D.E.U. MS in Finance, with thesis
MSF 5002 INVESTMENT ANALYSIS and PORTFOLIO MANAGEMENT
Course Syllabus
(2011-2012 Spring)
Instructor:
Pinar Evrim Mandaci, MBA, PhD
Professor of Finance
pinar.evrim@deu.edu.tr
http://kisi.deu.edu.tr/pinar.evrim/
Course Description:
This course will introduce the students to the huge world of investments. So the course will focus on
individual rather than corporate investment decision-making by providing an in-depth discussion of
fundamental principals related to investment analysis and portfolio management. Topics include
portfolio theory, equilibrium in capital markets, and applied portfolio management.
Course Prerequisites:
Students are required to know some basic econometrics and statistics such as how to calculate mean,
variance, and covariance. They must have basic knowledge on cross sectional and time series
analysis.
Some students may find the material in this class challenging in terms of quantitative-analytical skills
and workload. If you have trouble, please do not hesitate to seek my help as well as to study harder.
Course Methodology:
The instructional format includes lecture sessions; problem assignments and articles. The financial
press such as Wall Street Journal and Financial Times will form the basis for some of the class
discussions. Active participation in discussions is a course expectation.
Course Objectives:
At the conclusion of Investment Analysis, the student should be able to:
1. Explain and apply basic and some advance concepts of investment and portfolio management
2. Analyze and interpret financial data
3. Develop a personal financial plan
4. Be familiar with sources of investment information and advice
5. Measure investment risk and return
6. Be able to prepare an empirical study
The specific objectives of this course are for each student to be able to analyze the various
investment vehicles such as:
1. Common stock,
2. Fixed income securities,
3. Mutual funds.
These objectives can be met successfully utilizing a combination of resources, including:
1. Textbook and other readings,
2. Internet,
3. Lectures,
4. Current "Real World" market case studies and examples,
5. Homework assignments,
6. Examinations
Student Responsibilities & Academic Honesty:
No doubt that business succeeds based on trust and ethical behaviour by all parties. Consequently, I
expect you to be ethical in your relationships with me and your friends as well as having good
manners, integrity and discipline. I also expect each student to
1. Attend the class regularly on time in order to complete the course successfully.
2. Do all the reading and assigned problems as assigned for each class session.
3. Be conversant with current business and financial news and prepared to discuss events in class.
5. Participate in class discussions.
6. Complete the problem sets, which will be assigned in class. No problem set will be accepted after
the due dates.
Required Textbook and Materials
Z. Bodie, A. Kane, A.J.Marcus, Investments, 8th ed., Mc-Graw Hill, 2009.
Calculator: You will need a calculator, preferably a financial one such as HP 17BII Business, to do
homework and exams (You are NOT allowed to use your cell phones as a calculator).
The Financial Press: You are strongly encouraged to read the Wall Street Journal (www.wsj.com), the
Financial Times (www.ft.com) by paying more attention to Money and Investing Sections and focus
on articles relating to stocks and investment advice in general as well as local and global economy.
Recommended Texts and other Readings:
Haim Levy and Thierry Post (2005), Investments, Financial Times Prentice Hall,
Charles Jones (2004), Investments: Analysis and Management, 9e, Wiley & Sons,
Mark Hirschey and John Nofsinger (2008), Investments: Analysis and Behavior, McGraw Hill,
Joel Greenblatt, (2006), “The Little Book That Beats the Market”,
Some useful websites ready to explore:
www.bloomberg.com
www.business.com
www.money.cnn.com
www.marketwatch.com
http://finance.yahoo.com
www.barrons.com
www.investors.com
Grading System and Policy
I understand the importance of grades to you. In return, I expect you to understand the importance
of teaching properly to me. So, I will do my best to provide convenience and help, if I believe that you
make a great effort during the semester. Students will be assessed on class preparation and
participation, assigned activities, and exams. The grading components will be as follows:
Homeworks and Problem Solutions in class
Article Discussion (Memos)
Midterm
Final Exam
Total
20%
10%
30%
40%
100%
Homeworks and Problem Solutions in Class: I will give you some studies at home and problems in
class. You have to solve the assigned problems in class individually. And you have to solve them in
the given time period.
