EN
IT
Obiettivi Formativi
OBIETTIVI FORMATIVI: Conoscenza delle teorie sugli strumenti e sui mercati finanziari.
CONOSCENZA E CAPACITÀ DI COMPRENSIONE: Valutare gli strumenti finanziari a disposizione delle imprese e degli investitori nei mercati finanziari.
CAPACITÀ DI APPLICARE CONOSCENZA E COMPRENSIONE: competenze analitiche per passare dai modelli teorici alla loro implementazione empirica con utilizzo dei dati osservati e dei pacchetti econometrici.
AUTONOMIA DI GIUDIZIO: Capacità di analisi dei dati e dei parametri empirici per la formulazione di una interpretazione economico-finanziaria in base delle informazioni derivanti dai modelli applicati.
ABILITÀ COMUNICATIVE: Esposizione chiara, diretta e concisa delle conclusioni raggiunte derivante dall'interpretazione dei dati osservati e dei parametri stimati.
CAPACITÀ DI APPRENDIMENTO: Capacità di contestualizzare l'analisi e le soluzioni derivanti dai modelli teorici con interpretazioni appropriate.
Learning Objectives
LEARNING OUTCOMES: Theoretical knowledge of financial assets and financial markets.
KNOWLEDGE AND UNDERSTANDING: Evaluation of financial assets available in the markets.
APPLYING KNOWLEDGE AND UNDERSTANDING: Analytical skill to model implementation and coding.
MAKING JUDGEMENTS: Ability to analyze data and parameters to interpret results from estimated model.
COMMUNICATION SKILLS: Clear approach to verbal and written statement related to results and conclusion of the analysis.
LEARNING SKILLS: Ability to analyze solutions from theoretical models with critical approach.
Prerequisiti
Teoria del consumo in condizioni di incertezza.
Teoria dell'utilità attesa.
Prerequisites
Consumption theory under uncertentainity.
Expected utility theory.
Programma
Parte 1: Market and Securities’ Characteristics.
Markets and Indexes Definitions; Prices and Returns of Securities; Prices and Returns of a Portfolio;
Esercitazione 1: Stocks and Portfolio’s Return/Risk
Parte 2: Efficient Portfolios and Efficient Frontier.
Building the Efficient Frontier; Shape of the Efficient Frontier; Extend the Efficient Frontier allowing for Risk Free Rate and Short Selling; Return Maximization Problem;
Esercitazione 2: Efficient Frontier
Parte 3: Single Index Model.
Inputs for the Portfolio Analysis; Single Index Model: Overview and Characteristics;
Estimating Stocks and Portfolios’ Market Betas; Building the Frontier with the Single Index Model;
Esercitazione 3: CAPM and multi factor model at stock and portfolio level
Parte 4: Standard and Non-Standard Capital Assets Pricing Model.
Capital Asset Pricing Model Intuitive and Rigorous Approach; Fama-French-Carhart Multifactor Model (FFC); CSR Risk-Factors and the Investors’ Preferences for Responsible Investment; Corporate Social Responsibility, Responsible Investments on the Financial Markets; Responsible Fama-French-Carhart Model (RFFC); Standard Test for Equilibrium Models; Black, Jensen e Sholes Approach; Fama-MacBeth Approach;
Esercitazione 4: Risk Factors and Two Step-BJS.
Parte 5: Efficient Markets Hypothesis.
Introduction to the Efficient Market Hypothesis (EMH); The three forms of Market Efficiency;
Semi-Strong Market Efficiency and the Event Study; Tests for the Semi-Strong Market Efficiency;
Esercitazione 5: (C)AR in the Event Study.
Program
Section 1: Market and Securities’ Characteristics.
Introduction to Financial Securities and to Financial Markets;
Definition of Markets and Indexes;
The Prices and the Returns of Securities and Portfolios.
Practice 1: Stocks and Portfolios’ Return and Risk and Introduction of the Efficient Frontier
Section 2: Efficient Portfolios and Efficient Frontier.
Introduction to the Efficient Frontier;
The Shape of the Efficient Frontier;
The Efficient Frontier with Risk Free Rate and Short Selling;
Return Maximization Problem.
Practice 2: The Analysis of the Efficient Frontier and Single Index Model.
