課程名稱 |
資本市場研討一 Seminar on Capital Market (Ⅰ) |
開課學期 |
100-1 |
授課對象 |
管理學院 財務金融學研究所 |
授課教師 |
何耕宇 |
課號 |
Fin8029 |
課程識別碼 |
723 D4510 |
班次 |
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學分 |
3 |
全/半年 |
半年 |
必/選修 |
選修 |
上課時間 |
星期二2,3,4(9:10~12:10) |
上課地點 |
管二203 |
備註 |
本課程中文授課,使用英文教科書。 總人數上限:15人 |
Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/1001CM1_NTU_FIN |
課程簡介影片 |
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核心能力與課程規劃關聯圖 |
課程大綱
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課程概述 |
This is a PhD level course. The aim of the course is to provide a solid understanding of the modern theory of asset pricing, which is an important aspect of financial economics. The course starts with an introduction on utility theory and stochastic dominance. Next, portfolio theory and portfolio separation theorems are discussed. Based on the above foundation, the course then covers capital asset pricing model (CAPM) and arbitrage pricing theory (APT) and further links the asset pricing models to the idea of stochastic discount factor (SDF). Finally, students are required to comment and to present selected journal articles on the topics of emirical asset pricing. Students who would like to develop a solid foundation for future research in finance would benefit from the course. |
課程目標 |
This is a PhD level course. The aim of the course is to provide a solid understanding of the modern theory of asset pricing, which is an important aspect of financial economics. The course starts with an introduction on utility theory and stochastic dominance. Next, portfolio theory and portfolio separation theorems are discussed. Based on the above foundation, the course then covers capital asset pricing model (CAPM) and arbitrage pricing theory (APT) and further links the asset pricing models to the idea of stochastic discount factor (SDF). Finally, students are required to comment and to present selected journal articles on the topics of emirical asset pricing. Students who would like to develop a solid foundation for future research in finance would benefit from the course. |
課程要求 |
1. Journal Article Presentation (20%)
2. Journal Article Summary (20%)
3. Final Exam (40%)
4. Class Discussion and Participation (20%) |
預期每週課後學習時數 |
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Office Hours |
另約時間 |
指定閱讀 |
1. Cochrane, 2005, Asset Pricing, Revised Edition, Princeton University Press.
2. Huang and Lizenberger, 1988, Foundations for Financial Economics, Prentice-Hall.
3. Lecture Notes and Assigned Journal Articles. |
參考書目 |
1. Campbell, Lo, and MacKinlay, 1997, The Econometrics of Financial Markets, Princeton University Press.
2. Ingersoll, 1987, The Theory of Financial Decision Making, Rowman and Littlefield. |
評量方式 (僅供參考) |
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週次 |
日期 |
單元主題 |
第1週 |
9/13 |
Introduction |
第2週 |
9/20 |
Utility Theory |
第3週 |
9/27 |
Stochastic Dominance |
第4週 |
10/04 |
Portfolio Theory |
第5週 |
10/11 |
Separation Theorem and Linear Pricing Model |
第6週 |
10/18 |
Basic SDF Pricing and Consumption Based Pricing Model |
第7週 |
10/25 |
State Contingent Claim |
第8週 |
11/01 |
SDF: Law of One Price and No Arbitrage |
第9週 |
11/08 |
SDF, Beta, and Mean-Variance Frontier (I) |
第10週 |
11/15 |
SDF, Beta, and Mean-Variance Frontier (II) |
第11週 |
11/22 |
SDF and Factor Pricing Model |
第12週 |
11/29 |
Mean-Variance Analysis and Related Empirical Study |
第13週 |
12/06 |
Test on Asset Pricing Model and the Cross Section of Expected Return (I) |
第14週 |
12/13 |
Test on Asset Pricing Model and the Cross Section of Expected Return (II) |
第15週 |
12/20 |
Additional Journal Articles of Your Choices |
第16週 |
12/27 |
Additional Journal Articles of Your Choices |
第17週 |
1/03 |
Additional Journal Articles of Your Choices |
第18週 |
1/10 |
Final Exam |
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