課程資訊
課程名稱
 投資管理
Investment Management 
開課學期
 108-1 
授課對象
 財務金融學研究所  
授課教師
 陳彥行 
課號
 Fin7021 
課程識別碼
 723EM2200 
班次
 02 
學分
 3.0 
全/半年
 半年 
必/選修
 必修 
上課時間
 星期三7,8,9(14:20~17:20) 
上課地點
 管二203 
備註
 本課程以英語授課。
限碩士班以上
總人數上限：40人 
Ceiba 課程網頁
 http://ceiba.ntu.edu.tw/1081InvestmentM 
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課程概述

This graduate-level course will introduce recent development in empirical asset pricing (models and anomalies), and how to apply the findings in the literature on portfolio management.
Students who want to take this course are required to have the following prerequisites:
1. Knowledge about fundamental investment theories
(e.g., portfolio theory, capital asset pricing model, and efficient market hypothesis)
2. Knowledge about statistical inference and linear regression
(e.g., ordinary least square, standard error, t-value, p-value, R-square)
3. Equipment and software (a laptop and STATA version 11.0 or higher)
 

課程目標
 Learning goals
1. Understand the recent development in empirical asset pricing (will introduce 20 journal articles)
(1) Models: CAMP, Fama-French three factor model, Cahart four factor model
(2) Anomalies: Size, value, momentum, investment, profitability
2. Learn how to back-test an investment strategy
E.g., will buy stocks with low P/E and sell stocks with high P/E earn abnormal returns?
3. Understand how asset managers incorporate academic findings into their portfolio management strategy
4. Learn how to manage the wealth of high-net-worth clients to fit their financial goals (case study)
 
課程要求
 1. STATA-based quiz (20%)
2. STATA-based midterm exam (45%)
3. Case study and presentation (team project) (35%)

 
預期每週課後學習時數
  
Office Hours
  
指定閱讀
 Lecture handouts will be distributed on schedule. 
參考書目
 *References-books：
1. Edwin J. Elton, Martin J. Gruber, Stephen J. Brown, and William N.
Goetzmann, Modern Portfolio Theory and Investment Analysis, Eight Edition,
John Wiley & Sons, New York, NY, 2010.
2. Keith C. Brown and Frank K. Reilly, Analysis of Investments and Management
of Portfolios, Ninth Edition, South-Western, Mason, OH, 2009.
3. Frank K. Reilly and Edgar A. Norton, Investments, Seventh Edition, South-
Western, Mason, OH, 2007.
4. Malkiel (2012), A Random Walk Down Wall Street, 10th edition, Norton &
Company
5. Pompian (2011), Behavioral Finance and Wealth Management: How to Build
Optimal Portfolios that Account for Investor Biases, 2nd edition, John Wiley &
Sons

*References-journal articles:

Weeks 3 and 5: Empirical tests of CAPM
[1] Black, Fisher, Michael Jensen, and Myron Scholes, 1972, The capital asset
pricing model: Some empirical tests, in Michael Jensen ed.: Studies in the
Theory of Capital Markets.
[2] Fama, Eugene, and James MacBeth, 1973, Risk, return, and equilibrium:
Empirical tests, Journal of Political Economy 81, 607-636.
[3] Chen, Nai-Fu, Richard Roll and Stephen Ross, 1986, Economic forces and the
stock market, Journal of Business 59, 383-403.
[4] Fama, Eugene, and Kenneth R. French, 1992, The cross-section of expected
stock returns, Journal of Finance 47, 427-465.
[5] Fama, Eugene, and Kenneth R. French, 1993, Common risk factors in the
returns on stocks and bonds, Journal of Financial Economics 33, 3-56.

