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School: UChicago
Course: Corporate Fin
Rates of Return Measuring ExPost (Past) Returns One period investment: regardless of the length of the period. Holding period return (HPR): HPR = (PS+ CF- PB)/PB where PS = Sale price (or P1) PB = Buy price ($you put up) (or P0) CF = Cash flow during hold
School: UChicago
Course: Corporate Fin
The University of Illinois at Chicago ECON346 Econometrics Spring 2011 Instructor Email Phone Office : Jin Man Lee, Nipen Wosti : jmlee@uic.edu, nwosti2@uic.edu : (312)-413-9444 (Do not leave message since we are sharing the number with others) : 705 UH E
School: UChicago
Course: Corporate Fin
Primary vs. Secondary Market Security Sales Primary: New issue is created and sold. Key factor: issuer receives the proceeds from the sale. Public offerings: registered with the SEC and sale is made to the investing public. Private offerings: not register
School: UChicago
Course: Corporate Fin
Investment: 1. Expect of deriving greater resources in the future. 2 Time and risk components in investment. (financial assets &financial markets)Players .)- Investment process: topdown vs. bottom up Principle: risk return tradeoff. ESSENTIAL NATURE OF IN
School: UChicago
Course: Corporate Fin
Option Terminology listed call option A contract giving the holder the right to buy 100 shares of stock at a preset price (exercise or strike price) on or before a preset date. Expirations of 1,2,3,6,& 9 months and sometimes 1 year are normal contract per
School: UChicago
Course: Corporate Fin
21. On a standard expected return vs standard deviation graph investors will prefer portfolios that lie to the A. Northeast 22. The variance of a portfolio of risky securities is C. The weighted sum of the securities' covariances 23. The measure of risk u
School: UChicago
Course: Corporate Fin
Rates of Return Measuring ExPost (Past) Returns One period investment: regardless of the length of the period. Holding period return (HPR): HPR = (PS+ CF- PB)/PB where PS = Sale price (or P1) PB = Buy price ($you put up) (or P0) CF = Cash flow during hold
School: UChicago
Course: Corporate Fin
The University of Illinois at Chicago ECON346 Econometrics Spring 2011 Instructor Email Phone Office : Jin Man Lee, Nipen Wosti : jmlee@uic.edu, nwosti2@uic.edu : (312)-413-9444 (Do not leave message since we are sharing the number with others) : 705 UH E
School: UChicago
Course: Corporate Fin
Primary vs. Secondary Market Security Sales Primary: New issue is created and sold. Key factor: issuer receives the proceeds from the sale. Public offerings: registered with the SEC and sale is made to the investing public. Private offerings: not register
School: UChicago
Course: Corporate Fin
Investment: 1. Expect of deriving greater resources in the future. 2 Time and risk components in investment. (financial assets &financial markets)Players .)- Investment process: topdown vs. bottom up Principle: risk return tradeoff. ESSENTIAL NATURE OF IN
School: UChicago
Course: Corporate Fin
Option Terminology listed call option A contract giving the holder the right to buy 100 shares of stock at a preset price (exercise or strike price) on or before a preset date. Expirations of 1,2,3,6,& 9 months and sometimes 1 year are normal contract per
School: UChicago
Course: Corporate Fin
21. On a standard expected return vs standard deviation graph investors will prefer portfolios that lie to the A. Northeast 22. The variance of a portfolio of risky securities is C. The weighted sum of the securities' covariances 23. The measure of risk u
School: UChicago
Course: Corporate Fin
Rates of Return Measuring ExPost (Past) Returns One period investment: regardless of the length of the period. Holding period return (HPR): HPR = (PS+ CF- PB)/PB where PS = Sale price (or P1) PB = Buy price ($you put up) (or P0) CF = Cash flow during hold
School: UChicago
Course: Corporate Fin
