Financial Economics(Vincent Chang)
eking University HSBC Business School
Financial Economics, 2nd Module Fall 2011
Vincent Chang, vhchang@phbs.pku.edu.cn , C206Office Hours: 10:00-11:00am Wednesday or by appointment
This course provides a basis in the theory of finance that underlies other finance courses. It is primarily concerned with static theories of finance. It will convey more conceptual understanding of finance than complicated mathematical derivations. After this course, students should be prepared for advanced courses in finance, such as dynamic theories, continuous time finance, empirical finance, corporate finance, financial engineering, and advanced financial economics.
Students are required to attend all the lectures and present their name cards during the lectures at all time. In addition, there will be a one hour of discussion section each week led by the TA. Attending the discussion sections is optional.
Although there are no required textbooks, the following textbooks are recommended:
1. Stephen F. Leroy & Jan Werner, Principles of Financial Economics, Cambridge University Press, 2001
2. John H. Cochrane, Asset Pricing, Princeton University Press, 2001
3. Jonathan E. Ingersoll, Theory of Financial Decision Making, Rowman & Littlefield, 2000
4. Jiang Wang, Financial Economics (in Chinese), Renmin Publishing, 2005
The class grade will be based on 3-4 quizzes, two homework assignments (one data & one essay), one final exam, and class attendance & participation:
Quizzes 40%
Assignments 20%
Final Exam 30%
Attendance & Participation 10%
Total 100%
Course Outline: Hour(s)
1. Administration 1
2. Stylized Facts 3
3. Market Efficiency & Investment Framework 2
4. Portfolio-Consumption Problem & No Arbitrage Principle 4
5. Fundamental Theory of Finance 4
6. Factor Structure & Arbitrage Pricing Theorem 3
7. Options, Derivatives, and Market Completeness 4
8. Continuous Time Finance & Black-Scholes Formula 2
9. Corporate Finance 2
10. Expected Preference Theory & Behavioral 2
11. Portfolio Theory 2
12. Consumption Beta Theory 4
13. Capital Asset Pricing Model 3