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.
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FINE-482: International Finance

 

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, and international diversification. Such topics as global market integration and financial crises will also be discussed.
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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.
[Examples of MBA student projects: P1, P2, P3, P4, P5, P6]
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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.
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