Финансовые рынки и оценка активов
- The main objective of the course is to provide the conceptual background for valuation of individual financial assets and professional discussion of asset pricing approaches.
- The course is focused on developing skills in analyzing valuation and pricing behavior on financial markets.
- define the EMH and explain what it means in practice
- explain under which conditions efficiency may not fully hold
- Outline the purpose of derivative products; know the most common ones
- be able to put the notion of pricing by replication under absence of arbitrage in practice for simple contracts like forwards and in the binomial tree model
- apply Black-Scholes formula
- Describe the important differences between stock, bond and derivative securities.
- Explain how to price assets using both present value and absence of arbitrage methods.
- Apply present value techniques to price stocks and bonds
- Employ mathematical tools to compute risk and return for portfolios of securities.
- Evaluate portfolio choice problems.
- Present, explain and apply the Capital Asset Pricing model for computing expected stock returns.
- Introduction to the Course. No arbitrage condition as a basic valuation principleNo arbitrage rule and the principle of tracking (replicating) portfolio. Net present value rule of corporate analysis. The sources of NPV. The consumption choice and the first Fisher separation theorem.
- Fundamentals of Bond ValuationThe yield curve. Spot rates and forward rates. Defining forward rate from the yield curve. The term structure of interest rates: theoretical explanation. The role of term structure of interest rates in constructing tracking (replicating) portfolio for Corporate Bonds. Intrinsic value of stand-alone bond. Discounted cash flow valuation of corporate bonds. Corporate bond's types. Bond’s covenants: assets covenants, dividend covenants, financing covenants. The influence of covenants over bond’s valuation. Bond's yields: promised yield to maturity, realized (horizon yield), promised yield to call. Theorems of bond's pricing. Bond’s rating and yields to maturity.
- Fundamentals of Stock ValuationTypes of preferred stock by voting rights, dividend rates and dividend payments. Discounted dividend model (DDM) for preferred (preference) shares. Discounted dividend model for common stock (ordinary shares): the criteria for stable growing company, Gordon constant growth dividend rate model. Multistage DDM: 2 stages dividend growth, negative rate of dividend growth. Growth opportunities value. The limitations of DCF valuation.
- Risk and Expected Return: Principles of Portfolio AnalysisPrinciples and assumptions of mean-variance analysis. Mean and variance of returns of a risky asset. Portfolio expected returns. Portfolio risk and assets’s covariances. Feasible set of assets and the efficient frontier. Capital market line. Two-fund separation.
- Asset Pricing Approaches: CAPM, APT and alternativesAssumptions for capital asset pricing model. Market portfolio and its derivation. Security market line. Stocks' beta. Empirical evidence and critiques of CAPM. Understanding singlefactor and multi-factor model representation. Systematic risk and diversification. Arbitrage price theory. Empirical evidence of multi-factor models and applications in practice.
- The role of Efficient Market Hypothesis in Corporate Analysis: Theory and EvidenceTypes of information for investor’s decision-making. The value of information for the investor. The efficient market hypothesis. Weak, semi-strong, strong form efficiency. Implications of Efficient Market Hypothesis.
- Derivatives Valuation ModelsThe definition of a derivative contract; how to price derivatives using absence of arbitrage; forwards and futures contracts; pricing forwards on stocks, currencies and commodities; option contracts; practical uses of options contracts; bounds on option premia; option pricing via binomial models and Black-Scholes
- Interim assessment (2 module)0.1 * Class Participation + 0.45 * Exam + 0.25 * Home assignments + 0.2 * Midterm exam
- Interim assessment (4 module)0.1 * Class Participation + 0.4 * Final Exam (UoL or HSE) + 0.1 * Home assignments + 0.2 * Interim assessment (2 module) + 0.2 * Midterm exam
- Vernimmen, P. (2011). Corporate Finance : Theory and Practice (Vol. 3rd ed). Chichester, West Sussex: Wiley. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsebk&AN=398584
- Financial markets and corporate strategy, Grinblatt, M., Titman, S., 2002