Lecture 09
Dividend & Stock Repurchases
$ Billions
U.S. Data 1980 - 2003
The Declining Use of Dividends
This figure shows the percentage of U.S. firms each year that made payouts to
shareholders. The
9
Factor Models
The main message of the CAPM is that the cross-sectional returns of assets can be solely
explained by the betas. That is, if we know the betas, we can describe the cross-sectional
retu
7
Linear Time Series Analysis: Part II
7.1
The Moving-Average Models
Another set of simple models frequently used in financial econometrics is the moving-average
(MA) models. We may model the return r
10
Multivariate Time Series Analysis
10.1
Introduction
In this section we look at modeling multiple time series together. This helps us to understand
the dependence structure among different assets an
12
Time-Varying Volatility
Volatility is the standard deviation of (log) returns of a financial asset. Volatility of financial
assets is usually time varying, meaning that it is subject to large chang
11
Cointegration and the Error Correction Models
When we model multiple time series simultaneously, we may encounter the situation that
more than one component series are non-stationary, and they coul
6
Linear Time Series Analysis: Part I
6.1
Introduction
Studies have suggested that many financial return series are serially correlated. In this
chapter, we look at a simple class of models that takes
Financial Econometrics
Bo Hu
Center for New Structural Economics, Peking University. Email: [email protected]
1
1
Introduction
1.1
Financial Econometrics
Financial Econometrics is the study of finan
3
Mathematical Foundations: Part II
3.1
Densities
In this section we go back to the Riemann integrals to define densities since the definition of
densities for Lebesgue integrals involves the so calle
5
The Predictability of Asset Returns: Part II
5.1
Using Overlapping Differences
In this section we further modify our test to use overlapping q-th differences of Pt to estimate
the variance 2 on the
4
The Predictability of Asset Returns: Part I
4.1
The Efficient Market Hypothesis (EMH)
Asset price predictability is perhaps the earliest and most discussed topic in financial econometrics. This topi
8
The Capital Asset Pricing Model
Although born in the 1960s, the Capital Asset Pricing Model (CAPM) has been widely used
for decades in many aspects in finance, such as estimating the cost of capital
National School of Development
Financial Econometrics
Assignment 1
Bi Quanzhi
1500011362
October 8, 2017
Assignment 1
Bi Quanzhi 1500011362
October 8, 2017
Problem 1
Let the simple net return on an as
Lecture 8
Efficient Market II:
CAPM and Capital Budgeting
11- 2
Topics Covered
Measuring Market Risk
Beta
Return and Beta
CAPM
Portfolio beta and CML
Capital Budgeting and Project Risk
Extension of CA
Lecture 10
Financing Decision
Types of Securities
Equity
Common
stock
Preferred stock
Debt
Bank
loans
Commercial paper
Debentures
Guaranteed notes
Euro notes
Warrant, Convertible Bond, C
2- 1
Lecture 2
Financial Markets
and Institutions
2- 2
Topics Covered
Why Does Market Exist?
Functions of Financial Markets
The Introduction of Financial Markets
The Flow of Savings to Corporations
(D
Lecture 05
Investment Decision I
- Various Criteria
/
Capital Budgeting Process
p
g
g
Capital Budget The list of planned investment
Budgetprojects.
The Decision Process
1 - Develop and rank all
Lecture 06
Investment Decision II
- under Uncertainty
Topics Covered
p
Decision under Uncertainty
Sensitivity Analysis
Scenario Analysis
Simulation Analysis
Break Even Analysis
Real Options and the Va
Corporate Finance
Instructor: Yi-Tsung Lee
Peking University
1-1
My information
Office: Room 336, Guanghua New Building
Office hour
Tel: 62755742
Email [email protected]
([email protected])
(lius
Lecture 1
The Corporation and
The Financial Manager
1- 2
Topics Covered
The Role of the Financial Manager
What is a Corporation?
Who is the Financial Manager?
Careers in Finance
Goals of the Corporati
Practice Problems (2)
1.You want to buy a new sports coupe for $43,950, and the finance office at
the dealership has quoted you a 14.3 percent APR (Annual Percentage Rate)
loan for 60 months to buy th
4Years(weekly)
4Years(monthly)
1.203667319
1.2630645014
From the above table, we could see beta could be different from weekly to
monthly(frequency), or the length of the year(length). The riskiness
Market definition: Marketing is the process by which companies create value for customers and society, resulting in strong
customer relationships that capture value from the customers in return.
Marke
2
Mathematical Foundations: Part I
2.1
Probabilistic Model
We first consider an experiment of which there are n possible outcomes, 1 , 2 , . . . , n . We
call 1 , 2 , . . . , n sample points, and the