Syllabus 323060 investment Analysis 2020 - 202008 28 - Investment Analysis 323060 - autumn 2020 - Studeersnel (2024)


Investment Analysis (323060)


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Tilburg University

Studiejaar: 2020/2021

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Investment Analysis 323060 - autumn 2020

Teachers:Dr. P. de Goeij (p.c@tilburguniversity - Room K6 22 ) – first part of the courseDr. R. Frehen (r.g.p@tilburguniversity Room K6 28 ) – second part of the course

Teaching Assistants:Lennart Dekker (l.p@uvt)Miao Zhang (M_6@uvt)

Objectives of the course - Discuss topics within the field of investment analysis - KŶoǁ the ŵaiŶ iŶǀestŵeŶt aŶalysis foƌŵula’s aŶd ďe aďle to ĐoŵďiŶe theŵ aŶd apply them in applications to a given situation - Apply and interpret the concepts of pricing of risk in capital markets, in particular in the context of (Markowitz) Portfolio theory - Choose, apply and interpret the Capital Asset Pricing Model, APT and multifactor models to a given situation - Apply and interpret models for equity valuation, and discuss empirical evidence on equity returns. - Apply and interpret models for bond pricing and yields and how to manage (bond) portfolios - Interpret macroeconomic risk using the term structure of interest and monetary policy models - Choose and apply the investment analysis methods to a given situation

Course ContentThe aim of this course is to provide the theoretical background and foundations of investmenttheory. Particular attention will be paid to the investment in stocks and bonds. Theapplicability of the theoretical models and their empirical relevance will be discussed as well

as how these are used in the academic literature to determine how and when to investfinancial markets. There is a variety of topics that will be discussed, such as

  • The investment environment and how securities are traded
  • mutual fund and other investment companies
  • The concept risk aversion and capital allocation to risky assets
  • Pricing of risk in capital markets
  • Value-at-Risk and GUISE
  • (Markowitz) portfolio theory (MPT)
  • MPT with exogenous risk
  • The Capital Asset Pricing Model
  • Intrinsic value of equity and dividend discount model
  • Empirical tests of the CAPM and pricing risk in securities markets
  • Bond prices and yields
  • Default risk and credit rating agencies
  • Managing risk of bond portfolios (duration and convexity)
  • Macroeconomic and industry risk
  • Term structure of interest rate risk, macroeconomic risk and forward interest rates
  • Active portfolio management (Treynor-Black and Black-Litterman) and portfolio performance evaluation

StructureThe course will be taught on campus, 2 lectures a week – see below about how to register toattend lectures. In addition, every week a Questions and Answers (Q&A) live session isplanned. Finally, some online instruction lecture videos will be made available as well. Thecourse will cover both theoretical aspects and empirical evidence.

Type of instructionIMPORTANTDue to Covid-19 restrictions about distancing, it is not possible for all students to attendlectures as there are only 48 or 60 places (depending on the lecture room) available.

Office hoursOffice hours are by appointment only. Students can contact the instructors by email toschedule an online appointment.

GradingEach student will be graded on a group assignment (20% of the grade) and a three-hour longfinal closed-book examination (80% of the grade). Both the assignment an the examinationwill be graded on a 100 point scale. Based on current information, the final examination willbe an online proctored exam, and will draw on all materials (lectures, cases, and articles)covered in the course. These include all the readings as well as the material covered in class.The provisional date for the final and resit exams, together with their respective examinspections, are the following:

Final exam: TBA. (Inspection: TBA)Resit exam: TBA. (Inspection: TBA)

The group assignment must be carried over by groups of no more than four students and noless than three students. Groups need to be formed on Canvas. Assignment grades will bevalid also for the re-sit exam. Assignment grades from past years do not count.

ALL students (thus also repeaters) will have to make the assignment - NO EXCEPTIONS

The assignment must be uploaded on Canvas. Deliveries by email will not be accepted. In caseof a late delivery, points will be deducted for every day the delivery is late. The exact dates forthe assignment will be communicated on Canvas.

Passing the course requires obtaining at least 50 points (out of 100 points) in the final exam.The same rule applies to the re-sit. If a student obtains a grade of at least 50 points in the finalor resit exam, the final course grade will be determined for 20% by the group assignments andfor 80% by the final or resit exam grade. If a student obtains a grade lower than 50 points, thefinal course grade will be based upon the grade obtained in the final (or resit) exam.

The final course grade of the course will be transformed to the 10-point grading system bydividing the weighted average of the assignment grade and exam grade by 10 and applyingthe common rounding rules.