The University of Illinois at Chicago ECON346 Econometrics Spring 2011 Instructor Email Phone Office : Jin Man Lee, Nipen Wosti : jmlee@uic.edu, nwosti2@uic.edu : (312)-413-9444 (Do not leave message since we are sharing the number with others) : 705 UH E
School: UChicago
Course: Corporate Fin
Primary vs. Secondary Market Security Sales Primary: New issue is created and sold. Key factor: issuer receives the proceeds from the sale. Public offerings: registered with the SEC and sale is made to the investing public. Private offerings: not register
School: UChicago
Course: Corporate Fin
Investment: 1. Expect of deriving greater resources in the future. 2 Time and risk components in investment. (financial assets &financial markets)Players .)- Investment process: topdown vs. bottom up Principle: risk return tradeoff. ESSENTIAL NATURE OF IN
School: UChicago
Course: Corporate Fin
Option Terminology listed call option A contract giving the holder the right to buy 100 shares of stock at a preset price (exercise or strike price) on or before a preset date. Expirations of 1,2,3,6,& 9 months and sometimes 1 year are normal contract per
School: UChicago
Course: Corporate Fin
21. On a standard expected return vs standard deviation graph investors will prefer portfolios that lie to the A. Northeast 22. The variance of a portfolio of risky securities is C. The weighted sum of the securities' covariances 23. The measure of risk u
School: UChicago
Course: Corporate Fin
22. The variance of a portfolio of risky securities is _. A. The sum of the securities' covariances B. The sum of the securities' variances C. The weighted sum of the securities' covariances D. The weighted sum of the securities' variances 23. The measure
School: UChicago
Course: Corporate Fin
Chapter 08 - The Efficient Market Hypothesis CHAPTER EIGHT THE EFFICIENT MARKET HYPOTHESIS CHAPTER OVERVIEW This chapter examines the concept of market efficiency. We are asking whether securities are on average fairly priced according to the benefits the
School: UChicago
Course: Corporate Fin
ECON346 (Econometrics) Week13-14 Page 1 Serial Correlation (autocorrelation) Serial correlation is usually associated with time series data, but can occur in crosssectional data also, in which case it is called spatial correlation (correlation in space ra
School: UChicago
Course: Corporate Fin
ECON346 (Econometrics) Week11-12-1 Heteroskedasticity Under the classical assumption the OLS error has Homoskedasticity, which implies constant variance: Var( i ) = 2 Residuals with constant variance Ut 2.5 2 1.5 1 0.5 0 -0.5 0 -1 -1.5 -2 -2.5 -3 0.5 1 1.
School: UChicago
Course: Corporate Fin
1. Constant: Include it but don't rely on it. No constant can violate assumption that error terms have zero mean, so leave it in even if it is not significant. Don't rely on constant for analysis or inference because: contains mean effects of marginal var
School: UChicago
Course: Corporate Fin
I. Some Special Independent Variables 1.Dummy variables Some concepts might seem impossible to include in an equation because they are not quantitative like a gender variable. 1) Intercept Dummy a. Examples: seasonal effects, male/female, brands b. Interp
School: UChicago
Course: Corporate Fin
Year 1970 1971 1972 1973 1974 1975 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 Saving 61 68.6 63.6 89.6 97.6 104.4 96.4 92.5 112.6 130.1 161.8 199.1 205.5 167 235.7 206.2 196.5 168.4 189.1 187.8 208.
School: UChicago
Course: Corporate Fin
Random Variable : a variable whose value is determined by the outcome of an experiment. Probability A probability distribution function (PDF) P[Xi] for a discrete random variable X assigns probabilities to the possible values X1, X2Xn. It shows how the pr
School: UChicago
Course: Corporate Fin
SUMMARY OUTPUT Regression Statistics Multiple R 0.85 R Square 0.72 Adjusted R Square .71 0 Standard Error 12.32 Observations 51 ANOVA df Regression Residual Total SS MS 1 18805.57 18805.57 49 7434.28 151.72 50 26239.85 F Significance F 123.95 0 Coefficien
School: UChicago
Course: Corporate Fin
