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Investment Analysis (Advanced Level)

2020/2021
Учебный год
ENG
Обучение ведется на английском языке
4
Кредиты
Статус:
Курс по выбору
Когда читается:
2-й курс, 1, 2 модуль

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

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

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

Course Contents

  • The asset allocation process
    Strategic versus tactical asset allocation, performance measurement, investment styles, repetition: market efficiency
  • Strategic asset allocation: mean variance optimization revisited
    Repetition: The efficient frontier; problems of mean-variance optimization, alternatives to mean-variance optimization.
  • Technical analysis: is it profitable?
    Introduction to technical analysis, use and profitability of technical analysis, why is technical analysis (potentially) profitable?
  • Tactical asset allocation: can professionals time the market?
    What is market timing? Tests for market timing, empirical evidence
  • Price anomalies, especially price momentum
    Categories of price anomalies, price reversals and price continuation, the sources of momentum effects, momentum crashes, cross sectional versus time series momentum
  • Behavioural finance I: Limits to arbitrage
    What does behavioural finance deal with? Limits to arbitrage, the separation of brain and capital
  • Behavioural finance II: Noise traders and their impact
    What is a noise trader?, noise trader risk: the model by De Long, Shleifer, Summers and Waldman
  • Cognitive biases, prospect theory, adaptive market hypothesis
    Cognitive biases, prospect theory and momentum, adaptive market hypothesis: integrating efficient market hypothesis and behavioural finance
  • Cointegration (methodology) and bubbles
    Introduction to the cointegration methodology, bubbles: definition and historical survey (Tulipmania), testing for bubbles, periodically collapsing bubbles
  • Market microstructure and price predictability
    What does market microstructure deal with?, order flow and news processing, informative trades, example: intraday momentum
Assessment Elements

Assessment Elements

  • non-blocking Report/Presentation
  • non-blocking In-Class Participation
  • non-blocking Written Assignment
  • non-blocking Exam
Interim Assessment

Interim Assessment

  • Interim assessment (2 module)
    0.4 * Exam + 0.1 * In-Class Participation + 0.1 * Report/Presentation + 0.4 * Written Assignment
Bibliography

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