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Bailey R.E. The Economics of Financial Markets, Cambridge University Press, 2005.
Recommended Books:
Bodie, Z., R. Merton, andD. Cleeton, Financial Economics, PrenticeHall, 2nd edition, 2008.
Bodie, Z., A. Kane,and A. Marcus, Investments, McGraw-Hill Education, 8th edition,2009.
Fabozzi, F., E. Neave,and G. Zhou, Financial Economics,John Wiley & Sons, 2012.
Lecture 1: Assetmarkets and asset prices (chapter 1)
l The main types ofcapital markets
l Fundamental principlesof asset price determination
l Arbitrage
l Asset marketefficiency
Lecture 2:Predictability of prices and market efficiency (ch. 2, 3)
l Random walks of assetprices and martingales
l Asset marketefficiency and anomalies
l Price impact ofinformed trades---- Kyle (1985) model
Project #1: Using theevent study methodology to study the market efficiency in Chinese stock market
Lecture 3: Decisionmaking under uncertainty (ch. 4)
l Expected utilitytheory
l Risk aversion and themeasure of risk aversion
l Risk aversion andportfolio choice
Lecture 4: Portfoliochoice problem and mean-variance analysis (ch. 5)
l Optimal choice problem
l MarkowitzEfficient frontier
Project #2: Constructyour own portfolio
Lecture 5: The capitalasset pricing model (CAPM) (ch. 6)
l Market portfolio
l The capital assetpricing model
l Alpha and beta
Lecture 6: Arbitrage(ch. 7)
l No arbitrage and stateprices
l Risk neutralprobabilities
Lecture 7: Factormodels and the arbitrage pricing theory (APT) (ch. 8)
l Single factor model
l Multi factor model
l APT
Lecture 8: Empiricalappraisal of the CAPM and APT (ch. 9)
l Empirical examinationof CAPM
l Fama-French threefactor model
Lecture 9:Intertemporal choice and the equity premium puzzle (ch. 11)
l Consumption-basedasset pricing model
l Equity premium puzzle
Lecture 10 Optionmarkets (ch. 18-20)
l Call options and putoptions
l Put-call parity
l Cox-Ross-Rubinstein(CRR)’s binomial option pricing model
金融经济答案.pdf 1.1 MB
Options Market exercises.docx 35.6 KB
Lecture 7 Factor Models and APT.pdf 182.0 KB
Lec 9 Options_binomial tree model.pdf 192.0 KB
Lec 9 options markets.pdf 59.6 KB
Lec 8 Empirical appraisal of CAPM.pdf 34.6 KB
Lec 6 Arbitrage.pdf 36.0 KB
Lec 5 capm.pdf 62.5 KB
Lec 4 portfolio theory.pdf 220.0 KB
Lec 4 (self-reading) diversification.pdf 139.0 KB
Lec 3 expected utility.pdf 124.0 KB
Lec 3 expected utility additional notes.pdf 54.2 KB
Lec 2 predictability and market efficiency.pdf 825.0 KB
Lec 1 Asset Markets and Asset Prices.pdf 221.0 KB
homework 4_xyx(1).pdf 278.0 KB
homework 4.docx 24.2 KB
homework 4 solution.pdf 133.0 KB
homework 3_xyx(1).pdf 102.0 KB
homework 3.docx 31.1 KB
homework 3 solution.pdf 77.7 KB
homework 2_xyx(1).pdf 120.0 KB
homework 2.docx 27.1 KB
homework 1_xyx(1).pdf 12.8 KB
homework 1.docx 19.9 KB
homework 1 solution.pdf 128.0 KB
Financial Economics syllabus .docx 22.6 KB
fin eco outline .pdf 46.9 KB
04Event Study Description.pdf 91.7 KB
金融经济.rar
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