Investment Management
INSTRUCTOR:
Dr. Ning (Tony) Tang
Associate Professor
Wilfrid Laurier University
Email: ntang@wlu.ca
COURSE OBJECTIVE:
This course is designed to provide an in-depth discussion of investments analysis and portfolio management to
graduate students. Students will be exposed to practical issues, such as security analysis, portfolio strategies, and
performance analysis, as well as rigorous theoretical frameworks, such as Markowitz Portfolio Selection Model,
CAPM, and APT.
PREREQUISITES:
Basic understanding of time value of money, financial markets, investment opportunities in the financial markets, and
accounting financial statements are necessary before taking this course. Students are also
TEXTBOOK:
1. Basic textbook: Investments Analysis and Portfolio Management, 9st Edition, by Reilly and Brown; SouthWestern, 2009 (RB).
2. Advance textbook: Modern Portfolio Theory and Investment Analysis, 8th Edition, by Elton, Gruber, Brown,
and Goetzmann, 2010 (EGBG)
GRADING SCHEME:
Quizzes *
Presentation +
Final Exam
Total
No Presentation
60% (10x6%)
40%
100%
With Presentation
50% (10x5%)
15%
35%
100%
* Each quiz contents 10 multiple choice questions and will be given at the beginning of the class.
+ A maximum of 12 students can select the “With Presentation” option. Students who select this option will be
assigned with one paper from the Additional Reading list and make a 20 minute presentation of the paper in class. If
there will be less than 12 students presenting the papers, papers that are not assigned will be discussed by the
instructor.
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TENTATIVE CLASS SCHEDULE
 Risk and Return
 Security Markets, Instruments, and Trading
 Portfolio Selection
Basic Reading
Advanced
(RB)
Reading (EGBG)
Ch 1
Ch 3, 4, 5
Ch 7
Ch 4-9
 Asset Pricing Models
Ch 8, 9
Ch 13-16
 Market Efficiency
 Portfolio Management Strategies & Analysis
Ch 6
Ch 2, 16, 24, 25
Ch 17
 Equity Analysis
Ch 12, 13, 14
 Fixed Income Securities
Ch 17, 18, 19
Class
Oct. 8
Oct. 9
Oct. 10
Oct. 11
Oct. 12
Oct. 15
Oct. 16
Oct. 17
Oct. 18
Oct. 19
Oct. 22
Oct. 23
Oct. 24
Oct. 25
Oct. 26
Oct. 29
Lecture Topics
 Advanced reading & Presentations
 Advanced reading & Presentations
Final Exam
2.5 hours
ADDITIONAL READINDS (ADVANCED)
1. Berk, Jonathan, 2005, “Five Myths of Active Portfolio Management”, Journal of Portfolio Management,
Vol. 31, pp. 27-31
2. Boehmer, Ekkehart, Charles M. Jones and Xiaoyan Zhang, 2008, "Which Shorts are Informed?" Journal
of Finance 63 (2) 491-527.
3. Carhart, Mark M., 1997, “On Persistence in Mutual Fund Performance,” Journal of Finance 52, 57-82
4. Cochrane, John, 2011, “Discount rates”, Journal of Finance 66, 1047-1108
5. Davis, James, Eugene F. Fama, and Kenneth R. French 2000, “Characteristics, Covariances, and Average
Returns: 1929 to 1997”, Journal of Finance 55 389-406.
6. Fama Eugene F. and Kenneth R. French 1996, "Multifactor Explanations of Asset Pricing Anomalies",
Journal of Finance 51, 55-84
7. Joel Hasbrouck and Gideon Saar, 2011, “Low-Latency Trading”, Working Paper.
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8. Kaniel, Ron, Giedon Saar and Sheridan Titman, 2008, “Individual Investor Trading and Stock Returns”,
Journal of Finance 63, 273-310.
9. Kirilenko, Andrei, Albert S. Kyle, Mehrdad Samadi, Tagkan Tuzun, 2011, " The Flash Crash: The Imact
of High Frequency Trading on an Electronic Market", Working Paper
10. Lee, C. M. C. and B. Swaminathan (2000). "Price Momentum and Trading Volume", Journal of
Finance 55(5): 2017-2069.
11. Mei, Jianping, José Scheinkman and Wei Xiong, 2005, “Speculative Trading and Stock Prices:
Evidence from Chinese A-B Share Premia”, Working Paper
12. Shleifer, Andrei, 1986, “Do Demand Curves for Stocks Slope Down?” The Journal of Finance, 41, 579590.
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