Section 3: Single Index Model.
Inputs for the Portfolio Analysis;
Single Index Model: Overview and Characteristics;
Estimating Stocks and Portfolios’ Market Betas;
Building the Frontier with the Single Index Model;
Introduction to the Capital Asset Pricing Model (CAPM).
Section 4 and 5: Standard and Non-Standard Capital Assets Pricing Model.
Intuitive Approach to CAPM;
Rigorous Approach to CAPM (Maximization and consumption problem);
Multi-factor model Approach: Fama-French (F-F) and Carhart Model (FFC);
Asset pricing approach to ESG Risk-Factors
Investors’ Preferences for Responsible Investment;
Responsible Fama-French-Carhart Model (RFFC);
Standard Test for Equilibrium Models;
Black, Jensen e Sholes Approach;
Fama MacBeth Approach.
Practice 3: CAPM and Empirical Tests.
Section 5: Efficient Markets Hypothesis.
Introduction to the Efficient Market Hypothesis (EMH);
Three forms of Market Efficiency;
Semi-Strong Market Efficiency and the Event Study Approach;
Tests for the Semi-Strong Market Efficiency.
Practice 4: Factor Models.
Testi Adottati
Elton, E. J. et al., Teoria di Portafoglio e Analisi degli Investimenti, APOGEO, 2007
Books
Elton, E. J. et al., Modern Portfolio Theory and Investment Analysis, Wiley, 2007
Bibliografia
Campbell, J. Y., Lo, A.W. C., and MacKinlay, A. C. (1997). The econometrics of financial markets. princeton University press.
Ciciretti R., Dalò A., and Dam L., The Price of Taste for Socially Responsible Investments, CEIS Research Paper No. 413, 2017
Becchetti L., Ciciretti R., and Dalò A. Fishing the corporate social responsibility risk factors. CEIS Research Paper No. 368, 2016.
Becchetti, L., Ciciretti, R., Dalò, A., and Herzel, S. Socially responsible and conventional investment funds: performance comparison and the global financial crisis. Applied Economics, 47(25), 2541-2562, 2015.
Carhart M. M. On persistence in mutual fund performance. The Journal of Finance, 52(1):57–82, 1997.
Fama E. and French K. R. International tests of a five-factor asset pricing model. Journal of Financial Economics, 123(3):441–463, 2017.
Fama E. F. and French K. R. A five-factor asset pricing model. Journal of Financial Economics, 116(1):1–22, 2015.
Fama E. and French K. R. Size, value, and momentum in international stock returns. Journal of Financial Economics, 105(3):457–472, 2012.
Fama E. and French K. R. Multifactor explanations of asset pricing anomalies. The Journal of Finance, 51(1):55–84, 1996.
Fama E. and French K. R. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1):3–53, 1993.
Fama E. and French K. R. The cross-section of expected stock returns. The Journal of Finance, 47(2):427–465, 1992.
Fama E. F. and MacBeth J. D. Risk, return, and equilibrium: Empirical tests. The Journal of Political Economy, 81(3):607–636, 1973.
Jegadeesh, N. and Titman, S. Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48(1), 65-91, 1993
Jensen M. C. The performance of mutual funds in the period 1945-1964. The Journal of Finance, 23(2):389–416, 1968.
Lintner J. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The Review of Economics and Statistics, 47(3):13–37, 1965.
Mossin J. Equilibrium in a capital asset market. Econometrica: Journal of the Econometric Society, 34(4):768–783, 1966.
Sharpe W. F. Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3):425–442, 1964.
Bibliography
Campbell, J. Y., Lo, A.W. C., and MacKinlay, A. C. (1997). The econometrics of financial markets. princeton University press.
Ciciretti R., Dalò A., and Dam L., The Price of Taste for Socially Responsible Investments, CEIS Research Paper No. 413, 2017
Becchetti L., Ciciretti R., and Dalò A. Fishing the corporate social responsibility risk factors. CEIS Research Paper No. 368, 2016.
Becchetti, L., Ciciretti, R., Dalò, A., and Herzel, S. Socially responsible and conventional investment funds: performance comparison and the global financial crisis. Applied Economics, 47(25), 2541-2562, 2015.
