Essay About Individual Stock Returns And Portfolio Returns

Financial Investment and Decision Making Syllabus Supplements
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Financial Investment and Decision MakingNUCB, Summer 2015Syllabus—SupplementsPlease consult the “official” syllabus—distributed earlier through the university office—for the overview of the course. This document contains (i) other course policies that didn’t fit for the official syllabus, (ii) detailed and updated outline of the course.    Office HourThere is no set office hour, but I will be happy to meet students individually or in a group outside the classroom at a mutually agreeable time and location. Send me an e-mail to arrange an appointment ([email protected]), or just talk to me after the class.TextbookAs stated in the official syllabus, purchasing a textbook is not required for the course. Reference materials are listed in the official syllabus. Additional reference will be discussed in class. Also, to help students to review the materials, I will provide review questions in every class meeting, and, occasionally, notes on selected topics will be distributed. Most importantly, I expect the students to carefully take notes during each class meeting. See below.Use of SlidesIt is perhaps so obvious that students (graduate students as well as undergraduate students) manage to forget from time to time: Taking notes during each class is absolutely necessary for successful learning outcome. The slides include only keywords, and cannot replace carefully written notes. To encourage students to take notes diligently, I will minimize the use of the projector/slides during the class. Needless to say, students are expected to bring a pen and a notebook to the classroom.Mobile Phone, Tablet, Laptop, etc.The use of a mobile phone, a laptop, or any other electronic and communication equipment is not allowed during the class. This is to minimize the distraction to other students. Violators may be asked to leave the classroom. Course Outline—Updated Week 1 (June 3)Lecture #1: Mean Variance Algebra and Its Applications- Review of Basic Concepts – Overview- Assumptions- The Algebra- Riskfree Asset- ApplicationsExcel exercise #1: Individual stock returns- Calculate daily returns out of daily adjusted prices- Calculate mean and std of daily returns- Annualize mean and std of daily returnsExcel exercise #2: Portfolio returns- Calculate equal-weighted buy-and-hold portfolio returns- Calculate mean and std of portfolio returns- Calculate value-weighted buy-and-hold portfolio returns To-do for the team project- determine investment universe, time period- collect data- do exercise #1 and #2 with your own data Week 2 (June 10)Lecture #2: The Standard Asset Pricing Models- Capital Asset Pricing Model: Summary- Capital Asset Pricing Model: Details- Review of Basic Statistics- Capital Asset Pricing Model: Evidence- Three Factor Model of Fama and French- What Else is Out There?Excel exercise #3: Zero-investment portfolio returns- Rank stocks by a characteristics variable- Construct characteristics-sorted portfolios- Calculate equal-weighted buy-and-hold returns of characteristics sorted portfolios – Calculate value-weighted buy-and-hold returns of characteristics sorted portfolios- Calculate the returns of the zero-investment portfolio