fine 6200 f, winter 2016, tuesday
DESCRIPTION
Syllabus for future referenceTRANSCRIPT
Course Outline Winter 2016
Tuesdays, 11:30 a.m. - 2:30 p.m., beginning on January 12 SSB W-133
Instructor Assistant David Yu, CFA (416) 736-2100 ext. 44557 [email protected] Office hours: By appointment only, please email the instructor
Lucy Sirianni SSB N204A 416-736-2100 ext. 55072 [email protected]
David Yu has over 40 years of investment management experience for personal and institutional clients. He has also provided investment consulting services to pension funds. He holds the Chartered Financial Analyst designation and the Master of Electrical Engineering degree from McGill University. Brief Description This is an introductory course to investments. It begins with an overview of the structure of financial markets in Canada and in the United States, followed by a more in-depth analysis of some key investment topics. These topics include portfolio theory, evaluation of portfolio performance, the capital asset pricing model, term structure of interest rates, valuation of stocks and bonds, portfolio management, capital market efficiency, and behavioural finance. This course serves as a useful introduction to the Chartered Financial Analyst (CFA) curriculum (http://www.cfainstitute.org/cfaprog/). Prerequisites: None Contents Course Learning Outcomes ........................................................................................................................... 2 Deliverables at a Glance ................................................................................................................................ 2 Course Material............................................................................................................................................. 2 Student Preparation for Class and Class Participation: Expectations ........................................................... 4 Class-by-Class Syllabus .................................................................................................................................. 4 Written Assignments/Projects and Exam[s]: Descriptions ........................................................................... 6 Calculation of Course Grade ......................................................................................................................... 8 General Academic Policies: Grading, Academic Honesty, Accommodations and Exams ............................. 8
FINE 6200 F 3.00: Investments
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Course Learning Outcomes 1. Understand the structure and functions of financial markets from the perspectives of an
investor and investment manager. 2. Master the fundamental theories of financial security returns and theories of security
valuation. 2. Understand the implications of market efficiency. Be able to apply theories of securities
returns and valuation to the real financial markets.
Deliverables at a Glance Students are expected to read the assigned chapters, prepare the assigned end-of-chapter problems, complete written homework assignments, and prepare for the midterm and final exams. In the table below, the impact of each task on your final grade for the course is indicated in the “% weight” column.
Assignment/Task Quantity % Weight
Total %
Author
Class Participation 1 5 5 Individual Midterm exam 1 30 30 Individual Stock-Trak group report 1 20 20 Group Final exam 1 45 45 Individual
100%
For details, see “Written Assignments/Projects and Exam[s]: Descriptions” (p. 8) and “Evaluation of Written Assignments/Projects and Exam” (p. 9).
Course Material Reading material for the course has been organized in four main locations: a textbook, online SmartBook (via Connect), lecture notes posted on Schulich’s Course Materials Database (CMD), and financial media. Not every source is needed for each class. Every week, you should check the Session-by-Session Syllabus below for readings and their locations (see pp. 5-8). Required reading for this course includes the following textbook. It is available for purchase from the York University Bookstore (http://bookstore.blog.yorku.ca): Investments, 8th Canadian edition - Bodie, Kane, Markus, Perrakis, and Ryan McGraw-Hill Ryerson, 2014.
Alternative eBook option with Connect: Connect Access Code for Investments, 8th Canadian edition, by Bodie, can be purchased separately at the York Bookstore. Connect access can also be purchased online when you register at the Connect course URL.
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Connect contains the online interactive eBook for Investments, 8th Canadian edition, by Bodie, plus LearnSmart, SmartBook, Self-Quiz & Study Quizzes and other study resources, including Appendix A - Quantitative Review, Appendix B - Solutions to Concept Checks and Formula Sheets. For a short video introduction and overview of Connect, LearnSmart and SmartBook, visit www.improveyourgrades.ca. FINE 6200 Winter 2016 Connect Section Web Addresses: David Yu – Section F: http://connect.mheducation.com/class/d-yu-winter-2016 Connect Registration using your access code or purchase online: 1. Go to the Connect Web Address for this course. 2. Click on “Register Now.” 3. Enter your email address (this will become your Connect username). If you already have a McGraw-Hill account, you will be asked for your password and will not be required to create a new account. 4. Enter a registration code or choose “Buy online” to purchase access online. Courtesy access only for a limited time only. 5. Follow the on-screen directions. 6. When registration is complete, click on “Go to Connect Now.” 7. You are now ready to use Connect. Student Support for Connect: Visit http://www.connectstudentsuccess.com/ for Connect registration instructions, Connect Student Q&A and Searchable Q&A, troubleshooting and system requirements. To submit a support ticket with the Canadian McGraw-Hill Care Centre, visit www.mheducation.ca/support or call 1-800-565-5758. Your McGraw-Hill Education Learning Consultant: Michele Peach: [email protected] Course Materials Database: Materials posted on the Course Materials Database (CMD) include lecture notes used in each class, solutions to assigned end-of-chapter problems, and additional supplementary reading material. Check the CMD regularly for updates, correction and announcements (at least twice a week). Business News and Financial Calculator Daily reading of the business section of The Globe & Mail or the National Post is also a requirement. Examination questions may require students to relate financial concepts to
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current events. The BusinessWeek, the Economist and the Wall Street Journal are additional useful sources. Every student should have a hand held calculator with basic scientific functions. A financial calculator is also required.
