- 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 aim of this course introduces the modern finance theory. Topics covered include the optimal asset allocation, capital asset pricing model, arbitrage pricing theory, efficient market hypothesis, and option pricing. The second aim of this course studies econometric implications of the finance theory for asset returns and reviews a variety of empirical applications.
The theoretical part of the course mostly focuses on the derivation and interpretation of the asset pricing models. The derivation can be very mathematical and the course puts more emphasis on the interpretation, so that students can obtain basic skills to use those asset pricing models in practice.
The empirical part of the course introduces the application of finance theory to the real data, and econometric methodology to test the finance theory. In addition, students will be required to conduct several computer exercises for some of the empirical applications using the real data and econometric softwares such as Excel and Eviews.
Upon successful completion, students will have the knowledge and skills to:
1. a knowledge of basic concept in finance
2. an understanding of modern finance theory
3. technique required to apply asset pricing models to real data
4. skills to interpret the results of empirical analysis
Assignments (20%, 4-6 times)
Mid-term examination (30%, 2 hours)
Final examination (50%, 2 hours)
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The course consists of 12 weeks of lectures (3 hours per week) including almost weekly computer lab sessions.
Bodie, Z., Kane, A. and Marcus, A.J. (2013), Investments (10th ed.), McGraw Hill.
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- 6 units
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