• Offered by Rsch Sch of Finance, Actuarial Studies & App Stats
  • ANU College ANU College of Business and Economics
  • Course subject Financial Management
  • Areas of interest Finance
  • Academic career PGRD
  • Course convener
    • Prof Antje Berndt
  • Mode of delivery In Person
  • Offered in Second Semester 2021
    See Future Offerings

This course develops modern asset pricing theory and provides students with an in-depth knowledge of asset pricing models. It explains how to use discrete-time and continuous-time models. We preview the classic issues in finance and think about asset pricing in a simple economic equilibrium. We study contingent claims and learn how to value them using discount factors. We explore the mean-variance frontier and beta representations, and study the classic linear models such as CAPM, ICAPM and APT. We value options and bonds, learn about portfolio theory and explore the intersection of asset pricing and macro-economics. In-class learning is augmented with tailored homework assignments, the reading, presentation and discussion of related frontier research, and a hands-on, research-focused final project that prepares students for independent future work. 

Learning Outcomes

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

  1. Discuss the main theoretical concepts and empirical methods of modern asset pricing;
  2. Critically review previous literature in asset pricing;
  3. Derive testable hypotheses in asset pricing and methods to test them; and,
  4. Communicate in detail various topics of modern asset pricing to a diverse audience.

Indicative Assessment

  1. Typical assessment may include, but is not restricted to: assignments, presentations and other assessment as appropriate (100) [LO 1,2,3,4]

The ANU uses 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. While the use of Turnitin is not mandatory, the ANU highly recommends Turnitin is used by both teaching staff and students. For additional information regarding Turnitin please visit the ANU Online website.

Workload

Students are expected to commit 130 hours of work in completing this course. This includes time spent in scheduled classes and self-directed study time

Inherent Requirements

Not applicable

Requisite and Incompatibility

To be eligible to enroll in the course, students must be enrolled in an RSFAS or RSE PhD program and have successfully completed undergraduate studies in Investments or its equivalent at a recognized academic institution. Masters students in Finance with a GPA of 6.5 who have completed FINM7008, FINM7007 and FINM7041 may also apply to enroll in the course. This course will be a departmental consent enrollment course.

You will need to contact the Rsch Sch of Finance, Actuarial Studies & App Stats to request a permission code to enrol in this course.

Prescribed Texts

Information about the prescribed textbook will be available via the Class Summary

Assumed Knowledge

Students will require a solid background in finance, econometrics and macro-economics.

Fees

Tuition fees are for the academic year indicated at the top of the page.  

If you are a domestic graduate coursework or international student you will be required to pay tuition fees. Tuition fees are indexed annually. Further information for domestic and international students about tuition and other fees can be found at Fees.

Student Contribution Band:
3
Unit value:
6 units

If you are an undergraduate student and have been offered a Commonwealth supported place, your fees are set by the Australian Government for each course. At ANU 1 EFTSL is 48 units (normally 8 x 6-unit courses). You can find your student contribution amount for each course at Fees.  Where there is a unit range displayed for this course, not all unit options below may be available.

Units EFTSL
6.00 0.12500
Note: Please note that fee information is for current year only.

Offerings, Dates and Class Summary Links

The list of offerings for future years is indicative only.
Class summaries, if available, can be accessed by clicking on the View link for the relevant class number.

Second Semester

Class number Class start date Last day to enrol Census date Class end date Mode Of Delivery Class Summary
5978 26 Jul 2021 02 Aug 2021 31 Aug 2021 29 Oct 2021 In Person N/A

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