Student Preparation for Class and Class Participation: Expectations Research on learning has shown that students learn the most when they are actively involved in the classroom process. This course is intended to help you develop skills that will contribute to your success in the business world. Accordingly, it is in your interest to prepare for class so as to maximize the benefits from your education. Slides will be posted on the CMD in advance of class. You must complete the required reading and attempt the discussion problems for each class. You should be ready to comment on and contribute to problem solutions during the class. Solutions to all problems for the chapters assigned will be posted on the CMD. In addition to textbook readings, the outline includes additional readings which supplement the text. These readings are provided to allow interested students to explore selected topics in depth. Most of the additional readings will be placed on the course CMD. Preparation. Be prepared to put in at least 6 hours of prep work outside the classroom time each week. You are expected to have read all the assigned material listed in the “Class-by-Class Syllabus” ahead of each class. Class Participation. Students are expected to prepare thoroughly for every class. Participation will be evaluated on the basis of factors including advance preparation, responses that show an understanding of the topic, questions that stimulate deep discussion or aid other students’ learning, and willingness to engage thoughtfully in classroom exercises. Quantity does not substitute for low quality, thus students should be sensitive to whether they are monopolizing classroom discussion, repeating information that has been stated earlier, or making comments that do not add to the learning environment. Further, the onus is on students to ensure they are fully identified by prominently displaying their name on a tent card during each class (and to make sure the instructor can see it) and, if necessary by prefacing comments or questions with their name. I expect students will attend every class, with exceptions permitted only for medical reasons (doctor’s note required) or by prior arrangement with me. A full percent will be deducted for missing a class, up to a maximum of 5%.
Class-by-Class Syllabus Topics, readings, and other preparations for every class are listed below
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Note: If any changes in this schedule become necessary, notifications will be posted on the course CMD, and when changes need to be announced between classes, an email will be sent to students’ Lotus Notes email accounts, notifying them of the change.
End-of-chapter appendices in the textbook can be excluded, unless otherwise stated. Additional material will be distributed in class, or posted on the course CMD. Students must do the readings before every class. I. Introduction to Portfolio Management and Financial Markets
January 12 Chapters 1, 2, 22.1-22.2 January 19 Chapters 3, 23 Useful websites: American Stock Exchange (http://www.amex.com) Toronto Stock Exchange (http://www.tse.com) Securities Exchange Commission (http://www.sec.gov) Ontario Securities Commission (http://www.osc.gov.on.ca) The Investment Funds Institute of Canada (http://www.ific.ca)
II. Return and Risk
January 26 Chapter 4, 5 Stock-Trak Project begins….. February 2 Chapter 5, 6 Useful websites: http://www.tdcanadatrust.com/mutualfunds/pdf/mut_app.pdf http://bmo.com/mutualfunds/ps/matchmaker_test.html http://www.waterhouse.com/planning/investment_basics/time_vs_risk.html Useful references: Rubinstein, Mark, 2002, “Markowitz’s Portfolio Selection: A Fifty-Year Retrospective”, Journal of Finance, vol.57, no.3, pp.1041-1045. Lettau, M., J.Y. Campbell, B.G. Malkiel, Y.Xu, 2001, “Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk”, Journal of Finance, vol.56, no.1, pp.1-43.
III. The Capital Asset Pricing Model
February 9 Chapter 7.1 - 7.2 February 16 Chapter 8.1 - 8.2
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February 23 - NO CLASS (Reading Week) March 1 – Mid-Term Test (1 ½ hours, closed book) IV. Performance Measures and Technical Analysis
March 8 Chapters 21, 10.2 -10.5
V. Valuation of Equities
March 15 Chapters 15, 16, Appendix 16 A Useful references: Hooke, Jeffrey C., Security Analysis on Wall Street, Wiley Frontiers in Finance, 1998. Vuolteenaho, Tuomo, 2002, “What Drives Firm-Level Stock Returns?”, Journal of Finance, vol.57, no.1, pp.233-264.
VI. Valuation of bonds March 22 Chapter 12 Stock-Trak Project ends March 29 Chapter 13
Useful websites: http://www.waterhouse.com/planning/investment_basics/yield_curve.html http://www.dbrs.com
VII. Managing Bond Portfolios April 5 Chapter 14 Stock-Trak Group Report due
April 12 – Final Exam (3 hours, closed book, covers the whole term)
Written Assignments/Projects and Exam[s]: Descriptions There is a Stock-Trak group project assignment, a midterm exam and a final exam. Details of these requirements are provided below. Stock-Trak is a stock market simulation game that gives students the opportunity to gain hands-on experience in trading and portfolio management. For more information, see http://www.stocktrak.com.
