Financial Investment and Decision Making Syllabus Supplements

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To-do for the team project

- Decide the variable of interest

- Collect further data if necessary

- Do exercise #3 with your own data

Week 3 (June 17)

Lecture #3. Popular Equity Strategies

- Beta vs. characteristics (or risk vs. behavioral bias)

- Alpha model vs. beta model

- More on size effect

- More on value effect

- Momentum strategy

- Other notable ideas from anomaly literature

Excel exercise #4: Performance plot

- Calculate the return index out of portfolio returns

- Plot return indexes of portfolios

Excel exercise #5: Frequency distribution plot

- Plot the frequency distribution of portfolio returns

- Determine min, max, and quantiles of portfolio returns

To-do for the team project

- Do exercise #4 and #5 with your own data

Week 4 (June 24)

Lecture #4. Popular Investment Strategies in Foreign Exchange Market

- Basics of foreign exchange markets

- Carry trade

- Momentum investing in FX

- Factor models for FX

Excel exercise #6: TS mean test

- Test whether the mean is different from zero for different portfolios

- [Advanced] The monotonicity test

Excel exercise #7: TS regression

- Determine alpha and beta of individual stocks, and of portfolios

- Test whether alpha is zero

- Determine alpha and beta of individual stocks, and of portfolios, using the three factor model

- Test whether alpha is zero

To-do for the team project

- Do exercise #6 and #7 with your own data

Week 5 (July 1)

Lecture #5. Popular Investment Strategies in Commodity Futures Market

- Basics of commodity futures markets

- Normal backwardation

- Momentum investing with commodity futures

- Factor models for commodity futures

Excel Exercise #8: CS plot

- Plot mean against characteristics of individual stocks

- Plot alpha against characteristics of individual stocks

- Plot 3-factor alpha against characteristics of individual stocks

Excel Exercise #9: CR regression

- Regress mean against characteristics of individual stocks

- Regress alpha against characteristics of individual stocks

- Regress 3-factor alpha against characteristics of individual stocks

To-do for the team project

- Do exercise #8 and #9 with your own data

- Finalize the report

Week 6 (July 8): Final Exam

Week 7 (July 15): Student presentation