The objective of this course is to familiarise students with the seminal and contemporary literature on selected topics in theoretical, empirical and applied finance as it relates to investment analysis. The material and structure of the course is designed to provide students with an advanced understanding of investment decision making. The course is directed at postgraduate and honours students and is designed for students wishing to pursue higher level studies or a career relating to investment analysis and decision making. The course material builds on undergraduate studies in the area of investments. The material is heavily orientated to research issues and their practical problems.

Learning Outcomes

Upon successful completion, students will have the knowledge and skills to:

1. Critically analyse investment theories and their applications.
2. Derive classical asset pricing models and perform empirical tests of the models.
3. Utilize asset pricing models for investment analysis, such as performance measurement, return predictability and event analysis.
4. Analyse and explain limitations of these models in relation to real world investment situations.
5. Work in teams in solving complex problems relating to investment analysis.

Research-Led Teaching

Textbook material will be supplemented with the most recent information from relevant news and research.

A large part of this course is learning by doing.

Recommended Resources

No prescribed (required) text.

Recommended reading: Asset Pricing (Revised Edition), by John H. Cochrane. This book is available in the ANU Library and has been requested to be put in the 2-hour loan.

The lecturer will provide access to the relevant chapters of the recommended readings on Wattle.  

The lecturer will make any supplemental readings available on Wattle.

Staff Feedback

Students will be given feedback in the following forms in this course:

• Verbal (common) comments on the assessment of online tests and homework assignments will be provided in the class on campus;
• Verbal (individual) comments on the assessment of online tests and homework assignments will be provided during consultation hours via Zoom.

Student Feedback

ANU is committed to the demonstration of educational excellence and regularly seeks feedback from students. Students are encouraged to offer feedback directly to their Course Convener or through their College and Course representatives (if applicable). Feedback can also be provided to Course Conveners and teachers via the Student Experience of Learning & Teaching (SELT) feedback program. SELT surveys are confidential and also provide the Colleges and ANU Executive with opportunities to recognise excellent teaching, and opportunities for improvement.

Other Information

Scaling

Your final mark for the course will be based on the raw marks allocated for each of your assessment items. However, your final mark may not be the same number as produced by that formula, as marks may be scaled. Any scaling applied will preserve the rank order of raw marks (i.e. if your raw mark exceeds that of another student, then your scaled mark will exceed the scaled mark of that student), and may be either up or down.

Communication

Students should contact the lecturer via email at alexander.vadilyev@anu.edu.au.

If necessary, the lecturer for this course will contact students on their official ANU student email address. Students are expected to check the Wattle site for announcements about this course, e.g. changes to timetables or notifications of cancellations. Notifications of emergency cancellations of lectures will be posted on the door of the relevant room.

Support for Students

The University offers a number of support services for students. Information on these is available online from http://students.anu.edu.au/studentlife

Class Schedule

Week/Session	Summary of Activities	Assessment
1	Predictability of Prices and Market Efficiency
2	Decision Making Under Uncertainty
3	Portfolio Selection: the Mean-Variance Model
4	The Capital Asset Pricing Model (CAPM) (1)	Test
5	The Capital Asset Pricing Model (CAPM) (2)
6	Arbitrage
7	Factor Models and the Arbitrage Pricing Theory (APT)
8	Empirical Tests of the CAPM and APT (1)
9	Empirical Tests of the CAPM and APT (2)	Assignment
10	Present Value Relationship and Price Variability
11	Intertemporal Choice and the Equity Premium Puzzle (1)
12	Intertemporal Choice and the Equity Premium Puzzle (2)

Tutorial Registration

The course has no formal tutorials

Assessment Summary

Assessment task	Value	Due Date	Return of assessment	Learning Outcomes
Test	10 %	11/03/2024	25/03/2024	1,2,3,4
Assignment	30 %	29/04/2024	13/05/2024	1,3,4,5
Final examination	60 %	30/05/2024	27/06/2024	1,2,3,4

* If the Due Date and Return of Assessment date are blank, see the Assessment Tab for specific Assessment Task details

