михаэль

Churakova, Iya

Course Syllabus

Abstract

The course deals with the asset allocation process and focuses on questions concerning the price predictability on financial markets. Prerequisites: "Basic finance: asset classes", "Factor models", "Basic econometrics"

Learning Objectives

• The purposes of the course "Investment Analysis (advanced level)" are the following: 1. To give the masters the conceptual foundations of investment analysis, basic principles and ideas about evaluating the effectiveness of commercial investments; 2. To form a system of theoretical and practical knowledge and skills in the field of business valuation. The objectives of the discipline are: 1. To study theoretical and practical foundations of investment assessment of a business; 2. To develop methods and technologies for investment analysis in theory and practice; 3. To master the skills of analysis of investment efficiency and business value based on the assessment of capital investments made; 4. To master the practice of econometric calculations necessary for analysis investment efficiency and business valuation; 5. To analyse of existing and the creation of new directions for the development of entrepreneurial activities based on analysis of investment performance and business valuation.

Expected Learning Outcomes

• Knowing the steps of the asset allocation process, understanding the discussion on market efficiency and price predictability, its reasons and consequences.

Course Contents

• The asset allocation process
• Strategic asset allocation: mean variance optimization revisited
• Technical analysis: is it profitable?
• Tactical asset allocation: can professionals time the market?
• Price anomalies, especially price momentum
• Behavioural finance I: Limits to arbitrage
• Behavioural finance II: Noise traders and their impact
• Cognitive biases, prospect theory, adaptive market hypothesis
• Cointegration (methodology) and bubbles
• Market microstructure and price predictability

Assessment Elements

• Report/Presentation
• In-Class Participation
• Written Assignment
• Exam

Interim Assessment

• 2021/2022 2nd module
  0.1 * In-Class Participation + 0.1 * Report/Presentation + 0.4 * Exam + 0.4 * Written Assignment

Bibliography

Recommended Core Bibliography

• Michael Frömmel. (2016). Finance 1: Portfolio Theory and Management. Books on Demand.

Recommended Additional Bibliography

• DeFusco, R. A., McLeavey, D. W., Pinto, J. E., & Runkle, D. E. (2015). Quantitative Investment Analysis (Vol. Third edition). Hoboken, New Jersey: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=1082450

Authors

• FROEMMEL MIСHAEL -
• ROGOVA ELENA MOISEEVNA
• CHURAKOVA IYYA YUREVNA