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. Demonstrate an in-depth understanding of investment theories and practice;
2. Derive classical asset pricing models and perform basic 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; and
5. Work in teams in solving complex problems relating to investment analysis.

Research-Led Teaching

Text book 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

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

Staff Feedback

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

• verbal and written feedbacks for assignments

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). The feedback given in these surveys is anonymous and provides the Colleges, University Education Committee and Academic Board with opportunities to recognise excellent teaching, and opportunities for improvement. The Surveys and Evaluation website provides more information on student surveys at ANU and reports on the feedback provided on ANU courses.

Class Schedule

Week/Session	Summary of Activities	Assessment
1	Intro: Risk, Return, and Portfolios
2	Expected Utility and Portfolio Choices
3	Contingent Claims and SDF
4	Mean Variance Optimization	Quiz
5	CAPM
6	APT and Factor Models	Assignment 1
7	Return Predictability and EMH
8	Cross Sectional Predictability
9	Changing risk & Conditional CAPM	Assignment 2
10	Sentiment and Short constraints
11	Behavioral Finance
12	Review

Tutorial Registration

There is a tutorial class for the whole class, registration is not required.

Assessment Summary

Assessment task	Value	Due Date	Return of assessment	Learning Outcomes
Quiz	10 %	17/03/2020	31/03/2020	1,2,3,4,5
Assignment 1	20 %	14/04/2020	30/04/2020	1,2,3,4,5
Assignment 2	20 %	01/05/2020	15/05/2020	1,2,3,4,5
Examination	50 %	*	*	1,2,3,4,5

* 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 Misconduct Rule before the commencement of their course. Other key policies and guidelines include:

• Student Assessment (Coursework) Policy and Procedure
• Special Assessment Consideration Policy and General Information 
• Student Surveys and Evaluations
• Deferred Examinations
• Student Complaint Resolution Policy and Procedure

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 ANU Online 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.

Examination(s)

There is a final exam to be scheduled during the exam period (exact date TBA).  The exam covers all topics and will be 3 hours in length, with an additional 15 minutes of reading time.

Assessment Task 1

Quiz

Quiz is to be undertake online on Wattle. It composes of multiple choices and short answer questions. The Quiz will be open in the first 30 minutes of the workshop session. Students have 30 minutes to complete the quiz after first opening it. Feedback will be given online after finish.

Assessment Task 2

Assignment 1

This is the first of two take home assignments. Students have at least one week to complete the assignment. Some assignments need statistical programming. A complete report as well as appendices such as programming codes needs to be submitted through Wattle links. The submission must be before the Close of Business on the due date. These assignments are designed to improve students’ problem solving skills and develop their ability to apply knowledge in real-world context. 

Assessment Task 3

Assignment 2

This is the second of two take home assignments. Students have at least one week to complete the assignment. Some assignments need statistical programming. A complete report as well as appendices such as programming codes needs to be submitted through Wattle links. The submission must be before the Close of Business on the due date. These assignments are designed to improve students’ problem solving skills and develop their ability to apply knowledge in real-world context.

Assessment Task 4

Examination

There is a final exam to be scheduled during the exam period (exact date TBA).  Sample questions of the final will be provided. The exam covers all topics and will be 3 hours in length, with an additional 15 minutes of reading time. Calculator, dictionary, and a A-4 double-sized page of notes created by the student is allowed for the exam.

Academic Integrity

Academic integrity is a core part of the ANU culture as a community of scholars. At its heart, academic integrity is about behaving ethically, committing to honest and responsible scholarly practice and upholding these values with respect and fairness.

The ANU commits to assisting all members of our community to understand how to engage in academic work in ways that are consistent with, and actively support academic integrity. The ANU expects staff and students to be familiar with the academic integrity principle and Academic Misconduct Rule, uphold high standards of academic integrity and act ethically and honestly, to ensure the quality and value of the qualification that you will graduate with.

The Academic Misconduct Rule is in place to promote academic integrity and manage academic misconduct. Very minor breaches of the academic integrity principle may result in a reduction of marks of up to 10% of the total marks available for the assessment. The ANU offers a number of online and in person services to assist students with their assignments, examinations, and other learning activities. Visit the Academic Skills website for more information about academic integrity, your responsibilities and for assistance with your assignments, writing skills and study.

Online Submission

You will be required to electronically sign a declaration as part of the submission of your assignment. Please keep a copy of the assignment for your records. Unless an exemption has been approved by the Associate Dean (Education) submission must be through Turnitin.

Hardcopy Submission

For some forms of assessment (hand written assignments, art works, laboratory notes, etc.) hard copy submission is appropriate when approved by the Associate Dean (Education). Hard copy submissions must utilise the Assignment Cover Sheet. Please keep a copy of tasks completed for your records.

Late Submission

Late submission not permitted. If submission of assessment tasks without an extension after the due date is not permitted, a mark of 0 will be awarded.

Referencing Requirements

Accepted academic practice for referencing sources that you use in presentations can be found via the links on the Wattle site, under the file named “ANU and College Policies, Program Information, Student Support Services and Assessment”. Alternatively, you can seek help through the Students Learning Development website.

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.

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 Diversity 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 undergraduate and ANU College students
• PARSA supports and represents postgraduate and research students