Capital Asset Pricing Model

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University of Macau Faculty of Business Administration MFIN604 – Theory of Finance MSc in Finance (Fall 2012/13) Instructor: Prof. Keith Lam (Associate Professor of Finance) Office: L217 (Ext. 4167) Email: keithlam@umac.mo Webpage (intranet): http://personalweb.umac.mo/keithlam Course Objectives The course aims to provide students with solid theoretical frameworks in asset pricing and other fields of finance. For asset pricing, the concepts of risk and return, and state prices will be introduced as a stepping stone towards the discussions of more advanced topics including the Capital Asset Pricing Model (CAPM), the Arbitrage Pricing Theory (APT), and other more recent asset pricing models. Other topics in finance such as options and behavior finance may also be covered on an optional basis. Besides the theoretical frameworks, recent developments in empirical asset pricing and empirical finance will also be covered with an extensive use of academic research papers. (Pre-requisite: Principles of Accounting) Textbook 1. Elton, Edwin, Martin Gruber, Stephen J. Brown , and William Goetzmann, Modern Portfolio Theory and Investment Analysis, 8th Edition, John Wiley, 2011. Reference books: 1. Copeland, T.E., Weston, J.F., and Shastri, K. (CWS), Financial Theory and Corporate Policy, 4th edition, Pearson. 2. Bodie, Z., Kane, A., and Marcus A.J., Investment, 5th edition, McGraw Hill. Study Guidelines Assigned materials, papers and paper questions should be read and done prior to the class meeting in which they will be discussed. Students are encouraged to interact with me and/or fellow students in these discussions. Problems (academic and real world) do not always fit into a formula. Likewise, cramming right before an exam usually results in confusion, anxiety, and a lack of understanding the topics. Grading Scheme Participation Assignments Midterm Exam Final Exam

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University of Macau Faculty of Business Administration MFIN604 – Theory of Finance...
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