econ s-192 introduction to capital markets and investments...
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Harvard University ECON S-192
Summer School Summer 2011
1
ECON S-192 – Introduction to Capital Markets and Investments
Summer 2011
Tuesdays and Thursdays 12:00pm-3:00pm
Location: Emerson 101
Teaching Staff Manjola Tase
Dr. Can Erbil
Teaching Fellow
Ly Tran
Sections:
Time: Wednesdays, Section1: 2:00-3:00pm, Section 2: 3:30-4:30pm.
Location: Sever 107
1. Course Description
Students are introduced to investment analysis, including the functioning of capital
markets, changes in markets, and analysis and tests of the efficient market hypothesis;
portfolio theory; risk/return paradigms; and valuation theory applied to the aggregate
market, industries, and firms. Topics covered include the analysis of currency markets,
and an introduction to options, futures, and derivative securities.
Prerequisites: Econ S-10ab or equivalent
2. Course Organization
Class materials
Textbook: Bodie, Kane, and Marcus (BKM) “Investments” 9th edition
Course website (http://isites.harvard.edu/k79735)
I will post lecture slides, problem sets, practice questions and other relevant material.
Review sessions
The TF will be holding tutorial sessions every week (time and place TBA). Among other
things, these sessions will review the material from class, go over problem set solutions,
answer questions you might have, and prepare for exams.
Harvard University ECON S-192
Summer School Summer 2011
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3. Requirements and evaluation:
You are expected to attend all classes, participate in class discussions, and familiarize
yourself with the policies on academic integrity. If you are a student with a documented
disability and wish to have a reasonable accommodation made for you in this class,
please see me immediately (students must register with Disability Services for Students).
Your grade will be based on problem sets, the project, the midterm, and the final exam.
Problem Sets
There will be weekly problem sets. You are encouraged to work with other students in
the class, but you must write your answers independently. I will not be able to accept any
late submissions. Solutions will be posted on the web site after you have handed in the
problem set.
Project
You will be asked to write a research report in response to a Request for Proposal for an
equity/cash asset allocation.
Midterm Exam:
The midterm examination will be held in class.
Final Exam
The final examination will be held during the final examination period. The final exam is
cumulative.
Grading Method: The final numerical average for each student will be the larger of two calculations:
Problem sets (15%) Problem sets (15%)
Project (15%) Project (15%)
Midterm (30%) Midterm (0%)
Final (40%) Final (70%)
Policy on Calculators
You can use any calculator you would like when solving problems on the problem sets,
including scientific, programmable, graphing, financial, or software (such as Excel).
However, on the exams (i.e. midterm, and final) you will not be allowed to use financial
calculators that are capable of directly calculating bond price, annuity value, yield to
maturity, or duration. In order to prepare for this, I strongly advise everyone to make sure
that you have a calculator available to you which you can use to solve problems at exam
time.
Harvard University ECON S-192
Summer School Summer 2011
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4. Overview of Topics Covered
Week 1
Lecture 1: Introduction, Statistics Review, Present Value and Basics of Accounting.
Lecture note 1
Lecture 2: Financial Securities and Trading of Financial Securities
Lecture note 2
BMK: 1.1, 1.2, 1.6, Chapter 2, 3.1, 3.2, 3.5, 3.6, 3.7
Week 2
Lecture 3: Preferences towards Risk and Capital allocation
Lecture note 3
BMK: Chapter 5, Chapter 6
Lecture 4: Portfolio Selection
Lecture note 4
BMK: Chapter 7
Week 3
Lecture 5: Index Models, Project Overview and Applications in Excel
Lecture note 5
BMK: Chapter 8
Lecture 6: MIDTERM (in class)
Week 4
Lecture 7: Capital Asset Pricing Model and Arbitrage Pricing Theory
Lecture note 6
BMK: Chapter 9, Chapter 10
Lecture 8: Market Efficiency
Lecture note 7
BMK: Chapter 11
Harvard University ECON S-192
Summer School Summer 2011
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Week 5
Lecture 9: Bond Pricing and Term Structure of Interest Rates
Lecture note 8
BMK: Chapter 14, 15, 16.1
Lecture 10: Equity Evaluation
Lecture note 9
BMK: Chapter 18
Week 6
Lecture 11: Derivatives
Lecture note 10
BMK: 20.1-20.4; 21.1-21.4; Chapter 22
Lecture 12: Investing in International Markets
Lecture note 11
BMK: Chapter 25
Week 7
FINAL EXAM
August 9, 12-3pm