Investment Management
2005 Fall

Tuesday 2:20-5:20 Room 202 COM B2
Dr. Yong-chern Su
Room1004 COM B2 33661089

Course Objectives
1. To introduce the modern investment management theory, including Fisher separation theory, utility theory, portfolio theory, CAPM, APT, option pricing theory, futures, and bond management.
2. To discuss important papers on investment management, including CAPM, APT, efficient market hypothesis, information asymmetry and market microstructure, option pricing and risk management, bond management and international capital market.

Class Structure
The class notes, required textbooks, and assigned papers are the foundation of this course.

Exams
A comprehensive examination and a paper review are required in this class. Class participation is, among other things, a very important factor in your final grading.

Required Textbook
Financial Theory and Corporate Policy, by T. E. Copeland, J. F. Weston, and K. Shastri, 4th edition, 2005, Pearson Addison Wesley publishing company.

Reference Books
1. Modern investment theory, by Robert A. Haugen, the fifth edition, 2001, Prentice Hall.
2. Investment, by Z. Bodie, A. Kane and A.J. Marcus, the fifth edition, 2002, McGraw Hill Irwin.

Office Hours
Scheduled office hours:
Friday: 14:00~15:00
or by appointment.

Assigned Papers
Issue 1: CAPM
1. Fama, E.F. and K. R. French, 1992, The cross-section of expected stock returns, Journal of Finance 47,427-466.
2. Fama, E.F. and K.R. French, 1996, Multifactor explanations of asset pricing anomalies, Journal of Finance 51, 55-84. (P)
3. Fama, E.F. and J. MacBeth, 1973, Risk, return and equilibrium: empirical tests, Journal of Political Economy 81, 607-636.
4. Banz, R.W., 1981, The relationships between return and market value of common stocks, Journal of Financial Economics 9, 3-18.
5. Basu, S., 1983, The relationship between earnings yield, market value and return for NYSE common stocks: further evidence, Journal of Fin