Article Discussion (Memos): Each student is required to prepare a memo on the assigned articles of
the week and be ready to discuss the articles for the next class. Memos should be should be at least
three pages excluding cover page with a single spacing. Each of you must also be ready for the
presentation of these articles.
Midterm and Final Exams: We will have a midterm and a final exam. Please do not bargain with me
on this issue. The final exam will cover all topics.
Tentative Course Schedule
Feb, 14
Welcome to Study Investment Analysis and Portfolio Management: Course Information
PART I: PORTFOLIO THEORY AND PRACTICE
Feb, 21
Topic: Chp 5: Learning about Return and Risk from the Historical Record
Feb, 28
Topic: Chp 6: Risk Aversion and Capital Allocation to Risky Assets
Mar, 6
Topic: Chp 6: Risk Aversion and Capital Allocation to Risky Assets cont.
Article Assignments:
Claude B. Erb, Campbell R. Harvey and Tadas E. Viskanta, “Expected Returns and Volatility in 135
Countries”, The Journal of Portfolio Management, Spring 1996, 46-58.
Willard T. Carleton, Josef Lakonishok, “Risk and Return on Equity: The Use and Misuse of Historical
Estimates”, Financial Analysts Journal, Jan-Feb 1985, 38-47.
Mar, 13
Topic: Chp 7: Optimal Risky Portfolios
Mar, 20
Topic: Chp 7: Optimal Risky Portfolios cont. (Appendix A and B)
Article Assignments:
Fischer Black and Robert Litterman, “Global Portfolio Optimization”, Financial Analysts Journal, SepOct 1992, 29-43.
Yalçıner, K., Atan, M, Kayacan, M., Boztosun, D., “Optimization of a Portfolio through International
Diversification”, Int. Conference on Business, Economics, and Management, Yasar University, 2005,
Izmir, Turkey.
PART II: EQUILIBRIUM IN CAPITAL MARKETS
Mar, 27
Topic: Chp 8: Index Models
Apr, 3 or 10
MIDTERM EXAM
Apr, 17
Topic: Chp 9: The Capital Asset Pricing Model
Article Assignments:
Çelik Ş., Aktan, B., Mandaci, P.E., “Characteristics of Banks’ Common Stocks within the Framework on
Capital Asset Pricing Model: Evidence from Turkey”, Investment Management and Financial
Innovations, Vol: 5, Issue: 4, 2008, 143-157.
Apr, 24
Topic: Chp 10: Arbitrage Pricing Theory and Multifactor Models of Risk & Return
Article Assignments:
Kapusuzoglu, A. “The Impact of Alpha, Beta, and Correlation Coefficients on the Processes of StockSelection and Portfolio Formation by the Investors: An Empirical Analysis on the Turkey Istanbul
Stock Exchange (ISE)”, International Research Journal of Finance and Economics, 17, 2008: 57-68.
May, 8
Topic: Chp 11: The Efficient Market Hypothesis
Article Assignments:
Mandaci, P.E., “Abnormal Return Fluctuations in the ISE Before and After the General Elections in
Turkey”, Review of Istanbul Stock Exchange, Vol: 7, No: 27, 2003.
Durukan Banu, Evrim-Mandacı Pınar, “The Relationship between stock Returns and Fundamental
Variables: Evidence from ISE, Journal of Faculty of Business, Vol: 4, No: 1, 2003.
PART III: APPLIED PORTFOLIO MANAGEMENT
Apr, 15
Topic: Chp. 24 Portfolio Performance Evaluation
May, 22
Topic: Chp 25 International Diversification
Article Assignments:
Mandaci, P.E., Torun, E. “Testing Integration between the Major Emerging Markets”, Central Bank
Review, Vol: 7, No: 1, Jan. 2007.
Mandaci, P.E., Torun, E., "Ebb and Flow? Cointegration between the emerging markets in EMEA and
US with Structural Breaks”. International Journal of Economic Policy in Emerging Economics, Vol: 3,
No: 1, 2010.
May, 29
FINAL EXAM