Carhart M. M. On persistence in mutual fund performance. The Journal of Finance, 52(1):57–82, 1997.
Fama E. and French K. R. International tests of a five-factor asset pricing model. Journal of Financial Economics, 123(3):441–463, 2017.
Fama E. F. and French K. R. A five-factor asset pricing model. Journal of Financial Economics, 116(1):1–22, 2015.
Fama E. and French K. R. Size, value, and momentum in international stock returns. Journal of Financial Economics, 105(3):457–472, 2012.
Fama E. and French K. R. Multifactor explanations of asset pricing anomalies. The Journal of Finance, 51(1):55–84, 1996.
Fama E. and French K. R. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1):3–53, 1993.
Fama E. and French K. R. The cross-section of expected stock returns. The Journal of Finance, 47(2):427–465, 1992.
Fama E. F. and MacBeth J. D. Risk, return, and equilibrium: Empirical tests. The Journal of Political Economy, 81(3):607–636, 1973.
Jegadeesh, N. and Titman, S. Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48(1), 65-91, 1993
Jensen M. C. The performance of mutual funds in the period 1945-1964. The Journal of Finance, 23(2):389–416, 1968.
Lintner J. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The Review of Economics and Statistics, 47(3):13–37, 1965.
Mossin J. Equilibrium in a capital asset market. Econometrica: Journal of the Econometric Society, 34(4):768–783, 1966.
Sharpe W. F. Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3):425–442, 1964.
Modalità di svolgimento
Lezioni frontali.
Esercitazioni su codici di programmazione per l'implementazione di modelli teorici studiati nelle lezioni frontali. Per favorire l'’interazione della classe sono previste esercitazioni settimanali (6 esercitazioni).
Due lavori a casa con programmazione dei modelli teorici per creazione di dataset e di analisi empiriche. Lo studente svolge a casa quanto fatto nelle esercitazioni in aula in cui vengono applicati i codici di programmazione applicati alla teoria vista nelle lezioni frontali e vengono altresi spiegati i risvolti economici dei risultati ottenuti.
Teaching methods
Lecture.
Practice (with coding).
Two Take Home (on Moodle).
Regolamento Esame
2 Compiti a casa TH (20% ognuno).
Partecipazione in classe (10%).
Prova scritta (50%): teoria ed esercizio.
Tutti gli studenti saranno totalmente coinvolti nel processo di apprendimento a partire dalle esercitazioni settimanali (e dai due Compiti a casa, TH) che poi terminano con l'esame scritto alla fine del corso. I Compiti a casa sono legati sia alla parte teorica settimanale che alle esercitazioni settimanali. Al termine delle sei settimane tutti gli argomenti vengono trattati e assorbiti dallo studente con i due TH, quindi ogni studente è pronto a sostenere l'esame finale per dimostrare: la conoscenza teorica delle attività finanziarie e dei mercati finanziari; la capacità di valutare empiricamente ogni attività finanziaria nel mercato attraverso la loro capacità analitica con l'implementazione del modello utilizzando il programma di coding. Infine, lo studente sarà in grado di analizzare dati e parametri per interpretare i risultati del modello stimato e per implementare dichiarazioni verbali e scritte relative ai risultati e alla conclusione dell'analisi.
Non è prevista la possibilità di sostenere l'esame due volte nella stessa sessione
Exam Rules
2 Take Home (20% for each of the two).
Class participation (10%).
Written final exam (50%): theory and exercise.
All students will be totally involved in the learning process starting from the weekly practice class and the two TH process, and ending with the final written exam. The two TH are related to the weekly theoretical topic and to the practice class. At the end of the six weeks all the topics are covered and absorbed by the student with the TH, so each student is ready to take the Final exam to demonstrate: their theoretical knowledge of financial assets and financial markets; the ability to empirically evaluate each financial assets in the market throught their analytical skill and model implementation using coding program. Finally, the student will be able to analyze data and parameters to interpret results from estimated model, and to implement verbal and written statement related to results and conclusion of the analysis.
No resit is allowed in the same exam session.
