I. Course
Description
This course provides an in-depth discussion of investment and portfolio
management. Students are expected to learn about various investment alternatives that are
available in the market. Most importantly, students are trained to recognize the future
investment opportunities in different industrial sectors by developing an appropriate
portfolio, which satisfies an individual risk-return objective. At the beginning of each
class meeting, I discuss "What is news" keeping students informed
about updated economic news, FOMC possible move on interest rate, upcoming important
earning announcements, merger/acquisition announcements, and other corporations
announcements. Especially, students are encouraged to participate in discussing current
news in financial markets. This course provides an appropriate combination of rigorous
theoretical knowledge with practical issues in the arena of investment and portfolio
management.
In addition, this class requires students to work on various
assignments, which are designed to test some finance-contested models and theories. The
discussion and application of financial empirical models reflects an important fact that
it is essential for finance theories to be tested in the real world. Students are often
required to report the progress of their assignments. For each assignment, students have
to document their findings in their written reports.
II. Course Objective
The purpose of this course is designed to help students understand
the advanced investment and portfolio management knowledge and further develop empirical
models testing skills accompanied by computer proficiency. The methodology used to achieve
this objective is the active involvement in hand-on exercises. Students are expected to
apply investment knowledge taught in class and relevant financial empirical models to
complete each assignment. Throughout the whole semester, students can communicate the
encountered problems of doing assignments with the instructor. This whole learning
experience should be interactive rather than passive. At the end, students will be tested
for their technical analyzing skills via an empirical model test conducted in a computer
lab.
While each assignment focuses on a particular subject, for example,
beta, expected return, abnormal return, Brown-Warner test, multi-variable regression,
etc., all assignments are designed to enhance students empirical modeling skills. A
good security analyst should be able to grasp news in the market. Thus, in order to better
understand firms business operation as well as strategic decisions making processes,
students are expected to read news (on paper or on internet) and particularly pay much
more attention to headline news. At the end, students with solid performance in this
course are expected to thrive in a real investment and corporate world.
III. Course Organization
Course Material -
The required text is Frank Reilly and Keith Brown, "Investments,
Analysis and Portfolio Management", Dryden Press, 6th edition.
The optional text is Frank Fabozzi, "Bond Markets, Analysis and
Strategies", Prentice Hall, 4th edition.
The recommended computer skill and other supplementary readings
Microsoft application (Word, Power Point and Excel) and SPSS
Wall Street Journal, Business Week, Internet electronic resources (ex.
Yahoo business summary, stock quotation, CBS Market Watch, CNN financial news, etc.)
All supplementary teaching material and notes will be distributed in
the class. Problems solving will be demonstrated in class. In addition, text reading will
be assigned in class. Since all the above requirements will be included in exams, for
students missing the class, they need to ask for copies of distributed material and notes
from the instructor or their classmates.
Course Evaluation
Participation
(attendance, text readings and class discussion)
40 points
Assignments
60
points
An empirical model test
50
points
Quiz
(each is 10 points and can drop the lowest score) 40
points
2 Midterms (40% of lowest score and 60% of highest score)
200
points
Final (Comprehensive)
150
points
Total points
540points
Course Policy
All drop-add policy complies with the University/College rules.
The assignment can be a group work but an individual work is preferred.
The maximum number of people in one group is 5. The assignment should be completed
with the help of application of software.
The maximum length of each assignment reprot is 5 pages, not
including the spreadsheets or other supplementary notes. The first page of the assignmnet
report is an executive summary, which provides a brief summarized findings and
recommendations. Students are expected to turn in a disk, which contains the detailed
calculation process along with a printout of written report summarizing findings and
explanations. Most importantly, students should interpret results and relate results to
relevant finance theory.
Late assignment report will be deducted 40% out of full
points. Late assignment report is defined as the report should be submitted no later
than ONE day grace period (before 5:00 pm) after the original due date. The assignment
report will NOT be accepted if it is submitted after this grace period.
Dates of changing exams and other information concerning exams will
be announced in the class. However, instructor reserves the right to change the syllabus
based on the progress made in the class.
NO MAKE-UP EXAMS.
ATTENDANCE IS MANDATORY
IV. Course Outline
DATE |
CHAPTERS |
Topics |
8/28
8/30 |
1
2 |
Introduction The Investment Setting
Asset Allocation Decision |
9/4
9/6 |
3 |
Labor Day
Selecting Investments in a Global Market |
9/11
9/13 |
5
7 |
Security Market Indicator Series
Efficient Capital Market |
9/18
9/20 |
7
8 |
Efficient Capital Market
An Introduction to Portfolio Management |
9/25
9/27 |
8
9 |
An Introduction to Portfolio Management
An Introduction to Asset Pricing Models |
10/2
10/04 |
9
|
An Introduction to Asset Pricing Models
Exam #1 Review |
10/9
10/11 |
10
|
Exam #1
Extensions and Testing of Asset Pricing Models |