Policies

ANU has educational policies, procedures and guidelines , which are designed to ensure that staff and students are aware of the University’s academic standards, and implement them. Students are expected to have read the Academic Integrity Rule before the commencement of their course. Other key policies and guidelines include:

• Academic Integrity Policy and Procedure
• Student Assessment (Coursework) Policy and Procedure
• Extenuating Circumstances Application
• Student Surveys and Evaluations
• Deferred Examinations
• Student Complaint Resolution Policy and Procedure
• Code of practice for teaching and learning

Assessment Requirements

The ANU is using Turnitin to enhance student citation and referencing techniques, and to assess assignment submissions as a component of the University's approach to managing Academic Integrity. For additional information regarding Turnitin please visit the Academic Skills website. In rare cases where online submission using Turnitin software is not technically possible; or where not using Turnitin software has been justified by the Course Convener and approved by the Associate Dean (Education) on the basis of the teaching model being employed; students shall submit assessment online via ‘Wattle’ outside of Turnitin, or failing that in hard copy, or through a combination of submission methods as approved by the Associate Dean (Education). The submission method is detailed below.

Moderation of Assessment

Marks that are allocated during Semester are to be considered provisional until formalised by the College examiners meeting at the end of each Semester. If appropriate, some moderation of marks might be applied prior to final results being released.

Participation

• Course content delivery will take the form of weekly on-campus lectures and workshops (recorded and available via Echo360 on Wattle as per the schedule);
• Weekly consultations with the lecturer will be conducted over Zoom.

Examination(s)

Centrally scheduled examinations through Examinations, Graduations & Prizes will be timetabled prior to the examination period. Please check ANU Timetabling for further information.

Assessment Task 1

Test

• The test will be an open-book online test. Students will sit the test remotely and complete it individually. The test will be 45 minutes long, plus 15 minutes to submit the solution. The test is compulsory and is not deferred;
• The test will comprise a mixture of theory questions relating to materials covered in Weeks 1 to 3 and will count towards 10% of students’ final course grades;
• The Wattle-based test will be held in Week 4 (the class schedule is to be confirmed yet). The test will be scheduled during the lecture time. The grades will be returned in Week 5;
• Solutions will be posted on Wattle when the grades are returned to students;
• Further details of the test structure will be provided via Wattle announcement by the end of Week 2.

Assessment Task 2

Assignment

• This is the homework assignment. Students have at least three weeks to complete the assignment. The details will be provided by the end of Week 4.
• The assignment can be undertaken individually or in groups of a maximum of 3 students.
• The assignment must be submitted using Turnitin in Week 9 (the class schedule is to be confirmed yet). The grades will be returned in Week 11.
• The assignment is designed to improve students’ critical and analytical skills.
• Students are required to sign a declaration as part of the assignment submission. Students should keep a copy of the assignment for their records.
• The assignment is compulsory and counts towards 30% of students’ final grades for the course.
• Late submissions of assignments are not accepted. Students will receive a mark of zero for the assignment if submitted after the due date and time.

Assessment Task 3

Final examination

• The final exam will be held during the exam period, with details to be advised no later than teaching week 10 of the semester;
• The final exam is compulsory;
• The exam will be on campus and invigilated in person;
• The exam duration is 3 hours;
• The exam will comprise a mixture of theory and empirical questions relating to materials covered throughout the semester and will count toward 60% of students’ final course grades.

Academic Integrity

Academic integrity is a core part of the ANU culture as a community of scholars. The University’s students are an integral part of that community. The academic integrity principle commits all students to engage in academic work in ways that are consistent with, and actively support, academic integrity, and to uphold this commitment by behaving honestly, responsibly and ethically, and with respect and fairness, in scholarly practice.

The University expects all staff and students to be familiar with the academic integrity principle, the Academic Integrity Rule 2021, the Policy: Student Academic Integrity and Procedure: Student Academic Integrity, and to uphold high standards of academic integrity to ensure the quality and value of our qualifications.