Aggiornato A.A. 2022-2023
Aggiornato A.A. 2022-2023
Updated version: February 2023
for PDF final detailed version go to Teaching material
The course will cover the following main areas: Theory of Choice and Expected Utility, Financial Markets and Securities, Efficient Portfolios and Frontier, Single Index Model, Standard and Non-Standard Capital Assets Pricing Model, Multifactor Models, Empirical Test of Equilibrium Models, Efficient Markets Hypothesis.
Course’s objectives and expected learnings:
- LEARNING OUTCOMES: Theoretical knowledge of financial assets and financial markets.
- KNOWLEDGE AND UNDERSTANDING: Evaluation of financial assets available in the markets.
- APPLYING KNOWLEDGE AND UNDERSTANDING: Analytical skill to model implementation and coding.
- MAKING JUDGEMENTS: Ability to analyze data and parameters to interpret results from estimated model.
- COMMUNICATION SKILLS: Clear approach to verbal and written statement related to results and conclusion of the analysis.
- LEARNING SKILLS: Ability to analyze solutions from theoretical models with critical approach.
Main References:
Elton, E. J. et al., Modern Portfolio Theory and Investment Analysis, Wiley, 2007 -- Chapter 2, 3, 4, 5, 6, 7, 9, 13, 14, 15, 17
Section 1: Market and Securities’ Characteristics
- Markets and Indexes Definitions;
- Prices and Returns of Securities;
- Prices and Returns of a Portfolio;
- Practice 1: Compute the Stocks and Portfolio’s Return/Risk Prospects.
Section 2: Efficient Portfolios and Efficient Frontier
- Building the Efficient Frontier;
- Shape of the Efficient Frontier;
- Extend the Efficient Frontier allowing for Risk Free Rate and Short Selling;
- Return Maximization Problem;
- Practice 2: Building the Efficient Frontier.
Section 3: Single Index Model
- Inputs for the Portfolio Analysis;
- Single Index Model: Overview and Characteristics;
- Estimating Stocks and Portfolios’ Market Betas;
- Building the Frontier with the Single Index Model;
- Practice 3: Estimating the CAPM and the FFC Single Stock Level and for a Portfolio.
Section 4 and 5: Standard and Non-Standard Capital Assets Pricing Model
- Capital Asset Pricing Model by means an Intuitive Approach;
- Capital Asset Pricing Model by means a Rigorous Approach;
- Fama-French e Carhart Multifactor Model (FFC);
- CSR Risk-Factors and the Investors’ Preferences for Responsible Investment;
- Corporate Social Responsibility, Responsible Investments on the Financial Markets;
- Responsible Fama-French-Carhart Model (RFFC);
- Standard Test for Equilibrium Models;
- Black, Jensen e Sholes Approach;
- Fama MacBeth Approach;
- Practice 4 and Practice 5: Estimating the Factors’ Risk-Premia by using the Fama-MacBeth Approach.
Section 6: Efficient Markets Hypothesis
- Introduction to the Efficient Market Hypothesis (EMH);
- Three forms of Market Efficiency;
- Semi-Strong Market Efficiency and the Event Study Approach;
- Tests for the Semi-Strong Market Efficiency;
- Practice 6: Estimating the (C)AR by using the Event Study Approach.
Aggiornato A.A. 2021-2022
Aggiornato A.A. 2021-2022
Updated version: April 2022
for PDF final detailed version go to Teaching material
The course will cover the following main areas: Theory of Choice and Expected Utility, Financial Markets and Securities, Efficient Portfolios and Frontier, Single Index Model, Standard and Non-Standard Capital Assets Pricing Model, Multifactor Models, Empirical Test of Equilibrium Models, Efficient Markets Hypothesis.
Course’s objectives are the following:
- Teach the student the tools used in financial markets to evaluate the stock return and firm financial performance;
- Develop the analytical skills and mindset necessary to make decisions about how market react to an expected/unexpected new information;
- Instruct how to value firms’ assets;
- Have a working knowledge of MatLab/Python to apply empirically the concepts of financial markets.
Main References:
Elton, E. J. et al., Modern Portfolio Theory and Investment Analysis, Wiley, 2007 -- Chapter 2, 3, 4, 5, 6, 7, 9, 13, 14, 15, 17
Section 1: Market and Securities’ Characteristics
- Markets and Indexes Definitions;
- Prices and Returns of Securities;
- Prices and Returns of a Portfolio;
- Problem Set 1: Compute the Stocks and Portfolio’s Return/Risk Prospects.
