- Code IDEC8014
- Unit Value 6 units
- Offered by Crawford School of Public Policy
- ANU College ANU College of Asia and the Pacific
- Course subject International and Developmental Economics
- Areas of interest Economics
- Academic career PGRD
- AsPr Tatsuyoshi Okimoto
- Mode of delivery In Person
Second Semester 2019
See Future Offerings
The aim of this course is twofold. The first is to introduce modern finance theory. Topics covered include optimal asset allocation, capital asset pricing model, arbitrage pricing theory, efficient market hypothesis, and event study. The second is to study the econometric implications of the finance theory for asset returns and to review a variety of empirical applications.
The theoretical part of this course focuses mainly on the derivation and interpretation of the asset pricing models. The derivation can be very mathematical, so the course puts more emphasis on the interpretation so students can obtain the basic skills for using the models in practice. The empirical part of this course introduces the application of finance theories to real data then discusses econometric methodology to test these theories. In addition, students will be required to conduct several computer exercises for some of the empirical applications using the real data and econometric applications such as Excel and EViews.
Upon successful completion, students will have the knowledge and skills to:
- Demonstrate a working knowledge of concepts in finance
- Understand and critically engage in theory of modern finance
- Apply techniques required for asset pricing models to real data sets
- Demonstrate the required skills to interpret results of empirical analysis
- Assignments (10) [LO 1,2,3,4]
- Mid-term examination (40) [LO 1,2,4]
- Final examination (50) [LO 1,2,4]
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The course consists of 12 weeks of lectures (2 hours per week) including weekly computer lab/tutorial sessions.
Bodie, Z., Kane, A. and Marcus, A.J. (2013), Investments (10th ed.), McGraw Hill.
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- Unit value:
- 6 units
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