Finance Theory - Investments

Subject FNCE90041 (2012)

Note: This is an archived Handbook entry from 2012.

Credit Points: 12.50
Level: 9 (Graduate/Postgraduate)
Dates & Locations:

This subject has the following teaching availabilities in 2012:

Semester 1, Parkville - Taught on campus.
Pre-teaching Period Start not applicable
Teaching Period not applicable
Assessment Period End not applicable
Last date to Self-Enrol not applicable
Census Date not applicable
Last date to Withdraw without fail not applicable


Timetable can be viewed here. For information about these dates, click here.
Time Commitment: Contact Hours: One 3-hour lecture per week
Total Time Commitment: Estimated total time commitment of 120 hours per semester
Prerequisites: Admission to the PhD program in Finance
Corequisites: None
Recommended Background Knowledge: None
Non Allowed Subjects: None
Core Participation Requirements:

For the purposes of considering requests for Reasonable Adjustments under the Disability Standards for Education (Cwth 2005), and Students Experiencing Academic Disadvantage Policy, academic requirements for this subject are articulated in the Subject Description, Subject Objectives, Generic Skills and Assessment Requirements for this entry.

The University is dedicated to provide support to those with special requirements. Further details on the disability support scheme can be found at the Disability Liaison Unit website: http://www.services.unimelb.edu.au/disability/

Coordinator

Prof Spencer Martin

Contact

Department of Finance
Level 2, Economics and Commerce Building
The University of Melbourne

Phone: (+61 3) 8344 6912
Fax: (+61 3) 8344 6914

Subject Overview: This subject provides an overview of capital market theory and evidence. Theoretical topics covered include asset pricing models, behavioural finance, general equilibrium models, models of the term structure of interest rates, models of the relation between forward and futures prices and option pricing models. Empirical topics covered include the time-series behaviour of returns, the impact of market microstructure on the behaviour of returns, event studies, tests of portfolio efficiency, tests of multifactor models and tests of intertemporal models.
Objectives: On successful completion of this subject students should be able to:
  • Generate portfolios that are mean-variance efficient;
  • Apply no-arbitrage conditions to price contingent claims;
  • Identify the factors that are important in determining the links between forward prices and futures prices;
  • understand empirical research methods in asset pricing;
  • critically evaluate empirical asset pricing research work;
  • conduct empirical tests on asset pricing and portfolio models.
Assessment:
  • Assignments totalling not more than 2000 words (20%)
  • 2-hour mid-semester examination (40%)
  • 2-hour end-of-semester examination (40%)
Prescribed Texts: You will be advised of prescribed texts by your lecturer.
Breadth Options:

This subject is not available as a breadth subject.
Fees Information: Subject EFTSL, Level, Discipline & Census Date
Generic Skills:

On successful completion of this subject, students should have improved the following generic skills:

  • Oral communication
  • Written communication
  • Problem solving
  • Statistical reasoning
  • Application of theory to practice
  • Interpretation & analysis
  • Critical thinking
  • Synthesis of data and other information
  • Evaluation of data and other information
  • Using computer software
  • Accessing data and other information from a range of sources
Related Course(s): Doctor of Philosophy - Business and Economics

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