MRSyllabus_E0211.v1

METHODS IN FINANCE

Academic Year: 2012/2013 4th Trimester

Instructor(s): Jos Faias __________________________________________________________________________________

Course Description:

The course is divided into six three-hour lectures, each with a particular topic. A large component of this course happens outside the classroom, consisting of readings and group assignments. Students should budget 4 hours of work per hour in the classroom. Students are expected to have read the course material proposed in the reading for each class and solve the respective exercises. The topics covered in this course are quite extensive and only part will be explicitly addressed in-class. Students are expected to be experienced with traditional Office tools such as Excel, Word and Powerpoint. In addition, students should have attended basic courses in Statistics and Finance. __________________________________________________________________________________

Course Content:

- Statistical properties of returns - Simple investment strategies and performance - Asset allocation - Event studies and anomalies - Volatility models

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Course Objectives:

This course aims to introduce topics in empirical asset pricing and corporate finance. The applied approach of this course will allow students to use real data and implement sophisticated models. As a course in Finance, students will be asked to understand and critically think about the attained results and understand the insights underlying each model. At the end, students will be asked to develop a new conceptual idea and implement it. __________________________________________________________________________________

Grading: The final grade is the weighted grade from three parts: a final exam (50%), five individual assignments, (20%) and one final project which includes an in-class presentation (30%). Course approval requires that the grade obtained in the Exam should not be lower than eight (8) regardless of the final grade obtained from the application of the percentages above. A discretionary change in final grade will be made as given by class participation. Students are expected to attend and participate in all classes.

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MRSyllabus_E0211.v1

Bibliography:

Brooks, Chris (2008) Introductory Econometrics for Finance, Cambridge University Press, 2nd edition Campbell, John Y., Andrew W. Lo, Mackinlay, A. Craig (1997) The Econometrics of Financial Markets, Princeton University Press, 1997 Articles will be used (provided during classes) __________________________________________________________________________________

Biography: Jos Faias holds a PhD in Finance (FE-UNL), a MSc in Statistics and Optimization (FCT-UNL), a MBA (CATLICA-LISBON) and a BA ("Licenciatura") in Mathematics - Actuarial Sciences (FCT-UNL). He was a visiting fellow at Harvard University and a visiting scholar at MIT. He has previously taught at FE-UNL and worked in the insurance and investment banking industry. At Catlica-Lisbon he is teaching in the undergraduate courses, MSc of Finance and Management and in the Master of Finance programs. His research interests include empirical asset pricing, statistics and econometrics: option pricing, extreme events, regime switching models, asset allocation, international financial markets, risk management, and quantitative portfolio management. __________________________________________________________________________________

Contact(s) and Office hours: E-mail: jfaias@clsbe.lisboa.ucp.pt Office hours: TBA Room: 5312-B

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