37752 - APPLIED FINANCIAL ECONOMICS

Conoscenze e abilità da conseguire

Il corso unisce rigore teorico e metodologia empirica per lo studio delle decisioni relative alla struttura di capitale delle aziende, la gestione del rischio, la valutazione di progetti d’investimento. Presenta le tecniche più moderne di valutazione secondo la teoria delle opzioni reali, affiancando ai modelli teorici esercitazioni in laboratorio con metodi numerici. Il corso è corredato da analisi di case studies. Alla fine del corso gli studenti devono essere in grado di comprendere la letteratura scientifica di base. Infine il corso presenta alcuni modelli classici sulla microstruttura dei mercati finanziari. L’analisi teorica è affiancata a riferimenti alla realtà empirica, con attenzione particolare alle strategie di trading, ai meccanismi di trasmissione e di aggregazione dell’informazione, modelli di scambio sequenziale, mercati del tipo limit order.

Contenuti

The main objective of this course is to present recent developments in  the real option valuation of investment projects. An important  aspect of this course is that it attempts to bridge the gap between the mathematical theory and financial practice and provides computer applications and case studies.

At the end of the course students should be able to understand scientific articles and to perform their own research project

Topics

Module 1: (Professor Elettra Agliardi)

1. Prerequisites: option pricing

2. Real options: theory

3 . Real options: applications

All students are required to make a 30 minutes presentation of one specific topic.

Module 2: (Professor Amir Amel-Zadeh)

This course aims to provide an overview to some important research areas in applied financial economics associated with the `Efficient Markets Hypothesis', which is an important part of the modern theory of finance. In addition to introducing the students to current research debates on market anomalies and behavioural finance, the course will also stress the practical relevance of finance theory during real-time trading simulations. The simulations are designed to illustrate the concepts and applications of modern financial economics.

Course content:

There will be eight two-hour sessions:

Session 1: Introduction to Financial Economics

• Random Walks
• The efficient markets hypothesis
• Informational and fundamental efficiency
• Noise

Session 2: Trading simulation I

• Market efficiency I

Session 3: Market anomalies I – Does the stock market overreact?

• Stock return reversal
• Momentum in stock prices
• Rational and behavioural explanations

Session 4:  Trading Simulation II

• Market efficiency II

Session 5: Market anomalies II - Size, value and growth

• The size effect
• Value and growth
• Analyst recommendations

Session 6: Trading Simulation III

• Price Formation

Session 7: Trading Simulation IV

• Law of One Price
• Equity Carve-outs

Session 8: Final Exam

Teaching methods:

There will be eight, two-hour sessions. The course will consist of lectures, class discussions and computer lab trading simulations. The lectures will be interactive and ‘seminar styled', structured and led by the course lecturer. Course members will be set about two readings to be completed before each session and trading tutorials to be completed before each simulation session. A high level of student participation will be expected!

Pre-requisites:

It is expected that the students are familiar with introductory financial economics. In particular, students should be familiar with the Present Value model of stock prices, systematic and unsystematic risk, and the Capital Asset Pricing Model. Knowledge of regression techniques and hypothesis testing will also be assumed (although students will not be required to do any statistical analysis as such).

Assessment:

Students will be assessed based on a written exam (50%), performance in the trading simulations (25%) and class participation (25%).

 

Testi/Bibliografia

Readings

 

The following background references are suggested:

• Merton, R.C. (1990), Continuous-Time Finance, Basil Blackwell, Oxford

• Dixit, Avinash K., Robert S. Pindyck (1994), Investment Under Uncertainty, Princeton University Press, Princeton, New Jersey
• Jean Tirole (2006), The Theory of Corporate Finance, Princeton University Press, Princeton, New Jersey

 

A list of scientific articles will be made available at the beginning of the course.

Metodi didattici

The course will consist of lectures, class discussions and computer lab trading simulations. The lectures will be interactive and ‘seminar styled', structured and led by the course lecturer. Course members will be set about two readings to be completed before each session and trading tutorials to be completed before each simulation session.

Modalità di verifica e valutazione dell'apprendimento

Written exam.

Strumenti a supporto della didattica

 

Orario di ricevimento

Consulta il sito web di Elettra Agliardi

Consulta il sito web di Amir Amel Zadeh