Econ 346 Lab #7 Regression Using SAS: Heteroskedasticity Apr 19th, 2011 Agenda Goals for todays lab session Use SAS to study the petroleum example in Studenmund's textbook This is an in-lab assignment! Get the SAS code and data from http:/tigger.uic.edu
School: UChicago
Course: Corporate Fin
ECON 346 Econometrics Lab 7: Introduction to SAS We will use SAS to study the petroleum example in Studenmunds textbook. You can get the SAS code from following class website. http:/tigger.uic.edu/~jmlee/econ346/data/GAS1.sas.txt (Please be careful the ca
School: UChicago
Course: Corporate Fin
Summary of Different Functional Forms Functional Form Y = 0 + 1X lnY = 0 + 1lnX Y = 0 + 1lnX lnY = 0 + 1X Economic Meaning As X increases 1 unit, As X increases 1 %, As X increases 1 %, As X increases 1 unit, Y increases/decreases Y increases/decreases Y
School: UChicago
Course: Corporate Fin
ECON346 (Econometrics), Spring 2011 LAB 3: OLS Exercise Suggested Solution Name : _ UIN :_ Suppose youve been hired to determine the best location for the next restaurant, where it charges moderately prices and operates 24 hour. You gathered gross sales (
School: UChicago
Course: Corporate Fin
ECON 346 Final Review Jin Man Lee Click to edit Master subtitle style 5/12/11 ECON346 5/12/11 ECON346 OLS Classical Assumptions The regression model is linear in the coefficients, is correctly specified, and has additive error term. The error term has a z
School: UChicago
Course: Corporate Fin
ECON 346 Final Review Jin Man Lee Click to edit Master subtitle style 5/12/11 ECON346 Xi = N 2 = (Xi ) N 2 Yi = 0 + 1 X i + i 2 = N 2 i Yi = 0 + 1X i + ei s2 = n k 1 X= X i 2 ( X i X ) 2 s= n n 1 e 2 i Yi = 0 + 1 X 1i + 2 X 2i + . + k X ki + i 2 2 = i
School: UChicago
Course: Corporate Fin
FIN310: Investments Spring 2010-2011 Syllabus, Course Policies & Schedule W EB PAGE : I NSTRUCTOR : UIC blackboard Lan Zhang lanzhang@uic.edu Tuesdays at UH2430. Xiaowei Gong xgong1@uic.edu T/TH. BSB 337 Essentials of Investments, Bodie, Kane, Marcus, 8 e
School: UChicago
Course: Corporate Fin
Chapter 10 Bond Prices and Yields 10.1 Bond Characteris6cs U.S. Credit Market Instruments O/S 2008 Q3 U.S. Equity Market (Common) U.S. Credit Market Debt $19,648 B illion $51,796 Debt by Selected Major Borro
School: UChicago
Course: Corporate Fin
Chapter9 Behavioral Finance and Technical Analysis 9.1TheBehavioralCri2que Behavioralismbias Mo2va2on Stockpricesinthe1990sdidnotappearto matchfundamentals, e.g.,highpriceearningsra2os Evidenceofrefusaltoselllosers Economicsdisciplineisexploringbehaviora
School: UChicago
Course: Corporate Fin
Chapter8 TheEcientMarketHypothesis 8.1RandomWalksandTheEcient MarketHypothesis EcientMarketHypothesis(EMH) ThehypothesisthatpricesofsecuriAesfully reectavailableinformaAonaboutsecuriAes. EMH suggest stock prices should not be predictable. CumulaAveabnor
School: UChicago
Course: Corporate Fin
Chapter7 Capital Asset Pricing and Arbitrage Pricing Theory 7.1TheCapitalAssetPricingModel CapitalAssetPricingModel(CAPM) Equilibriummodelthatpredictstherela3onship betweenriskandexpectedreturnsonrisky assets.CAPMunderliesallmodernnancial theory Derivedu
School: UChicago
Course: Corporate Fin
Chapter 7 Capital Asset Pricing and Arbitrage Pricing Theory 7.1 The Capital Asset Pricing Model Capital Asset Pricing Model (CAPM) Equilibrium model that predicts the rela3onship between risk and expected returns on risky as
School: UChicago
Course: Corporate Fin
Chapters6 EcientDiversica3onandOp3mal Por:olio Diversica3onandPor:olioRisk Marketrisk Systema3cornondiversiablerisk Largelymacroeconomicfactors,suchasbusiness cycle,ina3onrate,interestrate Firmspecicrisk Diversiable,nonsystema3c,orresidualrisk Subjec
School: UChicago
Course: Corporate Fin
Chapter 5 Risk & Return 5.1 Rates of Return Measuring ExPost (Past) Returns Oneperiod investment: regardless of the length of the period. Holding period return (HPR): HPR = (PS+ CFPB)/PB where PS = Sale
School: UChicago
Course: Corporate Fin
