FNCE911 - FINANCIAL ECONOMICS (Course Syllabus)
The objective of this course is to undertake a rigorous study of the theoretical foundations of modern financial economics. The course will cover the central themes of modern finance including individual investment decisions under uncertainty, stochastic dominance, mean variance theory, capital market equilibrium and asset valuation, arbitrage pricing theory, option pricing, and incomplete markets, and the potential application of these themes. Upon completion of this course, students should acquire a clear understanding of the major theoretical results concerning individuals' consumption and portfolio decisions under uncertainty and their implications for the valuation of securities.
Prerequisites: ECON 681 or ECON 701, Matrix Algebra, and Calculus
FNCE912 - CORP FNCE AND FIN INSTIT
This course provides students with an overview of the basic contributions in the modern theory of corporate finance and financial institutions. The course is methodology oriented in that students are required to master necessary technical tools for each topic. The topics covered may include capital structure, distribution policy, financial intermediation, incomplete financial contracting, initial and seasoned public offerings, market for corporate control, product market corporate finance interactions, corporate reorganization and bankruptcy, financing in imperfect markets, security design under adverse selection and moral hazard, and some selected topics.
Prerequisites: ECON 681 or ECON 701
FNCE921 - INTRO EMPIR METHODS FIN (Course Syllabus)
This course is an introduction to empirical methods commonly employed in finance. It provides the background for FNCE 934, Empirical Research in Finance. The course is organized around empirical papers with an emphasis on econometric methods. A heavy reliance will be placed on analysis of financial data.
Prerequisites: FNCE 911 (can be taken concurrently), STAT 510 and 511 or equivalent.
FNCE922 - CONTINUOUS-TIME FIN ECON (Course Syllabus)
This course covers some advanced material on the theory of financial markets developed over the last two decades. The emphasis is on dynamic asset pricing and consumption choices in a continuous time setting. The articles discussed include many classical papers in the field as well as some of the most recent developments. The lectures will emphasize the concepts and technical tools needed to understand the articles.
Prerequisites: FNCE 911, ECON 701, ECON 703. (Graduate level knowledge of analysis and statistics is highly recommended but not required)
FNCE923 - FIN ECON UNDER IMP INFO
This course covers General equilibrium and rational expectations, foundations of the theory of information; learning from prices in rational expectations equilibrium models, moral hazard, adverse selection, and signalling Bidding theories.
Prerequisites: FNCE 922
FNCE924 - INTERTEMPORAL MACRO FIN (Course Syllabus)
This is a doctoral level course on macroeconomics, with special emphasis on intertemporal choice under uncertainty and topics related to finance. Topics include: optimal consumption and saving, the stochastic growth model, q-theory of investment, (incomplete) risk sharing and asset pricing. The course will cover and apply techniques, including dynamic programming, to solve dynamic optimization problems under uncertainty. Numerical solution methods are also discussed.
Prerequisites: FNCE 911
FNCE925 - TOPICS IN ASSET PRICING
This course will analyze several aspects of liquidity. Mostly, it will concentrate on liquidity as an asset's property of being traded quickly and at low cost, but the notion of availability of cash will also be studied. Particular attention will be devoted to exogenous transaction costs, asymmetric information and search frictions as determinants of asset liquidity and, consequently, price. We will also look at liquidity risk, institutional features arising as response to liquidity problems, and financing constraints. The course will concentrate on theoretical models, but the empirical literature will be referred to throughout.
FNCE926 - EMPIRICAL METH CORP FN (Course Syllabus)
The course will cover a variety of microeconometic models and methods including panel data models, program evaluation methods [e.g. difference in differences, matching techniques, regression discontinuity design] instrumental variables, duration models, structural estimation [e.g. simulated methods of moments]. The structure of the course consists of lectures, student presentations, and empirical exercises. I will utilize published studies in a variety of fields such as corporate finance, labor economics, and industrial organization to illustrate the various techniques. The goal of the course is to provide students with a working knowledge of various econometric techniques that they can apply in their own research. As such, the emphasis of the course is on applications, not theory.