Section 2: Efficient Portfolios and Efficient Frontier
- Building the Efficient Frontier;
- Shape of the Efficient Frontier;
- Extend the Efficient Frontier allowing for Risk Free Rate and Short Selling;
- Return Maximization Problem;
- Problem Set 2: Building the Efficient Frontier.
Section 3: Single Index Model
- Inputs for the Portfolio Analysis;
- Single Index Model: Overview and Characteristics;
- Estimating Stocks and Portfolios’ Market Betas;
- Building the Frontier with the Single Index Model;
- Problem Set 3: Estimating the CAPM and the FFC Single Stock Level and for a Portfolio.
Section 4 and 5: Standard and Non-Standard Capital Assets Pricing Model
- Capital Asset Pricing Model by means an Intuitive Approach;
- Capital Asset Pricing Model by means a Rigorous Approach;
- Fama-French e Carhart Multifactor Model (FFC);
- CSR Risk-Factors and the Investors’ Preferences for Responsible Investment;
- Corporate Social Responsibility, Responsible Investments on the Financial Markets;
- Responsible Fama-French-Carhart Model (RFFC);
- Standard Test for Equilibrium Models;
- Black, Jensen e Sholes Approach;
- Fama MacBeth Approach;
- Problem Set 4 and 5: Estimating the Factors’ Risk-Premia by using the Fama-MacBeth Approach.
Section 6: Efficient Markets Hypothesis
- Introduction to the Efficient Market Hypothesis (EMH);
- Three forms of Market Efficiency;
- Semi-Strong Market Efficiency and the Event Study Approach;
- Tests for the Semi-Strong Market Efficiency;
- Problem Set 6: Estimating the (C)AR by using the Event Study Approach.
Aggiornato A.A. 2020-2021
Aggiornato A.A. 2020-2021
Updated version: April 14, 2021
for PDF detailed version go to Teaching material
The course will cover the following main areas: Theory of Choice and Expected Utility, Financial Markets and Securities, Efficient Portfolios and Frontier, Single Index Model, Standard and Non-Standard Capital Assets Pricing Model, Multifactor Models, Empirical Test of Equilibrium Models, Efficient Markets Hypothesis.
Course’s objectives are the following:
- Teach the student the tools used in financial markets to evaluate the stock return and firm financial performance;
- Develop the analytical skills and mindset necessary to make decisions about how market react to an expected/unexpected new information;
- Instruct how to value firms’ assets;
- Have a working knowledge of MatLab/Python to apply empirically the concepts of financial markets.
Main References:
Elton, E. J. et al., Modern Portfolio Theory and Investment Analysis, Wiley, 2007 -- Chapter 2, 3, 4, 5, 6, 7, 9, 13, 14, 15, 17
Section 1: Market and Securities’ Characteristics
- Markets and Indexes Definitions;
- Prices and Returns of Securities;
- Prices and Returns of a Portfolio;
- Problem Set 1: Compute the Stocks and Portfolio’s Return/Risk Prospects.
Section 2: Efficient Portfolios and Efficient Frontier
- Building the Efficient Frontier;
- Shape of the Efficient Frontier;
- Extend the Efficient Frontier allowing for Risk Free Rate and Short Selling;
- Return Maximization Problem;
- Problem Set 2: Building the Efficient Frontier.
Section 3: Single Index Model
- Inputs for the Portfolio Analysis;
- Single Index Model: Overview and Characteristics;
- Estimating Stocks and Portfolios’ Market Betas;
- Building the Frontier with the Single Index Model;
- Problem Set 3: Estimating the CAPM and the FFC Single Stock Level and for a Portfolio.
Section 4 and 5: Standard and Non-Standard Capital Assets Pricing Model
- Capital Asset Pricing Model by means an Intuitive Approach;
- Capital Asset Pricing Model by means a Rigorous Approach;
- Fama-French e Carhart Multifactor Model (FFC);
- CSR Risk-Factors and the Investors’ Preferences for Responsible Investment;
- Corporate Social Responsibility, Responsible Investments on the Financial Markets;
- Responsible Fama-French-Carhart Model (RFFC);
- Standard Test for Equilibrium Models;
- Black, Jensen e Sholes Approach;
- Fama MacBeth Approach;
- Problem Set 4 and 5: Estimating the Factors’ Risk-Premia by using the Fama-MacBeth Approach.
