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 |
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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 |
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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 |
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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 |
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(LO1) Understand and utilise the concepts of stochastic discount factor, risk-neutral probabilities and no-arbitrage to price contingent claims on cash flows; |
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(LO2) Explain the relation between discount factors, factor sensitivities and mean-variance frontiers; |
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(LO3) Analyse the theoretical foundations of commonly used asset pricing models, such as the Capital Asset Pricing Model and Arbitrage Pricing Theory; |
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(LO4) Derive and critically evaluate alternative asset pricing models on the basis of solid utility theory arguments; |
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(LO5) Understand the implications of behavioural finance and market microstructure for asset pricing. |
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(S1) Adaptability |
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(S2) Numeracy |
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(S3) Commercial awareness |
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(S4) Organisational skills |
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(S5) Communication skills |
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(S6) IT skills |
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(S7) International awareness |
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(S8) Lifelong learning skills |
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(S9) Ethical awareness |
Teaching and Learning Strategies |
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Teaching Method 1 - Lecture |
Syllabus |
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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 |
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Reading lists are managed at readinglists.liverpool.ac.uk. Click here to access the reading lists for this module. |