## FINANCIAL MARKET MODELS

## Syllabus

EN
IT

### 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.

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.

### Prerequisites

Consumption theory under uncertentainity.

Expected utility theory.

Expected utility theory.

### Program

Lecture.

Practice (with coding).

Two Take Home (on Moodle).

Practice (with coding).

Two Take Home (on Moodle).

### Books

Elton, E. J. et al., Modern Portfolio Theory and Investment Analysis, Wiley, 2007

### 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.

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.

### Teaching methods

Lecture.

Practice (with coding).

Two Take Home (on Moodle).

Practice (with coding).

Two Take Home (on Moodle).

### 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 tocip 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.

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 tocip 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.