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Instructor:
Ali
Nejadmalayeri
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Investments
FIN 6660
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This course is a Ph.D. seminar in
investments. The course strives three major goals: 1) to overview the
historical backgrounds and theoretical underpinnings of the ideas, 2) to
examine the empirical studies and test of these ideas, and 3) to work
thru the econometrics and numerical technology of empirical finance.
Our hope is that in pursuit the aforementioned, we can gain a deeper
appreciation of the field and enhance our knowledge of the topical
areas.
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Required
and Recommended Texts:
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 Lecture Notes & More:
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You
may download the lecture notes via following links. You may customize
the notes at your discretion.
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Lecture Notes:
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Articles:
List of
Articles
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To
read the notes you need Microsoft Power Point reader.
Download Power Point Viewer.
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 Course Outline
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Since this course aims to provide a thorough understanding of the
investment theory, we will cover major topics of interests in a series
of blocks as follows:
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Ancient Times: Probability,
Statistics, & Hypothesis Testing
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Ancient Times: Investment Under Uncertainty
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Classical Age: Asset Pricing
(CAPM & Factor Models)
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Classical Age: Portfolio
Theory
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Classical Age: Market
Efficiency, Momentum, & Reversals
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Modern Age: Liquidity, Volume,
& Volatility
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Modern Age: Information and
Price Discovery
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Modern Age: Analysts, Earnings, & Price
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Modern Age: Professional Managers & Performance
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Modern Age: Primary vs. Secondary Markets
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Modern Age: Market Micro Structure
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Modern Age: Behavioral Finance
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Computational Resources
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There are numerous books, articles, homepages and software packages that
can help you with your research. Let's start with software. The
most popular ones, which you can find codes, examples and what not from
other finance professionals, are SAS, Stata, Matlab, and just plain old
C/C++ and FORTRAN codes. I am familiar with SAS and FORTRAN and getting to
know Matlab. With exception of Bayesian econometrics, SAS is pretty
powerful tool. I do use Matlab for Bayesian analysis, simply because most other
Bayesians use Matlab too! Here are some homepages I think you should
know about to help you in the journey:
There are numerous
researchers that provide codes on their webpages. Of course I can't say
that I know them all, but here are some that I have come across and I
found them quite helpful in my own work:
If you are using WRDS,
they have an extensive set of SAS and FORTRAN codes which are extremely
helpful. I tend to download data and then run it on my machine just
because my jobs are large and take a long time. But you can run codes
via remote access option in WRDS and you can run it on their UNIX
servers.
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Lecture Notes & More:
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You
may download the lecture notes via following links. You may customize
the notes at your discretion.
|
|
Lecture Notes:
|
Articles:
List of
Articles
|
|
To
read the notes you need Microsoft Power Point reader.
Download Power Point Viewer.
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