國立暨南國際大學

學年

學期

開課號

課號

課程名稱

英文課名

學院

開課系所

班級

任課教師

學分

授課時數

授課類型

課程類別

修別

排課時間

排課地點

全英語授課

任課教師電子郵件信箱

核心能力

職涯類別

教學內涵

程式設計

性別平等

品德教育

人權教育

永續環境

一、課程目標Course objectives

This is a course in graduate-level investments. Special topics including asset-pricing models and tests, portfolio theory, efficient market hypothesis, index tracking, event studies, and trading strategies, etc., will be introduced and discussed.

本課程可培養學生「核心能力」之具體說明如下：
(1) 整合分析能力：Students are expected to consolidate all theories in investments and skills in statistics they have learned at the undergraduate level.
(2) 投資管理與分析能力：Students will learn how to do asset pricing tests and examine the market efficiency, which is an important extension of the undergraduate-level investment.
(3) 國際觀與外語能力：This course will be lectured in English, and students are expected to present and discuss in English. In addition, all cases and papers focus on the evidence of the U.S. and international markets.

二、師生晤談時間及地點Instructor office hours

時間

14:00-16:00, Wed. (By appointment)

地點

414-2

電話

4697

三、授課方式Teaching approach

Lecture and class discussions

四、評量方式Grading criteria:

Investment Grades:
Mid-Exam: 50%
One Paper Report: 20%
One Paper Presentation:20%
Participation: 10%

*實際上課的進度會視上課實際情形做滾動式調整 (The actual progress of the class is subject to rolling revisions as the course progresses.)
*根據學校授課週數的調整，學生會有額外的彈性教學作業，於第一周上課說明 (Due to the change in the school's class week, students will have corresponding independent learning assignments outside the actual class week, which will be explained separately in class.)
*若要選這門課請於第一周到課(If you want to choose this course, please come to class in the first week)

五、參考書目Textbook & references:

六、教學進度Course schedule

七、彈性教學

Due to the change in the school's class week, students will have corresponding independent learning assignments outside the actual class week, which will be explained separately in class.

八、TA協助事項Teaching Assistant tasks

NO

九、備註Remarks

1. Fama and French, 1992, The cross section of expected returns, Journal of Finance 47, 427-466.
2. Fama and French, 1993, Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3-56.
3. Fama and French, 2015, A five-factor asset pricing model, Journal of Financial Economics 116, 1-22.
4. Jagannathan, R., & Wang, Z. (1996). The conditional CAPM and the cross‐section of expected returns. The Journal of finance, 51(1), 3-53.
5. Diether, K. B., Malloy, C. J., & Scherbina, A. (2002). Differences of opinion and the cross section of stock returns. The journal of finance, 57(5), 2113-2141.
6. Bali, T. G., & Cakici, N. (2008). Idiosyncratic volatility and the cross section of expected returns. Journal of Financial and Quantitative Analysis, 43(1), 29-58.
7. Fang, L., & Peress, J. (2009). Media coverage and the cross‐section of stock returns. The journal of finance, 64(5), 2023-2052.
8. Nagel, S. (2005). Short sales, institutional investors and the cross-section of stock returns. Journal of financial economics, 78(2), 277-309.
9. Baker, M., & Wurgler, J. (2006). Investor sentiment and the cross‐section of stock returns. The journal of Finance, 61(4), 1645-1680.
10. Chang, B. Y., Christoffersen, P., & Jacobs, K. (2013). Market skewness risk and the cross section of stock returns. Journal of Financial Economics, 107(1), 46-68.
11. Acharya, V. V., and L. H. Pedersen, 2005, “Asset Pricing with Liquidity Risk”, Journal of Financial Economics 77:2, pp. 375-410.
12. Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2006). The cross‐section of volatility and expected returns. The journal of finance, 61(1), 259-299.
13. Da, Z., Engelberg, J., & Gao, P. (2011). In search of attention. The journal of finance, 66(5), 1461-1499.
14. DellaVigna, S., & Pollet, J. M. (2009). Investor inattention and Friday earnings announcements. The journal of finance, 64(2), 709-749.
15. Engelberg, J. E., & Parsons, C. A. (2011). The causal impact of media in financial markets. the Journal of Finance, 66(1), 67-97.
16. Li, J., & Yu, J. (2012). Investor attention, psychological anchors, and stock return predictability. Journal of financial economics, 104(2), 401-419.
17. Hirshleifer, D., & Shumway, T. (2003). Good day sunshine: Stock returns and the weather. The journal of Finance, 58(3), 1009-1032.
18. Barber, B. M., & Odean, T. (2008). All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. The review of financial studies, 21(2), 785-818.
19. Chen, J., Hong, H., & Stein, J. C. (2001). Forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices. Journal of financial Economics, 61(3), 345-381.
20. Goldsmith‐Pinkham, P., & Shue, K. (2023). The gender gap in housing returns. The Journal of Finance, 78(2), 1097-1145.
21. Chang, Y. C., Hsiao, P. J., Ljungqvist, A., & Tseng, K. (2022). Testing disagreement models. The Journal of Finance, 77(4), 2239-2285.
22. Büchner, M., & Kelly, B. (2022). A factor model for option returns. Journal of Financial Economics, 143(3), 1140-1161.
23. Bogousslavsky, V. (2021). The cross-section of intraday and overnight returns. Journal of Financial Economics, 141(1), 172-194.
24. Avramov, D., Cheng, S., Lioui, A., & Tarelli, A. (2022). Sustainable investing with ESG rating uncertainty. Journal of Financial Economics, 145(2), 642-664.

十、本課程可培養學生之核心能力與教學活動、核心能力與評量方法之對應表

(1) 培養學生整合與分析能力之教學活動:
A. Lecturing by the teacher
B. Oral presentation
C. Paper report
(2) 培養學生整合與分析能力之評量方法:
A. Midterm examination
B. Final Report

(3) 培養學生投資管理與分析能力之教學活動:
A. Lecturing by the teacher
B. Discussions
(4) 培養學生投資管理與分析能力之評量方法:
A. Midterm examination
B. Final Report

(5) 培養學生國際觀與外語能力之教學活動:
A. Lecturing by the teacher
B. Discussions
(6) 培養學生國際觀與外語能力之評量方法:
A. Midterm Examination
B. Final Report
C. Paper Assignment

◎請同學們遵守智慧財產權及不得不法影印。
Course participants should respect intellectual property rights. Illegal copying of copyrighted course materials is strictly prohibited.
◎請任課教師在教學過程中適當引導學生使用正版教科書，並適時提醒或制止學生使用非法影印教科書，或通報學校予以輔導。
Instructors should ensure that students purchase licensed textbooks and preventstudents from using illegally copied texts.

學年

學期

開課號

課號