ULMS Electronic Module Catalogue

The information contained in this module specification was correct at the time of publication but may be subject to change, either during the session because of unforeseen circumstances, or following review of the module at the end of the session. Queries about the module should be directed to the member of staff with responsibility for the module.
Title SECURITY AND INVESTMENT ANALYSIS
Code ECON812
Coordinator Dr M Kim
Finance and Accounting
Minjoo.Kim@liverpool.ac.uk
Year CATS Level Semester CATS Value
Session 2019-20 Level 7 FHEQ Second Semester 15

Pre-requisites before taking this module (other modules and/or general educational/academic requirements):

 

Modules for which this module is a pre-requisite:

 

Programme(s) (including Year of Study) to which this module is available on a required basis:

 

Programme(s) (including Year of Study) to which this module is available on an optional basis:

 

Teaching Schedule

  Lectures Seminars Tutorials Lab Practicals Fieldwork Placement Other TOTAL
Study Hours 36

          36
Timetable (if known)              
Private Study 114
TOTAL HOURS 150

Assessment

EXAM Duration Timing
(Semester)
% of
final
mark
Resit/resubmission
opportunity
Penalty for late
submission
Notes
Examination There is a resit opportunity. Standard UoL penalty applies for late submission. This is an anonymous assessment. Assessment Schedule (When) :Semester 2  2 hours    80       
CONTINUOUS Duration Timing
(Semester)
% of
final
mark
Resit/resubmission
opportunity
Penalty for late
submission
Notes
Mid-term test There is a resit opportunity. Standard UoL penalty applies for late submission. This is an anonymous assessment. Assessment Schedule (When) :Semester 2  1 Hour    20       

Aims

To provide students with a solid training in modern, stochastic discount factor-based asset pricing theory;

To enable students to understand the fundamental reasons for asset price fluctuations through time using a theory-based unified framework that applies to all asset classes such as stocks, bonds and other contingent claims;

To enable students to undertake independent empirical research in time-series and cross-sectional asset pricing based on a rigorous theoretical framework.


Learning Outcomes

(LO1) Understand and utilise the concepts of stochastic discount factor, risk-neutral probabilities and no-arbitrage to price contingent claims on cash flows;

(LO2) Explain the relation between discount factors, factor sensitivities and mean-variance frontiers;

(LO3) Analyse the theoretical foundations of commonly used asset pricing models, such as the Capital Asset Pricing Model and Arbitrage Pricing Theory;

(LO4) Derive and critically evaluate alternative asset pricing models on the basis of solid utility theory arguments;

(LO5) Understand the implications of behavioural finance and market microstructure for asset pricing.

(S1) Adaptability

(S2) Numeracy

(S3) Commercial awareness

(S4) Organisational skills

(S5) Communication skills

(S6) IT skills

(S7) International awareness

(S8) Lifelong learning skills

(S9) Ethical awareness


Teaching and Learning Strategies

Teaching Method 1 - Lecture
Description: 3 hours per week x 12 weeks
Attendance Recorded: Not yet decided


Syllabus

 

Topic 1: Introduction to investments and asset classes;

Topic 2: Introduction to portfolio theory;

Topic 3: Optimal asset allocation;

Topic 4: EMH and behavioural finance;

Topic 5: Portfolio performance, and diversification;

Topic 6: Equity and firm valuation models;

Topic 7: Mutual funds and hedge funds;

Topic 8: Derivative securities;

Topic 9: Market microstructure.


Recommended Texts

Reading lists are managed at readinglists.liverpool.ac.uk. Click here to access the reading lists for this module.