Chapter4 MutualFundandOtherInvestment Companies 4.1InvestmentCompanies Func:onsofInvestmentCompanies a.Administra:on&recordkeeping Periodicreportonperformance,capitalgain, dividendetc b.Diversica:on&divisibility c.Professionalmanagement Researchanalysis
School: UChicago
Course: Corporate Fin
Rates of Return Measuring ExPost (Past) Returns One period investment: regardless of the length of the period. Holding period return (HPR): HPR = (PS+ CF- PB)/PB where PS = Sale price (or P1) PB = Buy price ($you put up) (or P0) CF = Cash flow during hold
School: UChicago
Course: Corporate Fin
The University of Illinois at Chicago ECON346 Econometrics Spring 2011 Instructor Email Phone Office : Jin Man Lee, Nipen Wosti : jmlee@uic.edu, nwosti2@uic.edu : (312)-413-9444 (Do not leave message since we are sharing the number with others) : 705 UH E
School: UChicago
Course: Corporate Fin
Primary vs. Secondary Market Security Sales Primary: New issue is created and sold. Key factor: issuer receives the proceeds from the sale. Public offerings: registered with the SEC and sale is made to the investing public. Private offerings: not register
School: UChicago
Course: Corporate Fin
Investment: 1. Expect of deriving greater resources in the future. 2 Time and risk components in investment. (financial assets &financial markets)Players .)- Investment process: topdown vs. bottom up Principle: risk return tradeoff. ESSENTIAL NATURE OF IN
School: UChicago
Course: Corporate Fin
Option Terminology listed call option A contract giving the holder the right to buy 100 shares of stock at a preset price (exercise or strike price) on or before a preset date. Expirations of 1,2,3,6,& 9 months and sometimes 1 year are normal contract per
School: UChicago
Course: Corporate Fin
21. On a standard expected return vs standard deviation graph investors will prefer portfolios that lie to the A. Northeast 22. The variance of a portfolio of risky securities is C. The weighted sum of the securities' covariances 23. The measure of risk u
School: UChicago
Course: Corporate Fin
22. The variance of a portfolio of risky securities is _. A. The sum of the securities' covariances B. The sum of the securities' variances C. The weighted sum of the securities' covariances D. The weighted sum of the securities' variances 23. The measure
School: UChicago
Course: Corporate Fin
Chapter 08 - The Efficient Market Hypothesis CHAPTER EIGHT THE EFFICIENT MARKET HYPOTHESIS CHAPTER OVERVIEW This chapter examines the concept of market efficiency. We are asking whether securities are on average fairly priced according to the benefits the
School: UChicago
Course: Corporate Fin
ECON346 (Econometrics) Week13-14 Page 1 Serial Correlation (autocorrelation) Serial correlation is usually associated with time series data, but can occur in crosssectional data also, in which case it is called spatial correlation (correlation in space ra
School: UChicago
Course: Corporate Fin
ECON346 (Econometrics) Week11-12-1 Heteroskedasticity Under the classical assumption the OLS error has Homoskedasticity, which implies constant variance: Var( i ) = 2 Residuals with constant variance Ut 2.5 2 1.5 1 0.5 0 -0.5 0 -1 -1.5 -2 -2.5 -3 0.5 1 1.
School: UChicago
Course: Corporate Fin
1. Constant: Include it but don't rely on it. No constant can violate assumption that error terms have zero mean, so leave it in even if it is not significant. Don't rely on constant for analysis or inference because: contains mean effects of marginal var
School: UChicago
Course: Corporate Fin
I. Some Special Independent Variables 1.Dummy variables Some concepts might seem impossible to include in an equation because they are not quantitative like a gender variable. 1) Intercept Dummy a. Examples: seasonal effects, male/female, brands b. Interp
School: UChicago
Course: Corporate Fin
Year 1970 1971 1972 1973 1974 1975 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 1995 Saving 61 68.6 63.6 89.6 97.6 104.4 96.4 92.5 112.6 130.1 161.8 199.1 205.5 167 235.7 206.2 196.5 168.4 189.1 187.8 208.
