CALIFORNIA STATE UNIVERSITY-LONG BEACH
COLLEGE OF BUSINESS ADMINISTRATION
DEPARTMENT OF FINANCE, REAL ESTATE & LAW
Spring 2003
FINANCE
650: SEMINAR IN INVESTMENTS
Saturday
Afternoons, 1:00-5:00 p.m.
Instructor: Peter A. Ammermann, Ph.D.
Office: CBA-328
Phone: (562) 985-7526
E-mail: pammerma@csulb.edu
Website: http://www.csulb.edu/~pammerma/finance_650.htm
Office Hours: Tuesday: 12:30
– 1:00, 3:00 – 4:00; Thursday: 12:30 – 1:00, 6:30 – 7:00; or by appt.
Course Overview:
This course provides an in-depth discussion of investment and portfolio management, in terms of both theory and practice. Students are expected to learn about the investment alternatives that are available in the market. To facilitate this process, students must develop and manage a portfolio that satisfies a specific risk-return objective. In addition, students are required to work on an extended research project designed to provide them with in-depth exposure to some aspect of the theory and/or practice of investments.
Required Text:
Gordon J. Alexander, William F. Sharpe, and Jeffrey V. Bailey, “Fundamentals of Investments, 3rd
Ed.”, Prentice Hall.
Recommended
Computer Skills and Other Supplementary Readings:
Microsoft
application (Word, Power Point and Excel)
Wall
Street Journal; Business Week; Forbes; Fortune;
Internet electronic resources (e.g., MSN
MarketCentral, Yahoo!Finance, ValueLine, etc.)
Course Objectives:
To familiarize the student with a variety
of investment topics, such as the nature and operations of securities markets,
risk analysis and risk-factor models, modern portfolio theory (MPT), the
capital asset pricing model (CAPM), the arbitrage pricing theory (APT),
valuation models for stocks and bonds, option pricing and trading, investment
strategies in equities and fixed-income securities, and investment performance
evaluation.
To improve the students’ analytical
skills and conceptual abilities in the area of investments through the
examination of various problems in security analysis and portfolio management.
Instructional
Method:
Classroom lectures and discussions,
active student participation, individual research project, group portfolio management
project.
Performance
Evaluation:
|
Component |
Percentage |
|
Mid-Term Exam |
28 |
|
Comprehensive Final Exam |
32 |
|
Individual Research Project |
10 |
|
Portfolio Management Project |
30 |
|
Total |
100 |
Mid-Term
and Comprehensive Final Exams:
The mid-term and final exams will
emphasize the material from the text.
The students are responsible for all of the material of chapters listed
on the syllabus, regardless of whether they are explicitly covered in class. Prior to each exam, the students will be
provided with a general listing of the material that will be covered by the
exam. The final exam will be
comprehensive.
Individual
Research Project:
Each student will research a topic of
interest in investments (a list of possible topics will be provided by the
instructor). At the end of the term,
the results of this research must be presented to the class via a short oral
presentation and to the instructor via a written research. The grade for this project will depend on
the quality of contents, research approach, organization, and writing
style. Note: the written report will
not be returned to the student.
Portfolio
Management Project:
Each group of students is required to manage
a simulated portfolio of $10,000,000.
This portfolio must include investment positions (both long and short
positions are allowed) in at least 8 stocks that are traded on NASDAQ or one of
the major exchanges; investments in bonds and REITs are also allowed, as is the
use of derivatives for portfolio protection and performance enhancement
purposes. The group must track their
portfolio’s progress on a regular basis using the portfolio-tracking function
of MSN MoneyCentral. At the start of
the term, the group must develop, and present to the class, their portfolio’s
mission and objectives (cf., Chapters One and Seventeen of the Alexander et al.
text) and their strategy for accomplishing these. Each subsequent week, the group must report on the progress of
their portfolio and describe any material changes that have taken place over
the preceding week. At the end of the
term, each team must submit an “Annual Report” for their portfolio and give a
“Presentation to Investors” for their fund describing their results for the
term and how well the fund has performed, both in absolute terms and relative
to the fund’s mission and objectives.
The grade associated with this project will be based on the group’s
thoroughness and thoughtfulness in defining the portfolio’s mission and
objectives, constructing and managing the portfolio, assessing its performance,
and documenting, describing, and presenting a record of this process.
Tentative
Course Schedule:
|
Week |
Topic |
|
1 |
Introduction and
The Investment Environment: Videotape: Warren Buffett: Oracle of Omaha |
|
2 |
Market
Efficiency, Porfolio Selection Problem (and background statistics) and
Behavioral Finance: Chapters 4 and 7 (read 5 and 6 on own) “Are Markets Rational?” Lecture Notes · Part 1 – Testing EMH and Mysteries of the Markets · Part 2 – Behavioral Finance Videotape: Mind Over Markets |
|
3 |
Portfolio
Theory, Factor Models, and Capital Market Theory (Part 1): |
|
4 |
Portfolio
Theory, Factor Models, and Capital Market Theory (Part 2): |
|
5 |
Analysis of
Common Stocks (Part 1): Chapters 13 and 14 Mid-Term Exam |
|
6 |
Analysis of
Common Stocks (Part 2): Chapters 15 and 16 Tentative Videotape: Investing,
with Peter Lynch |
|
7 |
Portfolio
Management and Performance Evaluation: Chapters 17 and 18 |
|
8 |
Fixed-Income
Securities: Chapters
19, 20, 21, and 22 |
|
9 |
Derivatives: Chapters
24, 25 Final
Exam |
|
10 |
Individual
Project Summaries and Portfolio Investor Presentations |
Note: The contents of this syllabus may be subject to change if circumstances
require. If such changes do occur, they will be announced in class and posted
on the website.