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TEACHING
FINE-703: Empirical Research in Finance
This course
covers a range of empirical studies of financial markets. The
primary emphasis is on the asset pricing literature. The topics
in this area include time-series return predictability, cross-sectional
market anomalies, tests of single- and multi-factor risk-return
models, consumption-based asset pricing. Other related areas,
such as fund performance evaluation, event studies, and behavioral
finance will be discussed as well. The course covers several
methodological aspects of empirical finance research such as
the concept of stochastic discount factor (SDF), GMM-based estimation
of parameters of asset pricing models, modern mean-variance
efficiency bounds, and some issues in long-run abnormal return
measurement and panel studies. Most of the asset pricing tests
will be performed in both unconditional and conditional settings.
FINE-660/480: Global Investment Management / Global Investments
This course familiarizes
students with major principles of international investments
and global asset allocation. It focuses on recent theoretical
and practical developments in modeling and predicting global
asset returns covering both unconditional and conditional approaches
in asset pricing. It also discusses main approaches to
stock selection, style investing, and special issues in international
investments such as indirect diversification and country and
industry effects in equity pricing.
FINE-665: Investment Strategies and Behavioral Finance
This course familiarizes
students with a range of investment strategies, performance
evaluation, and the role of investor behavior in financial markets.
It consists of three parts. First, it contrasts the efficient
market hypothesis with the anomalies observed in the time-series
and cross-section of asset returns and relates these anomalies
to potential investment strategies. The second part is
devoted to performance evaluation of professional investors
such as mutual fund and hedge fund managers. Finally,
it discusses various aspects of investor psychology, such as
cognitive and group behavior biases and analyzes their impact
on investors’ trading and performance.
FIN274-693A: International Finance I
This course gives a survey of international financial
markets and a comprehensive introduction to the foundations
of global finance including but not limited to spot and forward
exchange markets, international monetary system, currency and
interest rate risk management. Such topics as the European Monetary
Union and financial crises will also be discussed.
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