Section 6: Efficient Markets Hypothesis
- Introduction to the Efficient Market Hypothesis (EMH);
- Three forms of Market Efficiency;
- Semi-Strong Market Efficiency and the Event Study Approach;
- Tests for the Semi-Strong Market Efficiency;
- Problem Set 6: Estimating the (C)AR by using the Event Study Approach.
Exam:
Class participation (10%);
Take Home (50%, 10% each. weekly take home, one take home will be randomly discard from the final grade);
Each ’Take Home’ MUST BE returned by e-mail in .pdf format. The file MUST BE saved as surname-name-TH-number and sent by the following Tuesday at 11:59PM (GMT+1) to rocco[dot]ciciretti[at]uniroma2[dot]it;
Final exam (40%). Student are only allowed to sit the exam twice. The grade of the resit will be registered (included a mark of "fail").
Aggiornato A.A. 2019-2020
Aggiornato A.A. 2019-2020
Updated version: January 8, 2020
for PDF detailed version go to Teaching material then Course 2019/2020 then Syllabus
The course will cover the following main areas: Theory of Choice and Expected Utility, Financial Markets and Securities, Efficient Portfolios and Frontier, Single Index Model, Standard and Non-Standard Capital Assets Pricing Model, Multifactor Models, Empirical Test of Equilibrium Models, Efficient Markets Hypothesis.
Course’s objectives are the following:
Teach the student the tools used in financial markets to evaluate the stock return and firm financial performance;
Develop the analytical skills and mindset necessary to make decisions about how market react to an expected/unexpected new information;
Instruct how to value firms’ assets;
Have a working knowledge of MatLab/Python to apply empirically the concepts of financial markets.
Main References:
Elton, E. J. et al., Modern Portfolio Theory and Investment Analysis, Wiley, 2007 -- Chapter 2, 3, 4, 5, 6, 7, 9, 13, 14, 15, 17
Section 1: Market and Securities’ Characteristics
-
Markets and Indexes Definitions;
-
Prices and Returns of Securities;
-
Prices and Returns of a Portfolio;
-
Problem Set 1: Compute the Stocks and Portfolio’s Return/Risk Prospects.
Section 2: Efficient Portfolios and Efficient Frontier
-
Building the Efficient Frontier;
-
Shape of the Efficient Frontier;
-
Extend the Efficient Frontier allowing for Risk Free Rate and Short Selling;
-
Return Maximization Problem;
-
Problem Set 2: Building the Efficient Frontier.
Section 3: Single Index Model
-
Inputs for the Portfolio Analysis;
-
Single Index Model: Overview and Characteristics;
-
Estimating Stocks and Portfolios’ Market Betas;
-
Building the Frontier with the Single Index Model;
-
Problem Set 3: Estimating the CAPM and the FFC Single Stock Level and for a Portfolio.
Section 4: Standard and Non-Standard Capital Assets Pricing Model
-
Capital Asset Pricing Model by means an Intuitive Approach;
-
Capital Asset Pricing Model by means a Rigorous Approach;
-
Fama-French e Carhart Multifactor Model (FFC);
-
CSR Risk-Factors and the Investors’ Preferences for Responsible Investment;
-
Corporate Social Responsibility, Responsible Investments on the Financial Markets;
-
Responsible Fama-French-Carhart Model (RFFC);
-
Standard Test for Equilibrium Models;
-
Black, Jensen e Sholes Approach;
-
Fama MacBeth Approach;
-
Problem Set 4: Estimating the Factors’ Risk-Premia by using the Fama-MacBeth Approach.
Section 5: Efficient Markets Hypothesis
-
Introduction to the Efficient Market Hypothesis (EMH);
-
Three forms of Market Efficiency;
-
Semi-Strong Market Efficiency and the Event Study Approach;
-
Tests for the Semi-Strong Market Efficiency;
-
Problem Set 5: Estimating the (C)AR by using the Event Study Approach.