Week 6: Value premium
[6] Fama, Eugene, and Kenneth French, 1996, Multifactor explanations of asset
pricing anomalies, Journal of Finance 51, 55-84.
[7] Jagannathan, Ravi, and Yong Wang, 2007, Lazy investors, discretionary
consumption, and the cross‐section of stock returns. Journal of Finance 62,
1623-661.
[8] Liew, Jimmy, and Maria Vassalou, 2000, Can book-to-market, size and
momentum be risk factors that predict economic growth? Journal of Financial
Economics 57:2, 221-245.
[9] Petkova, R., and Zhang, L., 2005, Is value riskier than growth? Journal of
Financial Economics 78:1, 187-202.
[10] Lakonishok, Josef, Andrei Shleifer, and Robert Vishny, 1994, Contrarian
investment, extrapolation, and risk, Journal of Finance 49, 1541-1578.
[11] Chan, Louis KC, Jason Karceski, and Josef Lakonishok, 2003, The level and
persistence of growth rates. Journal of Finance 58, 643-684.
[12] La Porta, Rafael, Josef Lakonishok, Andrei Shleifer, Robert Vishny, 1997,
Good news for value stocks: Further evidence on market efficiency. Journal of
Finance, 859-874.

Week 7: Momentum and Reversal
[13] Bernard, Victor L., and Jacob K. Thomas, 1989. Post-earnings-announcement
drift: delayed price response or risk premium?. Journal of Accounting Research
27, 1-36.
[14] Jegadeesh, N., and Titman, S., 1993, Returns to buying winners and
selling losers: Implications for stock market efficiency. The Journal of
Finance 48:1, 65-91.
[15] Chan, Louis, Narasimhan Jegadeesh, and Josef Lakonishok, 1996, Momentum
strategies. Journal of Finance 51, 1681-1713.
[16] Carhart, Mark M., 1997, On persistence in mutual fund performance.
Journal of Finance 52, 57-82.
[17] Jegadeesh, Narasimhan, and Sheridan Titman, 2001, Profitability of
momentum strategies: An evaluation of alternative explanations. Journal of
Finance 56, 699-720.

Week 8: New anomalies and new factor models
[18] Titman, Sheridan, KC John Wei, and Feixue Xie, 2004, Capital investments
and stock returns. Journal of financial and Quantitative Analysis 39:4, 677-
700.
[19] Cooper, Michael J., Huseyin Gulen, and Michael J. Schill, 2008, Asset
growth and the cross‐section of stock returns. The Journal of Finance 63:4,
1609-1651.
[20] Novy-Marx, Robert, 2013, The other side of value: The gross profitability
premium. Journal of Financial Economics 108:1, 1-28.
[21] Fama, Eugene, and Kenneth French, 2015, A Five-factor asset pricing
model, Journal of Financial Economics 116:1, 1-22.
[22] Hou, Kewei, Chen Xue, and Lu Zhang, 2015, Digesting anomalies: An
investment approach. Review of Financial Studies 28:3, 650-705. 
評量方式
(僅供參考)
    
課程進度
週次
日期
單元主題
第1週
 9/11  Empirical tests of CAPM (I)
STATA: Intro to STATA (I)
 
第2週
 9/18  Empirical tests of CAPM (II)
STATA: Intro to STATA (II)
 
第3週
 9/25  Value strategy (I)
STATA: Tests of CAPM 
第4週
 10/02  Value strategy (II)
STATA: Fama-MacBeth regression 
第5週
 10/09  Momentum strategy (I)
STATA: Three factor model 
第6週
 10/16  Momentum strategy (II)
STATA: Deal with return data 
第7週
 10/23  Momentum strategy (III); Quiz
STATA: Deal with accounting data 
第8週
 10/30  New factor models (I)
STATA: Form portfolio 
第9週
 11/06  New factor models (II)
STATA: Calculate portfolio excess returns 
第10週
 11/13  New factor models (III)
 
第11週
 11/20  Midterm exam
 
第12週
 11/27  Active portfolio management
 
第13週
 12/04  Journal article study (group discussion) 
第14週
 12/11  Journal article presentation 
第15週
 12/18  Case study (group discussion)  
第16週
 12/25  Case presentation
 
第17週
 1/01  Holiday (no class)