Textbook:

Bailey R.E. The Economics of Financial Markets, Cambridge University Press, 2005.

Recommended Books:

Bodie, Z., R. Merton, andD. Cleeton, Financial Economics, PrenticeHall, 2nd edition, 2008.

Bodie, Z., A. Kane,and A. Marcus, Investments, McGraw-Hill Education, 8th edition,2009.

Fabozzi, F., E. Neave,and G. Zhou, Financial Economics,John Wiley & Sons, 2012.

Lecture 1: Assetmarkets and asset prices (chapter 1)

l  The main types ofcapital markets

l  Fundamental principlesof asset price determination

l  Arbitrage

l  Asset marketefficiency

Lecture 2:Predictability of prices and market efficiency (ch. 2, 3)

l  Random walks of assetprices and martingales

l  Asset marketefficiency and anomalies

l  Price impact ofinformed trades---- Kyle (1985) model

Project #1: Using theevent study methodology to study the market efficiency in Chinese stock market

Lecture 3: Decisionmaking under uncertainty (ch. 4)

l  Expected utilitytheory

l  Risk aversion and themeasure of risk aversion

l  Risk aversion andportfolio choice

Lecture 4: Portfoliochoice problem and mean-variance analysis (ch. 5)

l  Optimal choice problem

l  MarkowitzEfficient frontier

Project #2: Constructyour own portfolio

Lecture 5: The capitalasset pricing model (CAPM) (ch. 6)

l  Market portfolio

l  The capital assetpricing model

l  Alpha and beta

Lecture 6: Arbitrage(ch. 7)

l  No arbitrage and stateprices

l  Risk neutralprobabilities

Lecture 7: Factormodels and the arbitrage pricing theory (APT) (ch. 8)

l  Single factor model

l  Multi factor model

l  APT

Lecture 8: Empiricalappraisal of the CAPM and APT (ch. 9)

l  Empirical examinationof CAPM

l  Fama-French threefactor model

Lecture 9:Intertemporal choice and the equity premium puzzle (ch. 11)

l  Consumption-basedasset pricing model

l  Equity premium puzzle

Lecture 10 Optionmarkets (ch. 18-20)

l  Call options and putoptions

l  Put-call parity

l  Cox-Ross-Rubinstein(CRR)’s binomial option pricing model

金融经济答案.pdf            1.1 MB
Options Market exercises.docx            35.6 KB
Lecture 7 Factor Models and APT.pdf            182.0 KB
Lec 9 Options_binomial tree model.pdf            192.0 KB
Lec 9 options markets.pdf            59.6 KB
Lec 8 Empirical appraisal of CAPM.pdf            34.6 KB
Lec 6 Arbitrage.pdf            36.0 KB
Lec 5 capm.pdf            62.5 KB
Lec 4 portfolio theory.pdf            220.0 KB
Lec 4 (self-reading) diversification.pdf            139.0 KB
Lec 3 expected utility.pdf            124.0 KB
Lec 3 expected utility additional notes.pdf            54.2 KB
Lec 2 predictability and market efficiency.pdf            825.0 KB
Lec 1 Asset Markets and Asset Prices.pdf            221.0 KB
homework 4_xyx(1).pdf            278.0 KB
homework 4.docx            24.2 KB
homework 4 solution.pdf            133.0 KB
homework 3_xyx(1).pdf            102.0 KB
homework 3.docx            31.1 KB
homework 3 solution.pdf            77.7 KB
homework 2_xyx(1).pdf            120.0 KB
homework 2.docx            27.1 KB
homework 1_xyx(1).pdf            12.8 KB
homework 1.docx            19.9 KB
homework 1 solution.pdf            128.0 KB
Financial Economics syllabus .docx            22.6 KB
fin eco outline .pdf            46.9 KB
04Event Study Description.pdf            91.7 KB