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2310: Finance and Investments ( efterår 2010 - 10 ECTS )

Rammer for udbud

  • Uddannelsessprog: dansk
  • Niveau:   COURSE LEVEL: Compulsory course for 3rd sem. BSc Oecon. and 3rd sem. Bus. Adm. subsidiary subject (SAM) and  5th sem. Bus. Adm. subsidiary subject (HUM/NAT) Elective course for 3rd sem. Bus. Adm. main subject (with course no. 4099).  
  • Semester/kvarter: SEMESTER FOR WHICH THE COURSE DESCRIPTION APPLIES: Fall 2010  
  • Timer per uge:   NUMBER OF HOURS PER WEEK: 2 lectures and 4 exercises for 14 weeks  
  • Deltagerbegrænsning:   RESTRICTIONS ON ADMISSION: None  
  • Undervisningssted: Århus
  • Hovedområde: Det Samfundsvidenskabelige Fakultet
  • Udbud ID: 23421

Formål

 

LEARNING OBJECTIVES:

The goals are that the student - after having followed the course activities in Finance and Investments - can

 

  • Explain and apply basic financial mathematics: Simple interest, compound interest, annual percentage rates, net present value, internal rate of return, yearly payments
  • Explain the logic foundation behind the net present value criteria
  • Explain and apply methods of finding the after-tax cash flow of an investment
  • Explain and apply methods used to evaluate the profitability of a single investment
  • Explain and apply methods to find the most profitable of several mutually exclusively investments
  • Explain and apply methods used to find the optimal lifetime of an investment
  • Explain and apply methods used to find the optimal replacement time of an investment
  • Apply relevant sensitivity analysis in order to evaluate the risks of an investment
  • Describe the conditions on the Danish money and fixed income market and apply computation of the interest and repayment schedules for the classical bond types.
  • Explain what a zero coupon bond is and apply calculations of the prices of zero-coupon bonds based on the prices of the ordinary bonds. Based on zero-coupon prices you can apply computations of the term structure and identify whether there exists arbitrage.
  • Relate interest rate risk on bonds to duration and convexity measures.
  • Describe and explain the workings of the Danish mortgage market.
  • Explain what a share issue (including an initial public offering) is, how it takes place, and potential problems in relation to share issues.
  • Apply computations of the expected return and the variance of the return for portfolios composed of risky assets. Describe the possible combinations of the expected return and the variance of the return in a diagram. Argue what the compositions of the important portfolios are.
  • Argue for what the expected return of a given asset ought to be in the Capital Asset Pricing Model (CAPM). Argue for estimation of the data/parameters used in these methods. Explain the empirical problems in relation to CAPM.
  • For multi factor models you can explain the computation of the expected return and the variance of the return for portfolios and the covariance of the returns among different portfolios. Explain the composition of a portfolio such that the return of this portfolio only depends on a single factor, a pure factor portfolio. Based on such pure factor portfolios you can explain the computation of what the expected return of a given asset/share ought to be according to the Arbitrage Pricing Theory (APT). Finally, you can explain data and empirical problems in relation to the APT.

 

Indhold

COURSE DESCRIPTION: The first part of the course treats computation of interest and capital budgeting founded on the classical capital budgeting theory. The student is able to analyze and solve practical capital budgeting problems. In the fixed income part of the course the classical loan types are studied. The student is able to price these loans and measure and control the interest risks of these loans. In the equity part of the course share offerings, including initial public offerings, are treated. The pricing of shares is introduced by means of the mean-variance model, the capital asset pricing model, and the arbitrage pricing model.

 

COURSE SUBJECT AREAS:

1. Financial Mathematics

2. Capital budgeting

3. Bond and term structure analysis

4. Share issues, including initial public offerings

5. Pricing of risky assets by means of me­an-variance theory, CAPM, and APT

 

Faglige forudsætninger

REQUIRED COURSES (progression): Introduction to Statistics and IT (1st semester), Introduction to Economics and Management (1st semester), Principles of Economics (1st semester), Macroeconomics, Mathematics and Statistics (2nd semester), Accounting (2nd semester.

Underviser

 

LECTURER: Charlotte Christiansen

 

Undervisnings- og arbejdsform

 

TEACHING METHOD: Lectures and exercises.

 

 

TEACHING LANGUAGE: Danish

 

Litteratur

 

LITERATURE:

1. Peter Ove Christensen og Bjarne Graabech Sørensen: Rentesregning, Odense Universitetsforlag 2001 (approximately 60 pages).

 

2. Peter Ove Christensen og Bjarne Graabech Sørensen: Investeringsteori, Odense Universitetsforlag 2001 (Approximately 170 pages).

 

3. Christian Riis Flor & Claus Munk: Indledende obligations og rentestrukturanalyse, Syddansk Universi­tet, 2008. Approximately 110 pages).

 

4. David Hillier, Mark Grinblatt og Sheridan Titman: Financial Markets and Corporate Strategy, Mc Graw Hill, European ediction, 2008 (chapters 1, 3, 4, 5 and 6. Approximately 150 pages).

 

5. Notes (approximately 50 pages).

 

In total approximately 570 pages.

 

 

Studieordning og bedømmelse


Bacheloruddannelsen i økonomi

  • PC-eksamen, bedømt efter 7-skala med ekstern censur


 

FORM OF ASSESSMENT: Written PC-exam (6 hours)

EXAMINATION AIDS ALLOWED: All incl. PCs - except for any means of electronic communication including internet access.