FINM8006 Advanced Investments
Lecture 1: Introduction
c
Dr. Qiaoqiao Zhu
Australian National University
Who am I
Qiaoqiao Zhu
Rm 3.61, CBE, 612-57293
[email protected]
Consultation Hours: Tentatively Wed 1-2, By Appointment.
Research:
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Information
FINM8006 Advanced Investments
Lecture 5: CAPM, Empirical Tests and Applications
c
Dr. Qiaoqiao Zhu
Australian National University
Review of last lecture
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Mean-variance optimization as a way to infer SDF bounds
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Estimation difficulty in applying MVO
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U
The logic of APT
Qiaoqiao Zhu
(adapted from Dimitris Papanikolaou)
1
Example
Suppose that we know that IBM and Dell are going to pay liquidating dividends in exactly one year, and this is the only payment that they will make
respectively. However, sizes o
FINM8006 Advanced Investments
Modeling Asset Prices and Investor Behavior
c
Dr. Qiaoqiao Zhu
Australian National University
Math requirements
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Matrix algebra
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Basic calculus: derivatives, unconstrained and constrained
maximization
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Basic statistics
In
FINM8006 Advanced Investments
Log-Linearization and Myopic Portfolio
c
Dr. Qiaoqiao Zhu
Australian National University
Lognormal Distribution
If X is lognormal distributed, i.e.
log (X ) N(, 2 )
then
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1
log Et Xt+1 = Et log Xt+1 + Vart (log Xt+1 ) = + 2
THE CALM BEFORE THE STORM
Ferhat Akbas Journal of Finance (Feb, 2016)
Presented by: Ameer Sultan Kayani
Introduction
The high volume return premium documents that unusually high (low) trading
volume, measured over a day or a week, predicts higher (lower)
FINM8006 Advanced Investments
Lecture 8: Cross-Sectional Return Predictability
c
Dr. Qiaoqiao Zhu
Australian National University
Growth with Earnings
and BM predictor
d/p is not the only variable that predict the return. Write earnings
as Xt and the book
FINM8006 Advanced Investments
Lecture 4: Mean Variance Optimization and CAPM
c
Dr. Qiaoqiao Zhu
Australian National University
Review of last lecture
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SDF can be derived from consumer/investor maximization or
state-space projections.
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Complete market a
FINM8006 Advanced Investments
Lecture 7: Return Predictability and EMH
c
Dr. Qiaoqiao Zhu
Australian National University
Explanation and Predictions
The models we developed so far have the form of
e
Ri,t
= i0 xt
e , and multifactor models has x = F , a v
FINM8006 Advanced Investments
Lecture 10: Performance Measure and Event Studies
c
Dr. Qiaoqiao Zhu
Australian National University
Part I: Event Studies
Abnormal Returns of Events
Weve seen market efficiency tests try to test for following in
time-series
We have linear SDF m = a bRM , and two pricing equations
1 = Et (mt+1 RM,t+1 )
(1a)
1 = Et (mt+1 Rf,t )
(1b)
From (1a) we have
1 = Et (mt+1 RM,t+1 )
= Et [(a bRM,t+1 )RM,t+1 ]
2
= Et [aRM,t+1 bRM,t+1
)]
2
= aEt (RM,t+1 ) bEt (RM,t+1
)
From (1b)
1 = Et (mt
FINM8006 Advanced Investments
Lecture 9: Intertemporal, Conditional CAPM and Investment
Implications of Predictability
c
Dr. Qiaoqiao Zhu
Australian National University
Review
Main empirical evidence weve studies so far
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Market efficiency is a joint hyp
FINM8006 Advanced Investments
Lecture 6: Factor Models and APT
c
Dr. Qiaoqiao Zhu
Australian National University
Part I: CAPM and Factor Models
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Whats the connection between SDF and CAPM?
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Is CAPM a unique characterization of SDF?
representation
Recal
FINM8006 Advanced Investments
MPS, Log-Linearization and Myopic Portfolio
c
Dr. Qiaoqiao Zhu
Australian National University
Mean Preserving Spread
Rothschild and Stiglitz (1970) introduced a clever way of thinking
about more risk in terms of changes to a
FINM8006 Advanced Investments
Lecture 3: Contingent Claims & Stochastic Discount Factor
c
Dr. Qiaoqiao Zhu
Australian National University
Review of last lecture
Last Lecture, we
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Introduced preference and utility
Introduced expected utility theory to
ABC Robotics Inc. that works in artificial intelligence (AI) industry is currently contemplating to
replace their existing manual robot (Robot M) with state-of-the-art automated controlled robot
(Robot A). Details of the respective robots are as under:
Ro
EARNINGS ANNOUNCEMENTS AND SYSTEMATIC RISK
Pavel Savor And Mungo Wilson
Journal of Finance, February 2016
Presented by: Ameer Sultan Kayani
The paper propose and test a risk-based explanation for
the announcement premium.
The idea is simple:
Earnings re
FINM8006 Advanced Investments
Lecture 2: Utility Theory and Asset Pricing Fundamentals
c
Dr. Qiaoqiao Zhu
Australian National University
If you go to a job interview and are presented with two job options
1. $50, 000 with probability
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2
and $100, 000 wi
THE JOURNAL OF FINANCE VOL. LXXI, NO. 1 FEBRUARY 2016
Looking for Someone to Blame: Delegation,
Cognitive Dissonance, and the Disposition Effect
TOM Y. CHANG, DAVID H. SOLOMON, and MARK M. WESTERFIELD
ABSTRACT
We analyze brokerage data and an experiment t