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The game starts on Monday, January 25, 2016, and ends on Friday, March 25, 2016. Students should form groups, with 5 students per group. Please submit names of students in your group. You must register by Friday, January 22, 2016. In the group report, you are expected to:
1. Provide a detailed explanation on how you executed your investment strategy, based upon the goal of maximizing your portfolio value at the end of the game.
2. Highlight your best and worst trades and discuss each in depth. 3. Evaluate your track record using standard portfolio performance measures.
The above three items and your group’s ranking in the class (based on the performance of your portfolio at the end of the game) carry equal weight. Your report must NOT exceed 12 pages, which include all graphs, tables and references. The cover page is not counted in the 12-page limit. Three marks will be deducted for each extra page (out of the twenty-mark total) if this 12-page limit is not followed. Your group report is due at the beginning of the last class on Tuesday, April 5, 2016. Note that late reports will not be accepted. No faxed or e-mailed reports will be accepted. The following are useful websites and databases for your research:
Standard and Poor’s Market Insight (http://emi.compustat.com)
Bloomberg (terminal in the business library)
Datastream (terminal in the business library)
SEDAR (http://www.sedar.com)
Other popular sites for financial news e.g., CNNfn, Globe Investor, WSJ,…etc. Examinations
The midterm and final exams may consist of a combination of multiple choice questions, short essay questions (that usually require no numerical calculation), and longer questions (which usually require numerical calculation and analysis). The midterm and final exams will be 90 minutes and 3 hours long, respectively. Both are closed-book exams, with all necessary formulas provided by the instructor. The midterm exam will take place during regular class hours and the final exam will take place during the regularly scheduled examination period after the last day of class. Students should not make plans to be away from Toronto during any portion of the announced examination period until the dates for their specific examinations have been announced.
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Calculation of Course Grade In this class, final course grades will be determined by the overall numerical grades combining all graded components:
Assignment/Task Quantity % Weight
Total %
Author
Class participation 1 5 5 Individual Midterm exam 1 30 30 Individual Stock-Trak group report 1 20 20 Group Final exam 1 45 45 Individual
100%
The overall numerical grades will be converted into letter grades (e.g., A+, A, etc), with the class grade point average belled to the range between 5.2 and 6.2. The conversion is not based on a fixed scale (e.g., 90-100% = A+) as the Schulich School does not have a standard policy for translating percentages into letter grades. Instead, the median numerical grade will be converted to a letter grade of either B or B+, at the instructor’s discretion. A bell curve is then applied to the remaining numerical grades so that the letter grades for the entire class resemble a normal distribution.
General Academic Policies: Grading, Academic Honesty, Accommodations and Exams Grades at Schulich are based on a 9-value index system. The top grade is A+ (9) and the minimum passing grade is C- (1). To keep final grades comparable across courses, sections of required core courses are normally expected to have a mean grade between 5.2 and 6.2. The Schulich School does not use a percentage scale or prescribe a standard conversion formula from percentages to letter grades. Conversions within a course are at the discretion of the instructor. For more details on the index, grading policy, and grade point average (GPA) requirements, see the Student Handbook or the Student Services & International Relations website: http://www.schulich.yorku.ca/client/schulich/schulich_lp4w_lnd_webstation.nsf/page/Enrolment+Grades+and+Convocation!OpenDocument#tabs-2 Academic honesty is fundamental to the integrity of university education and degree programs, and applies in every course offered at Schulich. Students should familiarize themselves with York University’s policy on academic honesty, which may be found in the Student Handbook and on the Student Services & International Relations website: http://www.schulich.yorku.ca/client/schulich/schulich_lp4w_lnd_webstation.nsf/page/Academic+Honesty!OpenDocument
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Accommodations. For accommodations sought due to exam conflicts, religious reasons, unavoidable absences or disabilities, please refer to the Student Handbook or contact Student Services. For counseling & disability services, contact Student Services or see http://www.yorku.ca/cds/. Exams (Absence from) Mid-term. Students who miss a mid-term examination must contact their course instructor within 24 hours and provide the course instructor with documentation substantiating the reason for the absence. A copy of the documentation must also be submitted to Student Services; it will be placed in the student’s file. Final. Within 24 hours of missing a final examination, students must contact the Director of Student Services, at (416) 736-5060 and must also contact their course instructor. Formal, original documentation regarding the reason for missing the exam must be submitted to the Director of Student Services (SSB Room W262) within 48 hours of missing the final exam. Students who miss a final exam due to illness must have their doctor complete an “Attending Physician’s Statement.” For more details, see: http://schulich.yorku.ca/client/schulich/schulich_lp4w_lnd_webstation.nsf/page/Enrolment+-+MBA+Exam+Schedule?OpenDocument