Mahidol University
MGMG517 Investment Management (3/2552)
Course descriptions
A study of the problems and process of investment by applying up-to-date
investment theories to decision-making concerning portfolio management. The
course is designed to discuss on security markets, financial instruments - stock,
bond, and financial derivatives, including the factors determining their yields and
risks. The topics also include modern portfolio theories, security valuation models,
market efficiency theory, portfolio performence measurement, spot rate vs. forward
rate, theories of interest rate, duration, and bond portfolio immunization. A discussion
will also cover the analysis of economy, industry, and company.
Course Objectives :
1) Understanding the principle of investment analysis - theories, techniques, and
tools;
2) Understanding the mechanism and the development the Thai financial market;
3) Practicing portfolio management through the simulation game.
Instructor
Dr. Nantaphol Pongspaibool, Ph.D. (Finance)
e-mail: nantapho@bkk2.loxinfo.co.th
Class date & time:
Saturday 09.00-12.00
Class room
605
Core text book
William F. Sharpe, Gordon J. Alexander, and Jeffrey V.
Bailey. Investments. Prentice-Hall, latest edition.
Additional text books
Elton, Edwin J. and Martin J. Gruber, Modern Portfolio
Theory and Investment Analysis.
Fisher, Donald E. and Ronald J. Jordan. Security Analysis
And Portfolio Management Analysis.
Fisher, Donald E. and Ronald J. Jordan, Security Analysis
And Portfolio Management. Prentice-Hall.
Francis, Jack C. Investments: Analysis and Management.
Prentice-Hall.
Frank K Reilly and Keith C. Brown.
Investment Analysis and Portfolio Management, Harcourt
Jack C. Francis & Roger Ibbotson, Investments: A Global
Perspective
Suggested Web-sites
1) www.set.or.th 2) www.settrade.com 3) www.bot.or.th
4) www.sec.or.th 5) www.bloomberg.com
1
Grading
1) Class participation
2) Investment game
3) Investment project paper
4) Midterm Exam
5) Final Exam
Total
10%
10%
20%
30%
30%
100%
Class
Date
Topics
1
Saturday 16 Jan. 10
2
Saturday 23 Jan. 10
3
Saturday 30 Jan. 10
4
Saturday 6 Feb. 10
An Overview of the course
- The course outline
- Introduction on investment
- Investment Environment & Process, Securities and Markets
A Review of Statistical Tools
- Variance, Covariance, and Correlation
- Regression Equation
Riskless Securities
- Effective interest rate
- Nominal VS real rate of interest
- Pricing and Yield to maturity of bond
- Spot and forward rate
Theory of Interest rate
- Term structure theory
- Quality structure theory
- Market Segmentation theory
Efficient Market Theory
- Efficient market : Theory and evidence
5
Saturday 13 Feb.10
6
Saturday 20 Feb. 10
7
Saturday 27 Feb. 10
The Valuation of Risky Securities
- Calculation of holding-period returns
- Calculation of Beta
The Valuation of Common Stocks
- Book Value
- Net Asset Value
- Dividend discounted model
- Price-earning approach
- Discounted cash flow method
The Valuation of Common Stocks (continued)
Date is to be scheduled
Midterm Exam
8
Saturday 6 Mar.10
9
Saturday 13 Mar. 10
Fundamental & Technical Analysis
- Analysis of Economy, Industry, and Company
- Business Cycle Theory
Technical Analysis
Fundamental Analysis (continued)
10
Saturday 20 Mar. 10
11
Saturday 27 Mar.10
12
Saturday 3 Apr.10
The Portfolio Selection Problem
- The Capital Asset Pricing Model (CAPM)
- The Arbitrage Pricing Theory (APT)
Capital Asset Pricing Model (continued)
Performance Measurement
Performance evaluation of mutual funds
Sharpe, Treynor, and Fama approaches
Bond Portfolio Management
- Bond market efficiency
- Bond-pricing theories
- Duration and immunization
- Bond VS Stocks: risk and return
2
13
Saturday 10 Apr.10
Options, Warrants
- Put & Call Options, factors determining price of options
- Black & Scholes Option Pricing Model
- Binomial Option Pricing Model
- Warrant Valuation
14
Saturday 17 Apr.10
Convertibles, and Financial Futures
- Convertible bond valuation
- Financial contracts
Date is to be scheduled
Final Exam
3