Магистратура
2022/2023
Семинар наставника
Статус:
Курс обязательный (Стратегическое управление финансами фирмы)
Направление:
38.04.08. Финансы и кредит
Кто читает:
Школа финансов
Где читается:
Факультет экономических наук
Когда читается:
1-й курс, 1-4 модуль
Формат изучения:
без онлайн-курса
Охват аудитории:
для своего кампуса
Преподаватели:
Добрынская Виктория Владимировна
Прогр. обучения:
Стратегическое управление финансами фирмы
Язык:
английский
Кредиты:
6
Контактные часы:
52
Course Syllabus
Abstract
This seminar is for students who are interested in studying financial markets and instruments, asset-pricing models, investment strategies and alternative investments. We will talk about stocks, bonds, currencies, cryptocurrencies, real estate and other asset classes. We will talk about the main asset-pricing models: the CAPM, the APT, and empirical multifactor models. We will learn how to test these models on various financial markets and which risk factors explain asset returns. We will talk about financial anomalies and investment strategies which exploit these anomalies. We will search for mispricing or arbitrage opportunities in different markets, try to exploit them or provide explanations for them. This seminar is empirical and assumes working with financial data. Students need to know such courses as Financial Economics, Theory of Finance, Financial Econometrics. Knowledge of Phyton or programming in Stata will be useful. This seminar will be interesting for those who want to pursue a career in an investment fund, commercial bank, asset management firm, etc.
Learning Objectives
- The aim of the seminar is to help students with designing their study path and writing their research paper.
Expected Learning Outcomes
- Students have a proper study plan, have chosen a topic for their research (master thesis) and have written a clear research proposal.
Course Contents
- Mentoring on the choice of courses
- Mentoring on the choice of research direction
- Mentoring on the research-related and study-related activities
Interim Assessment
- 2022/2023 4th module0.1 * Presentation + 0.9 * Защита project proposal
- 2023/2024 4th module1 * Предзащита / Predefense
Bibliography
Recommended Core Bibliography
- Asset pricing, Cochrane, J. H., 2005
- Eugene F. Fama, & Kenneth R. French. (2004). The Capital Asset Pricing Model: Theory and Evidence. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.D1F2477F
- Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, (1), 1. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsrep&AN=edsrep.a.eee.jfinec.v116y2015i1p1.22
- Louis K. C. Chan, Narasimhan Jegadeesh, & Josef Lakonishok. (1996). Momentum strategies.
Recommended Additional Bibliography
- Eugene F. Fama, & Kenneth R. French. (1993). Common Risk Factors in the Returns On Stocks And Bonds. Retrieved from http://search.ebscohost.com/login.aspx?direct=true&site=eds-live&db=edsbas&AN=edsbas.7308D8C2