Topics in Financial Economics

Module description

Note for Students
This course will assume that students are familiar with basic calculus (first and second derivatives and optimization of functions) and matrix algebra (addition, multiplication, inverse of a matrix) etc.

Summary:

This module provides an introduction to the foundations of financial theory and to selected empirical evidence on the topics covered. The concepts and models of modern finance theory are widely employed in the investment industry and an understanding of these provides a solid foundation for a successful career in finance, whether as a fund manager, investment analyst or financial advisor.

Additional Information:

Internationalisation: The financial economics topics taught in this module are relevant across countries and many international examples are discussed in the lectures.

Sustainability: All of the resources for this module are available on the ELE (Exeter Learning Environment).


Employability: Students develop their understanding of the theoretical foundations of financial economics and their empirical testing that are essential background to working in the financial sector.

Full module specification

Module title:Topics in Financial Economics
Module code:BEAM029
Module level:M
Academic year:2016/7
Module lecturers:
  • Professor Abhay Abhyankar - Convenor
Module credit:15
ECTS value:

7.5

Pre-requisites:

This course will assume that students are familiar with basic calculus (first and second derivatives and optimization of functions) and matrix algebra (addition, multiplication, inverse of a matrix) etc.

Co-requisites:

BEAM047 - Fundamentals of Financial Management

Duration of module: Duration (weeks) - term 2:

11

Module aims

This module introduces students to the foundations of finance theory as well as to a selection of related empirical research. The theoretical models and empirical research covered on various topics form the basis of many applications in financial markets and are widely employed in the finance industry. An understanding the theory and empirical issues in this course provides a background for a successful career in the finance industry.

ILO: Module-specific skills

  • 1. model the problem of investor choice under uncertainty
  • 2. interpret the concepts of risk and return in financial markets
  • 3. understand and derive the mathematics of portfolio theory
  • 4. compare and contrast the assumptions and theoretical implications of the Capital Asset Pricing Model and the Arbitrage Pricing Theory and appreciate selected empirical research related to these models
  • 5. introduction to basic ideas of the bond market and bond portfolio management
  • 6. appreciate the role of the Efficient Markets Hypothesis and to relate it to empirical evidence

ILO: Discipline-specific skills

  • 7. use standard mathematical tools, including basic calculus and matrix algebra, to analyze models used in financial economics.
  • 8. develop rigorous theoretical arguments based on mathematical reasoning
  • 9. understand and solve quantitative problems in finance
  • 10. interpret financial data in the light of established theories
  • 11. access selected empirical research literature and critically appraise it

ILO: Personal and key skills

  • 12. understand concepts by solving quantitative problems
  • 13. use logical analysis to structure arguments for and against financial models
  • 14. work independently and understand the strengths and weaknesses of theoretical models in finance

Learning activities and teaching methods (given in hours of study time)

Scheduled Learning and Teaching ActivitiesGuided independent studyPlacement / study abroad
321180

Details of learning activities and teaching methods

CategoryHours of study timeDescription
Contact hours22Lectures
Contact hours10Tutorials

Formative assessment

Form of assessmentSize of the assessment (eg length / duration)ILOs assessedFeedback method
Problems sets 20 minutes9-13Oral comments
Mid-term test45 minutes1-6, 9-13Oral and written model solutions

Summative assessment (% of credit)

CourseworkWritten examsPractical exams
20800

Details of summative assessment

Form of assessment% of creditSize of the assessment (eg length / duration)ILOs assessedFeedback method
One In-class multiple choice and/or numerical problem-based Class Test2045 minutes1-10Solutions distributed on ELE, discussion in tutorials/lecture sessions
Individual Written Exam801 hour 15 minutes1-8, 10-13, 12-14Extensive solutions available on ELE after the exam
0
0
0
0
0

Details of re-assessment (where required by referral or deferral)

Original form of assessmentForm of re-assessmentILOs re-assessedTimescale for re-assessment
In class test and written examWritten examination (100%) 1 hour 15 minutes1-14Aug/Sep

Syllabus plan

  • Introduction to Course:
  • Review of Mathematical Background
  • Choice under Uncertainty
  • Mean-Variance Portfolio Theory
  • The Capital Asset Pricing Model and Arbitrage Pricing Theory
  • Fixed Income Instruments
  • The Efficient Markets Hypothesis and Anomalies
  • Course Wrap Up and Review

Indicative learning resources - Basic reading

Basic reading:

The following text book will be used in the course. However given the nature of the topics additional readings will be indicated wherever required.

Main Textbook:

Elton, E.J., Gruber, M.J., Brown, S.J. and Goetzmann, W.N. (2011) Modern Portfolio Theory and Investment Analysis, International Student Version, 8th edition, US: John Wiley & Sons.

Other resources:

A list of references and web resources will be made available on the ELE


Lecture handouts will be based on related material from these texts and other references. Students are required to refer to original Chapters in the texts assigned in the readings for each week. Copies of the main text books are available in the library. The core material relevant to the course can be found in relevant chapters of alternate textbooks, however with at differing levels of difficulty. Some topics require reading of published papers and articles. Full details of references for each topic will be distributed at the start of the course.

Module has an active ELE page?

Yes

Indicative learning resources - Web based and electronic resources

Exeter Learning Environment (ELE) portal of the course and the materials available there.

Indicative learning resources - Other resources

Text book Websites

Origin date

01/09/2010

Last revision date

15/08/2016