Financial Econometrics

Transcription

1 Financial Econometrics Economics Module Understand the hypothesis associated to the LRM. Identify and analyse time series and panel data. Assess the effect of time series and panel data on the LRM hypotheses. Know how to estimate the unknown parameters in the presence of time series and panel data. Use a quantitative approach in the analysis of firm-related questions. Module of Asset price dynamics Identify, interpret, and discuss the main characteristics of high- and low-frequency time series of financial asset returns. Identify, interpret, discuss, and estimate volatility using different methodologies Economics Module Introduction The linear regression model: estimation, inference, specification. Multiple regression analysis Inferences Asymptotic properties of the multiple linear regression model Multiple regression analysis - other issues Time series and autocorrelation Module of Asset price dynamics Introduction. Prices and returns. Basic concepts of stochastic processes. Stylized facts for financial returns. Stylized facts for the volatility of financial returns. ARCH/GARCH models.

2 Corporate Finance I Explain and criticize the role of the financial manager and relate it with the objective function of the firm. Fundament, apply, and discuss the techniques of financial discount and capitalization. Identify, explain, compare, and criticize the static and dynamic methodologies of capital budgeting under certainty and uncertainty. Explain, criticize, and apply the methods to estimate the cost of capital. Fundament, compare, and apply the main methods of firm valuation. Explain, criticize, and apply the techniques of financial statement analysis and discuss the main correction to the accounting statements to extract the relevant financial information. Corporate finance and the role of the financial manager. Time-value of money. Capital budgeting under certainty and uncertainty. The cost of capital. Methods of firm valuation. Financial analysis and the information of financial statements. Brealey, R.; Myers, S.; Allen, F. (2008). Princípios de Finanças Empresarias, 9ª ed., McGraw-Hill. Palepu, K., Peek, E., Bernard, V., Healy, P. (2007). Business Analysis and Valuation Using financial statements: IFRS Edition - Text and cases, 1st edition, Thomson Learning EMEA.

3 Investments and Financial Markets Analyze the organization and functioning of financial markets. Create optimal portfolios with two or more risky assets and risk-free asset, given an investor risk/return preferences. Discuss comparatively the equilibrium models of financial markets, their assumption and analyze critically the empirical tests and consequences to the valuation of financial assets. Apply and discuss the bond and stocks valuation methods and their potential shortcomings. Describe and implement active and passive portfolio management strategies. Evaluate the performance of such investment strategies. Financial markets and Instruments. Portfolio theory. Equilibrium models in capital markets (CAPM and APT. Empirical tests to equilibrium models. Security analysis: bond and stocks valuation. Portfolio management and performance evaluation.. Z. Bodie, A. Kane, and A. J. Marcus. (2009) Investments, McGraw-Hill (McGraw-Hill-Irwin series in finance, insurance and real estate), Boston, 8th edition. E. J. Elton, M. J. Gruber, S. J. Brown, and W. N. Goetzmann (2007) Morden Portfolio Theory and Investment Analysis. Wiley, 7th edition. T. Copeland, J. Weston, and K. Shastri. (2004) Financial Theory and Corporate Policy. Pearson, 4th edition.

4 Research Methods and Transferable Skills Module 1 1. Identify the main characteristics of scientific research in business. 2. Formulate research questions and conduct a relevant literature review. 3. Develop a research strategy in terms of primary data collection. 4. Organize, analyze and interpret the results. 5. Write and present a research proposal. Module 2 Recognise and demonstrate having set of transferable skills including interpersonal relationships, teamwork, leadership, communication, innovation and creativity, ethical awareness and critical thinking, planning and organising, information systems and technologies, problem solving, and an orientation to results, clients and the market. Module 1 Business research strategies. Research designs. Planning a research project and formulating research questions. Writing a research proposal.reviewing the literature. Referencing your work. The nature of quantitative research. Concepts and their measurement. Sampling. Questionnaire design. The nature of qualitative research. Ethnography and participant observation. Phenomenological research and in-depth interviewing. Focus group. Case study research. Módulo 1: Metodologia de Investigação Barañano, A.M. (2004). Métodos e técnicas de investigação em Gestão: Manual de apoio à realização de trabalhos de investigação. Lisboa: Edições Sílabo. Bryman, A., & Bell, E. (2007). Business research methods. Oxford: Oxford University Press. Creswell, J. W. (2007). Qualitative inquiry and research design: Choosing among five approaches. London: Sage.

5 Derivatives Identificar, descrever e aplicar metodologias de avaliação de Forwards, Futuros, swaps e opções. Identificar e discutir as características das opções sobre ações, sobre índices de ações, taxas de câmbios e futuros. Identificar e aplicar estratégias de negociação com opções. Identificar e aplicar os instrumentos financeiros derivados na cobertura do risco e explicar e aplicar a cobertura de risco de posições nas opções Discutir e analisar o risco de crédito e explicar o funcionamento dos derivados de crédito. Descrever diferentes tipos de opções exóticas. Hedging strategies using futures. Determination of forward and futures prices. Swaps. Stock options. Trading strategies with options. Option valuation. Options on stock indices, currencies and futures. The Greek letters. Basic numerical procedures. Credit risk. Credit derivatives. Exotic options. Hull, J. (2008). Options, futures, and other derivatives, 7 edn, Prentice Hall Upper Saddle River, NJ.

6 Corporate Finance II Explain, discuss, and criticize the importance of financial (accounting) information in the context of efficient markets, as well as the factors that affect the quality of that information. Explain, compare, and fundament different types of long-term financing and the different aspects of securities (bonds and stocks) issues. Explain, compare, and fundament the main theories of capital structure and dividend policy. Fundament and discuss the reasons for agency conflicts in the firm environment and explain the main mechanisms of corporate governance. Analyze, explain, and apply the methods to detect financial insolvency, to perform credit, and to predict bankruptcies. Market effciency and the importance of financial information. The quality of accounting information and the role of gatekeepers. Long-term financing and securities issues. Capital structure. Dividend policy. Agency conicts and corporate governance mechanisms. Financial distress, credit analysis, and bankruptcy. Brealey, R.; Myers, S.; Allen, F. (2008). Princípios de Finanças Empresarias, 9ª ed., McGraw-Hill. Palepu, K., Peek, E., Bernard, V., Healy, P. (2007). Business Analysis and Valuation Using financial statements: IFRS Edition - Text and cases, 1st edition, Thomson Learning EMEA.