Kurser och studieplaner / Finansiell ekonomi
1741 Advanced Financial Theory
|Period: 1||2.9.2013 - 18.10.2013|
|Institution||Finansiell ekonomi och ekonomisk statistik|
The aim of the course is to provide a deeper understanding of various fundamental topics in finance. Starting from utility specifications, we analyse optimal portfolio/consumption choices under uncertainty, encompass main asset pricing models, and look more in depth into corporate finance theory, especially capital market efficiency, agency theory, capital structure and dividend policy. An important part of this course is to review the empirical literature on the topics covered in the course. This approach allows the student to understand more fully implications and limitations of the theoretical models and to relate them more properly to empirical evidence.
Upon successful completion of the course, the student will be able to:
• analyze optimal consumption and investment choices under uncertainty
• understand the concept of complete markets for state contingent claims
• illustrate the theory and empirical applications of asset-pricing models: the CAPM, APT and multifactor asset pricing models
• conceptually understand the determinants of the optimal capital structure of the firm.
• examine and discuss the key issues related to dividend policy, agency theory and optimal contract design.
• analyze and discuss the latest empirical evidence on the main topics covered in the course
An accepted introductory exam is required in order to participate in the course. It is assumed that students are familiar with fundamental concepts in finance theory and have decent math skills, particularly in matrix algebra, derivation and solving simultaneous equations.
Lectures and exercises
The course consists of 12 classroom lectures and six (06) related exercises sessions.
A set of exercises will be made available on the course web page. There are six exercise sessions. Solutions will be discussed during the exercise sessions. The participation in the exercise sessions is not mandatory but is highly recommended. There will be two mid-term exams based on the exercise questions and ONLY one retake opportunity.
Hillier D., Grinblatt M., and Titman S: Financial markets and corporate strategy. Irwin/McGraw-Hill 2008, European Edition. Parts specified by the lecturer.
Copeland T E, Weston J F & Shastri K: Financial theory and corporate policy. 4th ed. Pearson Education Inc. 2005. Parts specified by the lecturer.
Selected chapters from Elton E J., Gruber M J., Brown S J., Goetzmann W N: Modern Portfolio Theory and Investment Analysis, Eighth edition - 2011. John Wiley and Sons, Inc.
Additional material specified by the lecturer.
Bedömning och examination
Two Midterm Exams: 30%
Final Exam at the end of the course: 70%
Hussain, Syed Mujahid