If you find any data displayed on this website that should be amended, please contact the Curriculum Management Team.
Module Title
LM Economics of Financial Markets
School
Birmingham Business School
Department
Economics
Module Code
07 27180
Module Lead
David Dickinson
Level
Masters Level
Credits
10
Semester
Semester 2
Pre-requisites
Co-requisites
Restrictions
None
Exclusions
Description
The module covers the notions of risk and return in equity markets both in the context of asset pricing, with some consideration given to the management of equity portfolios. The stochastic discount factor approach is employed to present a general theory of the pricing of stocks, bonds, and derivatives and enables the estimations of particular models derived from the general theory. Emphasis will initially be given to the analysis of the time series properties of asset returns, such as fat tails and skewness, and dynamic properties, for example volatility clustering and long memory, will be investigated. The capital asset pricing model (CAPM) and the arbitrage pricing theory (APT) will be used as the foundation of the equilibrium pricing of financial assets. The discount factor, Generalised Methods of Moments and state-space language are considered in the context of the beta, mean-variance, and regression language common in empirical work and earlier theory. The module concludes by looking at the new research area of behavioural finance.
Learning Outcomes
By the end of the module students should be able to:
Demonstrate a comprehensive understanding of recent advances in financial economics;
Critically evaluate selected analytical techniques which form the basis of recent approaches to understanding the behaviour of financial markets;
Appraise and synthesise the relevant literature explaining how theories have been tested and the results obtained.
Assessment
27180-01 : 1Hr Exam : Exam (Centrally Timetabled) - Written Unseen (50%)
27180-02 : Class test : Class Test (50%)
Assessment Methods & Exceptions
Assessment: MCQ test (50%) & 1 hour exam (50%) Students only resit the failed component