Wilfrid Laurier University

Investment Management

INSTRUCTOR:

Dr. Ning (Tony) Tang

Associate Professor

Email:

COURSE OBJECTIVE:

This course is designed to provide an in-depth discussion of investments analysis and portfolio management to graduate students. Students will be exposed to practical issues, such as security analysis, portfolio strategies, and performance analysis, as well as rigorous theoretical frameworks, such as Markowitz Portfolio Selection Model, CAPM, and APT.

PREREQUISITES:

Basic understanding of time value of money, financial markets, investment opportunities in the financial markets, and accounting financial statements are necessary before taking this course. Students are also

TEXTBOOK:

1. Basic textbook: Investments Analysis and Portfolio Management, 9st Edition, by Reilly and Brown; South-Western, 2009 (RB).

2. Advance textbook: Modern Portfolio Theory and Investment Analysis, 8th Edition, by Elton, Gruber, Brown, and Goetzmann, 2010 (EGBG)

GRADING SCHEME:

No Presentation With Presentation

Quizzes * 60% (10x6%) 50% (10x5%)

Presentation + 15%

Final Exam 40% 35%

Total 100% 100%

* Each quiz contents 10 multiple choice questions and will be given at the beginning of the class.

+ A maximum of 12 students can select the “With Presentation” option. Students who select this option will be assigned with one paper from the Additional Reading list and make a 20 minute presentation of the paper in class. If there will be less than 12 students presenting the papers, papers that are not assigned will be discussed by the instructor.

TENTATIVE CLASS SCHEDULE
Class / Lecture Topics / Basic Reading (RB) / Advanced Reading (EGBG)
Oct. 8 / · Risk and Return / Ch 1
Oct. 9 / · Security Markets, Instruments, and Trading / Ch 3, 4, 5
Oct. 10 / · Portfolio Selection / Ch 7 / Ch 4-9
Oct. 11
Oct. 12 / · Asset Pricing Models / Ch 8, 9 / Ch 13-16
Oct. 15
Oct. 16 / · Market Efficiency / Ch 6 / Ch 17
Oct. 17 / · Portfolio Management Strategies & Analysis / Ch 2, 16, 24, 25
Oct. 18
Oct. 19 / · Equity Analysis / Ch 12, 13, 14
Oct. 22
Oct. 23 / · Fixed Income Securities / Ch 17, 18, 19
Oct. 24
Oct. 25 / · Advanced reading & Presentations
Oct. 26 / · Advanced reading & Presentations
Oct. 29 / Final Exam
2.5 hours

ADDITIONAL READINDS (ADVANCED)

1. Berk, Jonathan, 2005, “Five Myths of Active Portfolio Management”, Journal of Portfolio Management, Vol. 31, pp. 27-31

2. Boehmer, Ekkehart, Charles M. Jones and Xiaoyan Zhang, 2008, "Which Shorts are Informed?" Journal of Finance 63 (2) 491-527.

3. Carhart, Mark M., 1997, “On Persistence in Mutual Fund Performance,” Journal of Finance 52, 57-82

4. Cochrane, John, 2011, “Discount rates”, Journal of Finance 66, 1047-1108

5. Davis, James, Eugene F. Fama, and Kenneth R. French 2000, “Characteristics, Covariances, and Average Returns: 1929 to 1997”, Journal of Finance 55 389-406.

6. Fama Eugene F. and Kenneth R. French 1996, "Multifactor Explanations of Asset Pricing Anomalies", Journal of Finance 51, 55-84

7. Joel Hasbrouck and Gideon Saar, 2011, “Low-Latency Trading”, Working Paper.

8. Kaniel, Ron, Giedon Saar and Sheridan Titman, 2008, “Individual Investor Trading and Stock Returns”, Journal of Finance 63, 273-310.

9. Kirilenko, Andrei, Albert S. Kyle, Mehrdad Samadi, Tagkan Tuzun, 2011, " The Flash Crash: The Imact of High Frequency Trading on an Electronic Market", Working Paper

10. Lee, C. M. C. and B. Swaminathan (2000). "Price Momentum and Trading Volume", Journal of Finance 55(5): 2017-2069.

11. Mei, Jianping, José Scheinkman and Wei Xiong, 2005, “Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia”, Working Paper

12. Shleifer, Andrei, 1986, “Do Demand Curves for Stocks Slope Down?” The Journal of Finance, 41, 579-590.

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