advertisement

Investment Analysis Dr. Kee H. Chung, Visiting Professor, CAU Louis M. Jacobs Professor and Chairman SUNY at Buffalo (e-mail) keechung@buffalo.edu http://mgt.buffalo.edu/faculty/academic/finance/faculty 교수연구동 305 동 801 호 Office hour: 2:00-3:00 pm Tuesday OBJECTIVES This course provides you with a general understanding of the operation of capital markets and basic analytical tools of investment management. Covered topics include portfolio theory, capital asset pricing model, arbitrage pricing theory, market microstructure, equity valuation, efficient market hypothesis, option pricing, and the valuation of fixed income securities. Through an investment project, you’ll gain an additional insight on practical issues in investment and portfolio management. PREREQUISITES: Financial Management & Introductory Statistics. Finance is mathematical and you will need to utilize material developed in the prerequisite courses. TEXT: Investments, by Zvi Bodies, Alex Kane, and Alan Marcus, Richard D. Irwin, Inc., latest US or Global Edition. PowerPoint: http://www.acsu.buffalo.edu/~keechung/Lecture%20Notes%20and%20Syllabus%20%28MGF 633%29/PowerPoint/ GRADING POLICY Midterm Exam (30%), Final Exam (30%), Investment Project (20%), Class Participation and Attendance (20%) ATTENDANCE on every class meeting is required. Please do not be late for class. Punctuality is a virtue ASSIGMNMENTS I'll be assigning homework problems from the book. I choose problems that I think are "useful", in the sense of helping you understand the material and prepare for exams. You should feel free to work on them in groups. CALCULATOR You will live or die in this course by your financial calculator. In addition to the usual arithmetic operations, a financial calculator can compute means, standard deviations, exponentials, log functions, and present and future values of simple sums and annuities. An ability to compute yield to maturity (YTM) and internal rates of return (IRR) is useful. Useful Websites Yahoo Finance: http://finance.yahoo.com SCHEDULE 1 (Notes) LN denotes “lecture note” Topic 1 How Securities Are Traded (Chapter 3) Homework problems: 3:4,5,7,8,9,14 Homework problems: 3:6,8,9,14 (These are corresponding problems in Global Edition of the textbook.) Topic 2 History of Returns (Chapter 5) Homework problems: 5:5,6(a)(b)(c),7,12 http://www.acsu.buffalo.edu/~keechung/Lecture%20Notes%20and%20Syllabus%20(MGF633) /MorningstarCharts%201926-2006.ppt Topic 3 Risk Analysis & Capital Allocation (Chapter 6) Homework problems: 6:4,6-21 Topic 4 Optimal Portfolios (Chapter 7), Index Models (Chapter 8) & CAPM (Chapter 9) Homework problems: 7:4-11, CFA Problems 1,2,3 9:3,4,13,14, CFA Problems 1,2 9:3,8,17,18, CFA Problems 1,2 (LN) Risk and Return http://www.acsu.buffalo.edu/~keechung/CU%20Lecture%20Notes%20and%20Syllabus/Cha pter%206%20-%20Risk%20and%20Return.doc (LN) Minimum Variance Portfolio and Optimal Risky Portfolio http://www.acsu.buffalo.edu/~keechung/Lecture%20Notes%20and%20Syllabus%20(MGF6 33)/Chapter%207%20-%20MVP%20and%20P%20Numerical%20Examples.doc Excel Application http://highered.mheducation.com/sites/0073530700/student_view0/chapter7/excel_templates.html Topic 5 Equity Valuation (Chapter 18) Homework problems: 18:4,6,7,8,11,17; CFA Problems 1,2,10 Equity Valuation (Chapter 22) Homework problems: 22:8,10,11,14,20; CFA Problem 8 Excel Application http://highered.mheducation.com/sites/0073530700/student_view0/chapter18/excel_templates.html Exam Topic 6 APT (Chapter 10) Homework problems: 10:4,5,6,9; CFA Problems 1-8 Topic 7 Behavioral Finance and Efficient Market (Chapters 11 and 12) 2 Topic 8 Analysts’ Earnings Forecasts and Stock Recommendations (LN) Recommendation of Security Analysts http://www.acsu.buffalo.edu/~keechung/Lecture%20Notes%20and%20Syllabus%20(MGF633) /Recommendations%20of%20financial%20analysts.ppt Topic 9 Options Market (Chapter 20) Homework problems: 20:5,6,7,8 Options Market (Chapter 17) Homework problems: 17:5,6,7,8 Topic 10 Option Pricing (Chapter 21) Homework problems: 21:6-12 Option Pricing (Chapter 18) Homework problems: 18:6-12 Excel Application Topic 11 Bond Analysis I (Chapter 14) Homework problems: 14:4,5,6,7; CFA Problems 1,2 Homework problems: 14:6,7,8,9; CFA Problems 1,2 Topic 12 Bond Analysis II (Chapters 15,16) Final Exam 3 Investment Project Each team consists of three students. Ideally, each team should have team members who are good at data processing (Excel, SPSS, SAS, etc), write-up, and presentation, respectively. Each team has $1,000,000 to invest. Consider capital allocation, asset allocation, and security selection decisions and provide your rationale for your decisions. Each team meets with me once or twice during the course to discuss your plan & methodology and to update your progress. Turn in your research report (10 – 20 pages) and make in-class presentation (last week of class) You may consider the following factors in making your investment decisions: Alpha Beta Intrinsic value Correlation structure PE ratios Efficient frontier Risk tolerance Analyst recommendation Earnings forecasts Known market anomalies (e.g., size and book-to-market ratio) 4