Financial Theory

Syllabus

First Part

• Efficient Information and Predictability of Prices : 

  • Fama (2013) “Two Pillars of Asset Pricing”, Nobel Prize Lecture. 

  • Bailey (2005). Cap. 1,3

  • Schwert (2003), "Anomalies and market efficiency", Handbook of Economics and Finance, Volume 1, Part B, Capt. 15.

  • Harvey and Liu (2019) "A Census on the Factor Zoo."

• Measures of Financial Risk and Risk and Return Relationship: 

  • Tsay (2010). Cap. 1

  • McNeil, Frey, y Embrechts (2005). Capt 1 - 2

• Stylized Facts of Financial Time Series

  • McNeil, Frey, y Embrechts (2005)  Capt. 4.1

  • Cont, R. (2001). Empirical properties of asset returns: stylized facts and statistical issues. Quantitative finance, 1(2), 223.

Second Part

• Portfolio Theory: 

  • Berk y DeMarzo (2014) Third Edition. Corporate Finance.  Cap 10 -11.

  • Bailey (2005),  Cap. 5, 6, and 9

• Capital Structure Theory:

  • Eckbo (2009), Vol 2, Cap. 10-13

  • Berk y DeMarzo (2014) Third Edition. Corporate Finance. Cap 12, 14, 15, and 16

Third Part

• Option Theory

  • Berk and DeMarzo (2014) Third Edition. Corporate Finance. Cap 20 and 21

  • Bailey (2005). Cap. 18-20

  • Hull (2023) "Options, Futures, and other derivatives", 11th Edition, Cap.  10, 11, and 15 (19 Optional to time)

• Behavioral Finance

  • Hirshleifer (2015) “Behavioral Finance” Annual Review of Financial Economics, 7, pp. 133-159

  • Shiller (2003) “From Efficient Markets Theory to Behavioral Finance”, Journal Of Economic Perspectives, 17 (1), pp. 83-104

  • Shiller (2013) “Speculative Asset Prices“. Nobel Prize Lecture.

  • Eckbo (2009), Vol 2, Cap 4. “Behavioral Corporate Finance”

  • Baker and Wurgler (2013) "Behavioral Corporate Finance: An Updated Survey ", Handbook of Economics and Finance,  Volume 2, Part A, Capt. 5

Exam #2 (April 10th)

Exam #3 (May 29th)