Handbook 1996 : Faculty of Economics and Commerce (Volume 3 page 191)
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Year 4 Accounting.
Credit points: 12.5
Coordinator: To be advised.
Prerequisite: 306-331 Investments
Contact: Three hours a week of lectures and seminars.
Timetable: First semester
Objectives:
On completion of this subject a student should:
- have critically reviewed the methodology and empirical evidence on tests of asset pricing models such as the Capital Asset Pricing Model and the Arbitrage Pricing Theory to provide an understanding of the way in which securities are priced.
- have examined issues which arise in empirical research in finance such as problems of non-stationarity and thin trading so that students understand the techniques used to overcome such problems.
- have detailed the issues involved in conducting event studies in efficient markets research.
- have critically reviewed selected papers on the efficient market hypothesis focussing on both firm specific and market wide information to provide an understanding of the way the market works.
- have critically reviewed the literature on stock market anomalies including the implications of the evidence for market efficiency and existing theories of asset pricing.
- have developed understanding of topical empirical issues in modern finance.
Content:
The principles and techniques of security pricing with particular emphasis on the latest research. Topics include the efficient market hypothesis, event studies, an advanced examination of the issues of risk vs return, extensions to the CAPM (including APT), issues associated with volatility, initial public offerings and topical issues.
Assessment:
A 3-hour end-of-semester examination; written assignments and presentations
Prescribed texts:
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Handbook 1996 : Faculty of Economics and Commerce (Volume 3 page 191)
Status: Official 1996 Date created: Oct 9 1995 Last modified: Oct 9 1995 Authorised by: Academic Registrar Email enquiries: Course_Information@registrar.unimelb.edu.au
Maintained by: Dept. of Accounting and Finance, Faculty of Economics and Commerce.
Copyright © University of Melbourne 1995,1996.