讲授人：英国曼彻斯特大学刘赫宁讲席教授

讲授课程：Advanced Topic in Finance

讲授时间：预定2020年5月14日，5月18日，5月21日，5月25日，5月28日，6月1日下午3点半开始

使用平台：ZOOM视频会议软件

2020年5月14日会议ID：835-639-0933

讲授人简介：刘赫宁教授，2017年6月至今，英国曼彻斯特大学讲席教授，常年教授硕士研究生和博士生的金融资产定价课程

刘赫宁教授研究方向包括: 宏观金融，资产定价，投资组合以及金融计量。刘赫宁教授已在国际顶尖期刊发表多篇论文，包括Review of Financial Studies, Journal of Monetary Economics，Journal of Financial and Quantitative Analysis，Journal of Economic Dynamics and Control，同时还有若干篇论文进入国际顶尖期刊第二轮修改，包括Journal of Econometrics和Management Science。刘赫宁教授的研究贡献在于研究模型不确定性(模糊性)以及波动性风险在金融市场的应用，主要在两个方面，第一，模糊性以及波动性风险在均衡模型框架内对资产价格和回报的影响；第二，模糊性对投资组合决策的影响。

鉴于目前状况，刘赫宁教授本次授课采取线上授课方式，使用ZOOM视频会议软件系统，请各位老师同学预先下载注册ZOOM软件，每次上课提前通知会议ID，2020年5月14日下午3点半开始授课的会议ID为835-639-0933.

欢迎全校师生参加！

365上市公司官网金融学系

365上市公司官网绿色金融研究中心

2020年05月14日

Time:May 14, May 18, May 21, May 25, May 28, June 1 at 3:30 p.m

Course Unit Title：Advanced Topics in Finance

Course coordinator: Professor Hening Liu

Email: Hening.Liu@manchester.ac.uk
Aims

The aims of this course are to introduce students to the structure of the main theories that are popular in empirical and applied finance research, as well as provide an understanding of how asset-pricing models are formally constructed.

Learning Outcomes

On completion of this unit successful students should have:

• An understanding of the basic theoretical foundations of the mainstream asset-pricing models.

• Systematic knowledge and understanding of issues at the forefront of research and practice in asset-pricing theories, including associated empirical evidence.

• An understanding of the limits of such knowledge and of the effects of this on analyses and interpretation.

• Appreciate alternative viewpoints on asset pricing issues

• The methods of assessment for this unit allow students to demonstrate achievement of all intended learning outcomes.

Syllabus and Teaching Schedule

Topics

• Section I : Discounted Dividend Model

  • Topic I : Gordon’s growth model

  • Topic II: Campbell and Shiller’s loglinear approximation

• Section II : Capital Asset Pricing Model

  • Topic I : Overview of the Mean-Variance Model

  • Topic II : Derivation of the CAPM

  • Topic III : Empirical tests of the CAPM

• Section III : Arbitrage Pricing Theory

  • Topic I : Derivation of the APT

  • Topic II : Applications and Empirical Evidence

• Section IV : Efficient Market Hypothesis and Anomalies

  • Topic I : Background and Methodology

  • Topic II: Anomalies

  • Topic III: Hou, Xue and Zhang’s q-factor model v.s. Fama and French’s five-factor model

• Section V : State Prices and Consumption-CAPM

  • Topic I: State prices

  • Topic II: Competitive equilibrium

  • Topic III : Consumption-CAPM and stochastic discount factor

  • Topic IV : Generalized method of moments (GMM)

Textbooks

• Main textbook: Investments, Bodie, Kane and Marcus, Global edition (2014)

• Additional readings: see lecture notes.