School: UChicago
Course: Corporate Fin
Random Variable : a variable whose value is determined by the outcome of an experiment. Probability A probability distribution function (PDF) P[Xi] for a discrete random variable X assigns probabilities to the possible values X1, X2Xn. It shows how the pr
School: UChicago
Course: Corporate Fin
SUMMARY OUTPUT Regression Statistics Multiple R 0.85 R Square 0.72 Adjusted R Square .71 0 Standard Error 12.32 Observations 51 ANOVA df Regression Residual Total SS MS 1 18805.57 18805.57 49 7434.28 151.72 50 26239.85 F Significance F 123.95 0 Coefficien
School: UChicago
Course: Corporate Fin
Econ 346 Lab #7 Regression Using SAS: Heteroskedasticity Apr 19th, 2011 Agenda Goals for todays lab session Use SAS to study the petroleum example in Studenmund's textbook This is an in-lab assignment! Get the SAS code and data from http:/tigger.uic.edu
School: UChicago
Course: Corporate Fin
ECON 346 Econometrics Lab 7: Introduction to SAS We will use SAS to study the petroleum example in Studenmunds textbook. You can get the SAS code from following class website. http:/tigger.uic.edu/~jmlee/econ346/data/GAS1.sas.txt (Please be careful the ca
School: UChicago
Course: Corporate Fin
Summary of Different Functional Forms Functional Form Y = 0 + 1X lnY = 0 + 1lnX Y = 0 + 1lnX lnY = 0 + 1X Economic Meaning As X increases 1 unit, As X increases 1 %, As X increases 1 %, As X increases 1 unit, Y increases/decreases Y increases/decreases Y
School: UChicago
Course: Corporate Fin
ECON346 (Econometrics), Spring 2011 LAB 3: OLS Exercise Suggested Solution Name : _ UIN :_ Suppose youve been hired to determine the best location for the next restaurant, where it charges moderately prices and operates 24 hour. You gathered gross sales (
School: UChicago
Course: Corporate Fin
ECON 346 Final Review Jin Man Lee Click to edit Master subtitle style 5/12/11 ECON346 5/12/11 ECON346 OLS Classical Assumptions The regression model is linear in the coefficients, is correctly specified, and has additive error term. The error term has a z
School: UChicago
Course: Corporate Fin
ECON 346 Final Review Jin Man Lee Click to edit Master subtitle style 5/12/11 ECON346 Xi = N 2 = (Xi ) N 2 Yi = 0 + 1 X i + i 2 = N 2 i Yi = 0 + 1X i + ei s2 = n k 1 X= X i 2 ( X i X ) 2 s= n n 1 e 2 i Yi = 0 + 1 X 1i + 2 X 2i + . + k X ki + i 2 2 = i
School: UChicago
Course: Corporate Fin
FIN310: Investments Spring 2010-2011 Syllabus, Course Policies & Schedule W EB PAGE : I NSTRUCTOR : UIC blackboard Lan Zhang lanzhang@uic.edu Tuesdays at UH2430. Xiaowei Gong xgong1@uic.edu T/TH. BSB 337 Essentials of Investments, Bodie, Kane, Marcus, 8 e
School: UChicago
Course: Corporate Fin
Chapter 10 Bond Prices and Yields 10.1 Bond Characteris6cs U.S. Credit Market Instruments O/S 2008 Q3 U.S. Equity Market (Common) U.S. Credit Market Debt $19,648 B illion $51,796 Debt by Selected Major Borro
School: UChicago
Course: Corporate Fin
Chapter9 Behavioral Finance and Technical Analysis 9.1TheBehavioralCri2que Behavioralismbias Mo2va2on Stockpricesinthe1990sdidnotappearto matchfundamentals, e.g.,highpriceearningsra2os Evidenceofrefusaltoselllosers Economicsdisciplineisexploringbehaviora
School: UChicago
Course: Corporate Fin
Chapter8 TheEcientMarketHypothesis 8.1RandomWalksandTheEcient MarketHypothesis EcientMarketHypothesis(EMH) ThehypothesisthatpricesofsecuriAesfully reectavailableinformaAonaboutsecuriAes. EMH suggest stock prices should not be predictable. CumulaAveabnor
School: UChicago
Course: Corporate Fin
Chapter7 Capital Asset Pricing and Arbitrage Pricing Theory 7.1TheCapitalAssetPricingModel CapitalAssetPricingModel(CAPM) Equilibriummodelthatpredictstherela3onship betweenriskandexpectedreturnsonrisky assets.CAPMunderliesallmodernnancial theory Derivedu
School: UChicago
Course: Corporate Fin
Chapter 7 Capital Asset Pricing and Arbitrage Pricing Theory 7.1 The Capital Asset Pricing Model Capital Asset Pricing Model (CAPM) Equilibrium model that predicts the rela3onship between risk and expected returns on risky as
School: UChicago
Course: Corporate Fin
Chapters6 EcientDiversica3onandOp3mal Por:olio Diversica3onandPor:olioRisk Marketrisk Systema3cornondiversiablerisk Largelymacroeconomicfactors,suchasbusiness cycle,ina3onrate,interestrate Firmspecicrisk Diversiable,nonsystema3c,orresidualrisk Subjec
School: UChicago
Course: Corporate Fin
Chapter 5 Risk & Return 5.1 Rates of Return Measuring ExPost (Past) Returns Oneperiod investment: regardless of the length of the period. Holding period return (HPR): HPR = (PS+ CFPB)/PB where PS = Sale
School: UChicago
Course: Corporate Fin
Chapter4 MutualFundandOtherInvestment Companies 4.1InvestmentCompanies Func:onsofInvestmentCompanies a.Administra:on&recordkeeping Periodicreportonperformance,capitalgain, dividendetc b.Diversica:on&divisibility c.Professionalmanagement Researchanalysis