101年第2學期-4757 公司財務研究專題 課程資訊

課程分享

選課分析

本課程名額為 70人,已有19人選讀,尚餘名額51人。

評分方式

評分項目 配分比例 說明
Two assignments 20 To be arranged
Research paper 80 June 1 ,2013前繳交

授課教師

姜寄南

教育目標

My presentations consist of a series of theoretical models for analyzing asset prices and financial market behavior. The presntations are divided into five parts: bond market, stock market, foreign exchange market, empirical analysis of asset prices, and behavioal finance. The domestic markets are linked through Fisher equation, term structure of interest rates, and CAPM. International markets are linked through various international parity conditions. Economic fundamentals provide the rationales for determination of asset prices (returns). Behavioral models shed some lights on pricing process beyond economic fundamentals. In addition to theoretical expositons, some empirical issues and evidence will be discussed. Speech outline will be provided in the due time.

課程資訊

參考書目

Text Books
Cuthbertson, Keith and Dirk Nitzche (CN). Quantitative Financial Economics. New York: John Wiley, 2005. ISBN 10-470-09171-1 (Paper Back copy). www.wiley.com.

Useful Books
Alexander. Carol. Market Models: A Guide to Financial Data Analysis. New York: John Wiley, 2003.
Alexander, Carol, Market Risk Analysis, Volume II - Practical Financial Econometrics, John Wiley, New York, 2008.
Campbell, John Y., Andrew W. Lo, and A. Craig Mackinlay, The Econometrics of financial Markets. Princeton, NJ: Princeton University Press, 1997.
Cochrane, John H. Asset Pricing. Princeton, NJ: Princeton University Press, 2001.
Fama, Eugene F. Foundation of Finance, NY: Basic Books, 1976.
McCallum, Bennett T. Monetary Economics: Theory and Policy, New York: Macmillian Publishing, 1989.
Sargent, T. J. Dynamic Macroeconomic Theory. Cambridge, MA: Harvard U. Press, 1987
Shiller, Robert, J. Market Volatility. Cambridge, MA: The MIT Press, 1989.
Tsay, Ruey S. Analysis of Financial Time Series, John Wiley & Sons, Inc, Second Ed., 2010 (Tsay).
Campbell, J.Y. articles in Web site: http://ideas.repec.org/e/pca54.html
Fama, E. articles in Web site: http://www.lib.uchicago.edu/e/busecon/busfac/Fama.html