THEORY OF FINANCE

Program

EN IT

Updated A.Y. 2016-2017

Theory of Finance
2016-2017
Prof. Leonardo Becchetti
Topics

1. Causes consequences and solutions of the global financial crisis

2. Expected utility: axioms, theorems and paradoxes. Does empirical evidence confirms the income-happiness shape of the expected utility hypothesis ? evidence from happiness data

3. Measuring risk: subjective and objective approach. Absolute and relative risk aversion. First and second order stochastic dominance

4. Choice under uncertainty with contingent goods. Insurance

5. Portfolio theory: separation theorem and CAPM

6. Event studies: theory and empirical application

7. The earning forecast bias

8. Dynamics and determinants of risk premium


References

Elton, E. J. et Al, 2007, Modern Portfolio Theory and Investment Analysis, Wiley (Chapter 2, 3, 4, 5, 6, 7, 13, 15, 17)

(or E. Saltari, Introduzione alla Finanza, Chapters 1, 2, 3, 4, 5)

Campbell, J.Y., Lo, McKinlay 2005, Econometrics of Financial Markets, Chapter on Event Studies

Bagella, M., Becchetti, L., Ciciretti R., 2007, The Earning Forecast Error in Europe and in the US, European Journal of Finance, Vol. 13, No. 2, 105–122, February 2007.

Bagella, M., Becchetti, L., Ciciretti R., 2007, Market versus Analysts Reaction: the Effect of Aggregate and Firm Specific News, Applied Financial Economics, 17, 4,, 299-312.

Becchetti L. Ciciretti R. Hasan I., 2006, Corporate Social Responsibility and Shareholder’s Value: An Event Study Analysis, FRB of Atlanta Working Paper No. 2007-


Suggested readings

Pagano, Marco, Lessons from the European Financial Crisis (September 8, 2014). CFS Working Paper No. 486. Available at SSRN: http://ssrn.com/abstract=2517318

M. P. Keane and D. E. Runkle. Are financial analysts' forecasts of corporate profits rational?
Journal of Political Economy, 106(4):768{805, August 1998.

Tirole, Jean and Bénabou, Roland, Individual and Corporate Social Responsibility (March 17, 2010). FEEM Working Paper No. 23.2010. Available at SSRN: http://ssrn.com/abstract=1573694 or http://dx.doi.org/10.2139/ssrn.1573694

Liikanen Report
http://ec.europa.eu/internal_market/bank/docs/high-level_expert_group/report_en.pdf

Vickers Report
http://www.google.it/url?sa=t&rct=j&q=&esrc=s&frm=1&source=web&cd=2&ved=0CD0QFjAB&url=http%3A%2F%2Fwww.parliament.uk%2Fbriefing-papers%2Fsn06171.pdf&ei=2a1LU5OTHIqGywOdpYB4&usg=AFQjCNGnwIz9zzXV4hjL1uIHC68mQX2VRA&sig2=l2IwnQzXY1_3_v0PZvUtEw