The Academic Integrity Rule 2021 is a legal document that the University uses to promote academic integrity, and manage breaches of the academic integrity principle. The Policy and Procedure support the Rule by outlining overarching principles, responsibilities and processes. The Academic Integrity Rule 2021 commences on 1 December 2021 and applies to courses commencing on or after that date, as well as to research conduct occurring on or after that date. Prior to this, the Academic Misconduct Rule 2015 applies.

 

The University commits to assisting all students to understand how to engage in academic work in ways that are consistent with, and actively support academic integrity. All coursework students must complete the online Academic Integrity Module (Epigeum), and Higher Degree Research (HDR) students are required to complete research integrity training. The Academic Integrity website provides information about services available to assist students with their assignments, examinations and other learning activities, as well as understanding and upholding academic integrity.

Online Submission

Assignments may be submitted by just one member of the group, but must include a completed cover sheet clearly identifying all members of the group. Please keep a copy of the assignment for your records. Unless an exemption has been approved by the Associate Dean (Education) all submission must be through Turnitin.

Hardcopy Submission

There is no hardcopy submission in the course. If given exemption to submit in hard copy by the Associate Dean (Education), you will be required to submit your assignment report (and copies of all references included in the assignment report) in hard copy by the due date. All submitted hard copy assignments must include a completed cover sheet clearly identifying all members of your group. Please keep a copy of the assignment for your records.

Late Submission

Late submissions of assignments are not accepted. Students will receive a mark of zero for the assignment if it is submitted after the due date and time.

Referencing Requirements

The Academic Skills website has information to assist you with your writing and assessments. The website includes information about Academic Integrity including referencing requirements for different disciplines. There is also information on Plagiarism and different ways to use source material.

Returning Assignments

The graded assignments will be returned to students in Week 11.

Extensions and Penalties

Extensions and late submission of assessment pieces are covered by the Student Assessment (Coursework) Policy and Procedure. Extensions may be granted for assessment pieces that are not examinations or take-home examinations. If you need an extension, you must request an extension in writing on or before the due date. If you have documented and appropriate medical evidence that demonstrates you were not able to request an extension on or before the due date, you may be able to request it after the due date.

Resubmission of Assignments

No resubmission of assignments is permitted.

Privacy Notice

The ANU has made a number of third party, online, databases available for students to use. Use of each online database is conditional on student end users first agreeing to the database licensor’s terms of service and/or privacy policy. Students should read these carefully. In some cases student end users will be required to register an account with the database licensor and submit personal information, including their: first name; last name; ANU email address; and other information.
In cases where student end users are asked to submit ‘content’ to a database, such as an assignment or short answers, the database licensor may only use the student’s ‘content’ in accordance with the terms of service – including any (copyright) licence the student grants to the database licensor. Any personal information or content a student submits may be stored by the licensor, potentially offshore, and will be used to process the database service in accordance with the licensors terms of service and/or privacy policy.
If any student chooses not to agree to the database licensor’s terms of service or privacy policy, the student will not be able to access and use the database. In these circumstances students should contact their lecturer to enquire about alternative arrangements that are available.

Distribution of grades policy

Academic Quality Assurance Committee monitors the performance of students, including attrition, further study and employment rates and grade distribution, and College reports on quality assurance processes for assessment activities, including alignment with national and international disciplinary and interdisciplinary standards, as well as qualification type learning outcomes.

Since first semester 1994, ANU uses a grading scale for all courses. This grading scale is used by all academic areas of the University.

Support for students

The University offers students support through several different services. You may contact the services listed below directly or seek advice from your Course Convener, Student Administrators, or your College and Course representatives (if applicable).

• ANU Health, safety & wellbeing for medical services, counselling, mental health and spiritual support
• ANU Access and inclusion for students with a disability or ongoing or chronic illness
• ANU Dean of Students for confidential, impartial advice and help to resolve problems between students and the academic or administrative areas of the University
• ANU Academic Skills and Learning Centre supports you make your own decisions about how you learn and manage your workload.
• ANU Counselling Centre promotes, supports and enhances mental health and wellbeing within the University student community.
• ANUSA supports and represents all ANU students