Investment analysis

Academic year: 2007-2008 Course code module FTEMAJ0019 Semester: 1st semester Credits: 6 Study load (hours) 168 Theory (hours): 45,00 Practice/Exercises(hours): Other (hours): Part-time program: Instructor(s) Jan Annaert Language of instruction: English Semester exam information: semester exam in January Contract restriction information: 1. Prerequisites *Algemene competenties time value of money descriptive statistics normal distribution hypothesis tests on the mean linear regression Excel *Sequentiality 2. Objectives (expected learning outcomes) building investment portfolios pricing financial assets evaluating investment performance recognize the practical implications of academic research obtain a general overview of the empirical literature write academic reports use financial functions in Excel obtain a critical attitude w.r.t. marketing campaigns by new financial products 3. Course content In this course, an overview is given of the different techniques that can help the investor to compose their investment portfolio, to analyse potential investment assets and to evaluate ex post their investment decisions (or those of others). In teaching these concepts, the perspective of the institutional investor is taken (e.g. insurance company, investment company, mutual fund). We divide the investment process into three steps: “Asset allocation” step: how are long term investment goals formulated and how do they lead to a subdivision of the portfolio into the large asset categories (e.g. equity, bonds, cash). In this step, the macro-economic context is predominantly present. “Security selection” step: given the asset allocation decision, how do we fill in these categories withn individual assets: which bonds do we buy, from which companies do we buy stocks,… ? It goes without saying that to answer these questions, we need some techniques and concepts to be able to value bonds and stocks. Also options and futures need to be understood as they offer additional investment opportunities or hedging possibilities. Evaluation step: after having constructed an investment portfolio, it is equally important to regularly evaluate to what extent these decisions a) conform to the investment goals; and b) yield the desired results. The techniques to answer these questions are dealt with in this part of the course. 4. Teaching method Direct contact: Lectures Personal work: Assignments - in group 5. Assessment method Exam: Written, without oral presentation Closed book Open questions Practical exam Continuous assessment: Assignments Written assignment: Without oral presentation 6. Compulsory reading – study material Bodie, Kane & Marcus (2008), Investments, Homewood, Irwin (7th edition). Additional reading materials on Blackboard 7. Recommended reading - study material Broquet, C., R. Cobbaut, R. Gillet en A. van den Berg, Gestion de portefeuille. Actions, obligations, options, 3ième édition, 1997, De Boeck-Wesmael. Campbell, J.Y., A.W. Lo, en A.C. MacKinlay, The Econometrics of Financial Markets, 1997, Princeton University Press. Elton, E.J., M.J. Gruber, S.J. Brown, & W.N. Goetzmann, 2007. Modern Portfolio Theory and Investment Analysis (John Wiley & Sons, New York), 7th edition. Fabozzi, F.J., Bond Markets, Analysis and Strategies, 5th edition, Prentice-Hall International, 2004. Hull, J., 2006. Options, Futures, and Other Derivatives (Prentice Hall, Upper Saddle River), 6th edition. Jarrow, R.A., V. Maksimovic en W.T. Ziemba (red.), Finance, Handbooks in Operations Research and Management Science, Vol. 9, 1995, Elsevier North-Holland Sharpe, W.F., G.J. Alexander en J.V. Bailey, Investments, 6th edition, 1999, Prentice-Hall. Solnik, B. en McLeavey, International Investments, 5th edition, 2003, Addison-Wesley. Van Horne, J.C., Financial Market Rates and Flows, 5th edition, 1998, Prentice Hall. 8. Tutoring tba laatste aanpassing: last update: 19/09/2007 10:22 jan.annaert