課程資訊
課程名稱
 投資管理
Investment Management 
開課學期
 107-1 
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/1071InvestmentM 
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課程概述

The course will cover the following areas:
1. Portfolio Theory:
a. Risk Aversion and Capital Allocation to Risky Assets
b. Optimal Risky Portfolios
c. Index Models
2. Equilibrium in Capital Markets:
a. The Capital Asset Pricing Model
b. Arbitrage Pricing Theory and Multifactor Models of Risk
and Return
c. The Efficient Market Hypothesis
3. Fixed-Income Securities:
a. Bond Prices and Yields
b. Managing Bond Portfolios
4. Equity Valuation Models
5. Portfolio Performance Evaluation 

課程目標
 This course intends to provide a basic understanding of modern investment theory and its application to investment management. When you finish this course, you should have a thorough understanding of security pricing and portfolio management. You will have basic theoretical skills enabling you to understand modern developments in investments and you will be familiar with investment practices. 
課程要求
  
預期每週課後學習時數
  
Office Hours
  
指定閱讀
  
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
Week 1
 9/12  Lecture: Introduction & empirical test of CAPM (I);
STATA: Intro to STATA (I) 
Week 2
 9/19  Lecture: Empirical test of CAPM (II);
STATA: Intro to STATA (II) 
Week 3
 9/26  Lecture: Empirical test of CAPM (III);
STATA: Test of CAPM 
Week 4
 10/03  Value strategy (I);
STATA: Fama-MacBeth regression 
Week 5
 10/10  National Day (no class);
STATA: Fama-French 3 Factor model 
Week 6
 10/17  Value strategy (II);
STATA: Dealing with return data 
Week 7
 10/24  Momentum strategy (I);
STATA: Dealing with accounting data 
Week 8
 10/31  Momentum strategy (II);
STATA: Forming portfolio 
Week 9
 11/07  Momentum strategy (III); Quiz;
STATA: Portfolio value-weighted excess returns 
Week 10
 11/14  New factor models (I);
STATA: Review (Quiz) 
Week 11
 11/21  New factor models (II);
STATA: TA office hour (to be announced) 
Week 12
 11/28  Midterm exam; please download the data sets for exam questions here  
Week 13
 12/05  New factor models (III)  
Week 14
 12/12  Active portfolio management (I) 
Week 15
 12/19  Active portfolio management (II)
Case study (group discussion) 
Week 16
 12/26  Case presentation 
Week 17
 1/02  Review