Exam:
Class participation (10%);
Take Home (50%, 10% each. weekly take home, randomly one will be discard from the final grade);
Each ’Take Home’ MUST BE returned by e-mail in .pdf format. The file MUST BE saved as surname-name-TH-number and sent by the following Tuesday at 11:59PM (GMT+1) to rocco[dot]ciciretti[at]uniroma2[dot]it;
Final exam (40%). Student are only allowed to sit the exam twice. The grade of the resit will be registered (included a mark of "fail").
Aggiornato A.A. 2018-2019
Aggiornato A.A. 2018-2019
The course will cover the following main areas: Theory of Choice and Expected Utility, Financial Markets and Securities, Efficient Portfolios and Frontier, Single Index Model, Standard and Non-Standard Capital Assets Pricing Model, Multifactor Models, Empirical Test of Equilibrium Models, Efficient Markets Hypothesis.
Course’s objectives are the following:
Teach the student the tools used in financial markets to evaluate the stock return and firm financial performance;
Develop the analytical skills and mindset necessary to make decisions about how market react to an expected/unexpected new information;
Instruct how to value firms’ assets;
Have a working knowledge of MatLab/Python to apply empirically the concepts of financial markets.
Main References:
Elton, E. J. et al., Modern Portfolio Theory and Investment Analysis, Wiley, 2007 -- Chapter 2, 3, 4, 5, 6, 7, 9, 13, 14, 15, 17
Section 1: Market and Securities’ Characteristics (Ch. 1, 2, 3, 4)
Lessons 1, 2, 3, 4, and 5
-
Markets and Indexes Definitions;
-
Prices and Returns of Securities;
-
Prices and Returns of a Portfolio;
-
Problem Set 1: Compute the Stocks and Portfolio’s Return/Risk Prospects.
Section 2: Efficient Portfolios and Efficient Frontier (Ch. 5, 6)
Lessons 3, 4 and 5
-
Building the Efficient Frontier;
-
Shape of the Efficient Frontier;
-
Extend the Efficient Frontier allowing for Risk Free Rate and Short Selling;
-
Return Maximization Problem;
-
Problem Set 2: Building the Efficient Frontier.
Section 3: Single Index Model (Ch. 7, 9)
Lessons 6 and 7
-
Inputs for the Portfolio Analysis;
-
Single Index Model: Overview and Characteristics;
-
Estimating Stocks and Portfolios’ Market Betas;
-
Building the Frontier with the Single Index Model;
-
Problem Set 3: Estimating the CAPM and the FFC Single Stock Level and for a Portfolio.
Section 4: Standard and Non-Standard Capital Assets Pricing Model (Ch. 13, 14, 15)
Lessons 8, 9, 10 and 11
-
Capital Asset Pricing Model by means an Intuitive Approach;
-
Capital Asset Pricing Model by means a Rigorous Approach;
-
Fama-French e Carhart Multifactor Model (FFC);
-
CSR Risk-Factors and the Investors’ Preferences for Responsible Investment;
-
Corporate Social Responsibility, Responsible Investments on the Financial Markets;
-
Responsible Fama-French-Carhart Model (RFFC);
-
Standard Test for Equilibrium Models;
-
Black, Jensen e Sholes Approach;
-
Fama MacBeth Approach;
-
Problem Set 4: Estimating the Factors’ Risk-Premia by using the Fama-MacBeth Approach.
Section 5: Efficient Markets Hypothesis (Ch. 17)
Lessons 12 and 13
-
Introduction to the Efficient Market Hypothesis (EMH);
-
Three forms of Market Efficiency;
-
Semi-Strong Market Efficiency and the Event Study Approach1;
-
Tests for the Semi-Strong Market Efficiency;
-
Problem Set 5: Estimating the (C)AR by using the Event Study Approach.
Exam:
Class participation (10%);
Take home (25%);
Each Take home MUST BE returned by mail in pdf format. The file MUST BE saved as "surname-name-TH-number" by the following Tuesday at 11:59PM (GMT+1) to roccodotcicirettiatuniroma2dotit
Final exam (65%). You can resit only once. The grade of the resit will be register (included the "fail").
Prof.ssa Lucia Leonelli
