Topics: Futures contract, Hedge, Arbitrage Pages: 5 (809 words) Published: March 17, 2014
Advanced Security Analysis and Portfolio Management (EF4320) Spring 2014, by Dr. Dayong Huang
Office: AC2 5110; Tel: 34429230; email:; Email is preferred. Office hours: Tuesday 10:00-11:30 or Wednesday 10:00-11:30 or by appointment Teaching Assistant: Fred Chan,, P7706 AC1. Please email Fred for general inquiries and hand in group homework assignments and trading records to Fred by due date.

Aims and Objectives: This course is aimed to provide financial market investment theory and applications at an advanced level. After the course is completed, students are expected to master fundamental principles adequately and be able to apply them to financial investments. More precisely, students will get familiar with financial market irregularities, advanced financial instruments for sophisticated applications of investment strategies and portfolio management, even in an international perspective.

Course materials:
Class handouts and the textbooks:
Required Text: Bodie, Kane and Marcus, 2011, “Investments”, 9th edition, McGraw-Hill, ISBN13: 978-0-07-353070-3.
Recommended Readings:
1. Campbell, John Y., and Tuomo Vuolteenaho, 2004, Bad beta, good beta, American Economic Review 94, 1249-1275.
2. Fama, Eugene F., and Kenneth R. French, 1996, Multifactor explanations of asset pricing anomalies, Journal of Finance 51, 55-84.
3. Fama, Eugene F., and Kenneth R. French, 2008, Dissecting anomalies, Journal of Finance 63, 1653-1678.
4. Jegadeesh, Narasimhan, and Sheridan Titman, 1993, Returns to buying winners and selling losers: Implications for stock market efficiency, Journal of Finance 48, 65-91. Grade weights:
Trading Simulation:
Industry Analysis Presentation:
Homework Assignments:

20% (Date 12/03/2014)
50% (Date TBA)

The simulation
1. It requires you to trade stocks using the trading simulator at 1 

2. Minimum numbers of trades are 3 trades per week. It is graded based upon the number of trades, effort, and performances.
3. You need to submit your trading history and brief summary (two sentences for each stock you trade) to Fred Chan. One is due on 12/03/2014, and another is due on 04/23/2014. 4. Each team can have less than eight students.

5. Fill out the following template for each of your trade.
Paste MACD and stochastic figure here (from
I need to see 50 and 200 day exponential
Yahoo Finance)
moving average, MACD, slow stochastics, etc,
use 1-year chart.
Other Comments (Important)
Fill this out

6. I also need your summary trading history printed out from the investopedia.

Industry Presentation
1. You need to analyze an industry and study the leading TWO firms in your industry in detail. Describe what they do, calculate their fair prices (using FCF models we cover in the class)
2. Discuss their financial ratios
3. Discuss the general macro economy and the trends in your industry, and most importantly, the firms’ competitiveness.
4. Discuss technical perspective of the stock using 1 year chart and 5 year chart. 5. Each presentation is about 20 minutes and we will use the last one or two classes for this presentation.
6. You need to prepare powerpoint slides for your presentations. Please Email me your slides and turn in a hardcopy on the day you present. Grading of project is based on the depth of your study and the clarity of your presentation.

7. Each team can have less than 8 students.
Grading Scale will be as follows:

= A+
= A= B+
= B= C+


70%-71.9% = C60%-69.9% = D
Below 60% = F
Tentative Course Outline
Topic 1: Financial Statement Analysis and Equity Evaluation Models (BMK, Chapter 19 and 18) Case: Statements on YGE, Fair Price calculation for INTC
Topic 2: Understanding PE ratio. (Notes)
Technical Analysis
Topic 3: Macro and Industry...
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