- Class Number 7598
- Term Code 3060
- Class Info
- Unit Value 6 units
- Mode of Delivery In Person
- Dr Alexander Vadilyev
- Dr Alexander Vadilyev
- Class Dates
- Class Start Date 27/07/2020
- Class End Date 30/10/2020
- Census Date 31/08/2020
- Last Date to Enrol 03/08/2020
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.
Upon successful completion, students will have the knowledge and skills to:
- Demonstrate an in-depth understanding of investment theories and practice;
- Derive classical asset pricing models and perform basic empirical tests of the models;
- Utilize asset pricing models for investment analysis, such as performance measurement, return predictability and event analysis;
- Analyse and explain limitations of these models in relation to real world investment situations; and
- Work in teams in solving complex problems relating to investment analysis.
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.
Examination Material or equipment
Non-programmable calculator, unannoted dictionary.
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.
Students will be given feedback in the following forms in this course:
- Verbal (common and individual) comments on the assessment of online test and homework assignment are to be provided remotely (online) during office hours.
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.
As a further academic integrity control, students may be selected for a 15 minute individual oral examination of their written assessment submissions. Any student identified, either during the current semester or in retrospect, as having used ghost writing services will be investigated under the University’s Academic Misconduct Rule.
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.
Students should contact the lecturer via email at email@example.com.
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
|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)|
|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)|
There is a tutorial class for the whole class, registration is not required.
|Assessment task||Value||Due Date||Return of assessment||Learning Outcomes|
|Final examination||65 %||*||*||1,2,3,4|
* If the Due Date and Return of Assessment date are blank, see the Assessment Tab for specific Assessment Task details
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:
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 Integrity . 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.
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
Learning Outcomes: 1,2,3,4
- The online test will be a closed-book test, with no formula sheet provided. Students will sit the test remotely. The test will be 30 minutes in length (plus additional 10 minutes to submit the solution). The test is compulsory.
- 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 grade.
- The Wattle-based Test will be held in Week 4 (20 August). The results will be aimed to return on 27 August.
- Further details of the test structure will be provided via the Wattle announcement by the end of Week 3.
Assessment Task 2
Learning Outcomes: 1,3,4,5
- 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. Further details of the report requirements and structure will be provided in the on-line recordings.
- The assignment can be undertaken individually or in groups of a maximum of 3 students. Students have to form their groups or undertake the assignment individually.
- The assignment comprises of two parts: (i) empirical (replication) analysis and (ii) writing of a critique (referee) report on an assigned academic paper.
- Some parts of the assignment require statistical (Stata or R) programming.
- The Assignment will be submitted into Turnitin by 08 October and the results will be returned by 22 October.
- A complete report, as well as appendices such as programming codes, needs to be submitted. These assignments are designed to improve students’ problem-solving and critical (analytical) skills and develop their ability to apply knowledge in a real-world context.
- Usage of statistical software Stata or R is required. Students are not required to purchase the Stata package (R is free software package). STATA/R crash course (main commands and manual) will be provided. Each student is assumed to have access to a personal computer.
- Assignments are submitted using Turnitin in the course Wattle site. 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.
- The assignment is compulsory and counts towards 25% 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 it is submitted after the due date and time.
- All students must adhere to the required social distancing requirements, e.g., using Zoom or Skype meetings, etc.
Assessment Task 3
Learning Outcomes: 1,2,3,4
- The final exam will be a closed-book test, with no formula sheet provided. The exam will be 3 hours in length, with an additional 15 minutes of reading time. The final exam is compulsory;
- The exam will comprise a mixture of theory and practical questions relating to materials covered throughout the semester and will count towards 65% of students’ final course grade;
- The final examination will be held in the exam period with details to be advised no later than teaching week 10 of the semester.
- If the lecturer chooses to use Proctorio invigilation for the exam, students will be provided an opportunity to use the practice site for Proctorio prior to the exam.
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.
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.
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 a completed cover sheet clearly identifying all members of your group. Please keep a copy of the assignment for your records.
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.
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.
The graded assignments will be returned to students on 22 October.
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.
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
International finance, corporate finance
Dr Alexander Vadilyev