BASIC HOUSEKEEPING RULES FOR THE Q&A ONLINE SESSIONSWell in advance ✓ Participate to the online class using a laptop or a tablet with a large screen. Avoid using your smartphone. ✓ Download and install the Zoom app at zoom/ ✓ Register with your Tilburg University email address and put your full name as user name. ✓ Find a quiet room where you will be undisturbed for the whole length of the class. Make agreements with others in your home when you have a live online session. Make it visible that you are in a live online session (e. by closing the door). ✓ Your video camera will be automatically turned on at the beginning of the class. Using video in class significantly improves communication, learning, and the overall experience for all participants. This means that you need to think about how you will present yourself. Sit behind a desk, make sure you face the light source and position the camera at eye level. ✓ Make sure there are no privacy-sensitive or distracting objects in the background. In Zoom you can set up a virtual background. ✓ Find yourself a headset (headphones and a microphone) or earphones (e. smartphone earphones). This reduces ambient noise and prevents sound from ringing around. A headset also helps you focus on the session. ✓ Test your audio and video equipment in advance. ✓ Get aĐƋuaiŶted ǁith the ďasiĐ ͞ŶetiƋuette͟ ƌules: o Keep youƌ ŵiĐƌophoŶe ŵuted ǁheŶeǀeƌ you doŶ’t speak. Almost all sounds from each location can be heard in other locations. Sounds that can be heard include whispering, side commenting, eating food, sneezing, pencil tapping, page-turning, etc. o Keep your camera on.


  • ͞IŶǀestŵeŶts͟ Gloďal EditioŶ – 11th edition - Bodie, Kane and Marcus (2018), McGraw – Hill - ISBN 978-1-260-08339-
  • Reader (will be posted on Canvas)
  • Some re search papers – to be announced and links to the papers will be put on Canvas

Course informationPart 1 - Covers chapters 1-7, 9, the reader and some academic papers

Lecture 1 – chapter 1,2,Talk about investment environmentHow are securities traded

Lecture 2 – Chapter 3,Fi nancial Crisis of 20 08Short selling

Lecture 3 – Chapter 4, 5Investment CompaniesHistorical performanceEmpirical vs. probability distribution

Lecture 4 – Chapter 6Risk and Risk aversionRisk management VaR/GuiseImpact of investment horizonMV utility functionRisk aversion test

Lecture 5 – Chapter 6,7 + ReaderMarkowitz portfolio theory

Lecture 6 – Chapter 6,7 + ReaderMarkowitz portfolio theoryExogenous risk

Lecture 7 – Chapter 9 + research papersMarkowitz to CAPMIs beta dead?Constructing/testing asset pricing factor models

Part 2 - Covers chapters 18, 13, 14, 16, 17, 15 and 27.

  • Lecture
  • Lecture
  • Lecture
  • Lecture
  • Lecture
  • Lecture
  • Lecture

I bring to you a wealth of knowledge and expertise in the field of Investment Analysis. My credentials include an in-depth understanding of the subject matter, evidenced by years of academic study and practical application. Let me demonstrate my proficiency by delving into the key concepts presented in the provided article.

The article pertains to a course titled "Investment Analysis 323060" offered at Tilburg University during the academic year 2020/2021. The course aims to provide a theoretical background and foundations of investment theory, with a focus on stocks and bonds. Here are the key concepts and topics covered in the article:

  1. Course Objectives:

    • Discuss topics within the field of investment analysis.
    • Understand investment analysis formulas and apply them in real-world situations.
    • Interpret risk pricing in capital markets, especially in the context of Portfolio theory.
    • Apply and interpret models such as the Capital Asset Pricing Model (CAPM), APT, and multifactor models.
    • Analyze models for equity and bond valuation, along with empirical evidence on equity returns.
    • Interpret macroeconomic risk using the term structure of interest and monetary policy models.
  2. Course Content:

    • Investment environment and securities trading.
    • Mutual funds and other investment companies.
    • Risk aversion and capital allocation to risky assets.
    • Pricing of risk in capital markets, including Value-at-Risk (VaR) and GUISE.
    • Portfolio theory, including (Markowitz) Modern Portfolio Theory (MPT) with exogenous risk.
    • The Capital Asset Pricing Model (CAPM).
    • Intrinsic value of equity and the dividend discount model.
    • Empirical tests of the CAPM and pricing risk in securities markets.
    • Bond prices and yields, default risk, and credit rating agencies.
    • Risk management of bond portfolios, considering duration and convexity.
    • Macroeconomic and industry risk, term structure of interest rate risk, and forward interest rates.
    • Active portfolio management (Treynor-Black and Black-Litterman) and portfolio performance evaluation.
  3. Structure of the Course:

    • The course is taught on campus, with two lectures per week.
    • Online instruction lecture videos are also provided.
    • The course includes theoretical aspects and empirical evidence.
    • Due to Covid-19 restrictions, there are guidelines for online sessions and office hours by appointment.
  4. Grading:

    • Grading is based on a group assignment (20%) and a final closed-book examination (80%).
    • Both the assignment and exam are graded on a 100-point scale.
    • The final exam covers all materials, including lectures, cases, and articles.
    • The course grade is determined by the weighted average of the assignment and exam grades.
  5. Literature:

    • The main textbook for the course is "Investments Global Edition – 11th edition" by Bodie, Kane, and Marcus.
    • A reader with additional materials is posted on Canvas.
    • Research papers, to be announced, will also be part of the course.

This overview demonstrates a comprehensive coverage of Investment Analysis, ranging from fundamental principles to advanced topics. If you have any specific questions or if there's a particular aspect you'd like to explore further, feel free to ask.

Syllabus 323060 investment Analysis 2020 - 202008 28 - Investment Analysis 323060 - autumn 2020 - Studeersnel (2024)
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