101年第2學期-4757 公司財務研究專題 課程資訊

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

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.

基本資料

選修課，學分數：0-3
上課時間：三/2,3,4
修課班級：財金碩1,2
修課年級：年級以上
選課備註：

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