Prerequisites: STAT 521 - Students are required to have taken a graduate sequence in Econometrics, you should be comforable with econometrics at the level of William Green's "Econometric Analysis of Cross-Section and Panel Data".
FNCE927 - TOPICS IN EMPIRICAL CORP
The general objective of the course is to teach and encourage students to explore interesting research questions in corporate finance. We will work toward this goal by introducing students to several advanced topics in empirical corporate finance and expose students to some current work. An emphasis will be put on the link between empirical and theoretical work, and how to think about research questions critically. Inactive
Prerequisites: While there are no official prerequisites, it would be very beneficial if you have taken the Financial Institutions (FNCE 912) and Empirical Methods in Corporate Finance (FNCE 926) Ph.D courses. You should be comfortable with the basic concepts covered in those courses.
FNCE928 - METHODS IN FNCE THEORY
This doctoral level course introduces students to game theory and continuous-time methods. Both techniques represent fundamental approaches to organizing, modeling and understanding complex financial phenomena. The game theory half will cover equilibrium concepts, moral hazard, signaling and screening. Highlights include rigorous formulations and analyses of the perfect Bayesian equilibrium concept and the principal-agent relationship. Both ideas are central to theories of corporate finance and financial markets - subjects that the students will be exposed to in the spring. The continuous-time methods half will cover basic stochastic calculus and applications to capital structure, Merton's consumption-portfolio, and problem and optimal contracts.
Prerequisites: Some mathematical sophistication. A familiarity with the basic principles of microeconomics is useful but not required.
FNCE932 - TOPICS IN CORP FINANCE
This course covers Advanced theory and empirical investigations; financial desisions of the firm, dividends, capital structure, mergers, and takeovers.
Prerequisites: FNCE 911, FNCE 921, or permission of instructor.
FNCE933 - INTERNATIONAL FINANCE
This course provides an understanding of current academic research in the areas of international finance and international macroeconomics. Students will learn the tools for conducting research in this field.
Prerequisites: FNCE 911 (FNCE 922 recommended)
FNCE934 - EMPIRICAL METH IN ASSET (Course Syllabus)
This course has three main objectives: The first object is to introduce students to the fundamental works and the frontier of research in dynamic asset pricing. We will cover recent models that have been proposed to shed light on intreguing and important empirical patterns in the cross section and in the time series. Topics include non-separable utilities, market incompleteness, learning, uncertainty, differences of opionions, ex-ante and ex-post asymmetric information, ambiguity and Knightian uncertainty. The second objective is to teach students how to think of asset pricing research under a bigger or richer framework. We shall focus on the interactions between asset pricing and other fields such as macroeconomics, corporate finance, financial institutions, and international finance. The goal of inventigating the joint dynamics is not only to better understand how asset prices are determined, but also (maybe more importantly) how would asset pricing dynamics affect other important economic vaiables such as investment, corporate payout and financing, unemployment, risk sharing, and international capital flows. Students will learn production-based asset pricing models, particularly the asset pricing models with investment-specific technology shocks, risk shocks, financial friction, searching frictions and information frictions. Of course, the advanced solution methods will focus too. The third objective is to introduce advanced empirical methods to analyze the data and the quantitative dynamic models. It includes how to estimate structural dynamic models, how evaluate structural models beyond goodness-of-fit tests, how confront the models predictions with empirical data by simulation and re-sampling techniques, and how to efficiently test models and explore new patterns using asset pricing and macro data.
Prerequisites: FNCE 911 and FNCE 921
FNCE937 - APPLIED QUANTITATIVE MET (Course Syllabus)
This is an advanced course in quantitative theory applied to macro and finance models. It is intended for doctoral students in finance, economics and related fields. The course focuses on four broad theoretical literatures: (i) firm investment and growth; (ii) corporate, household and sovereign debt; (iii) asset pricing in general equilibrium; and (iv) equilibrium macro models with a financial sector. My approach is to develop and discuss in detail a unified framework that is suited to address most topics, usually covering a few central topics and the core papers. We then discuss the more recent literature, highlighting how authors combine and expand upon the core ideas. This part of the course usually relies on regular student presentations.
Prerequisites: FNCE 911
FNCE939 - BEHAVIORAL FINANCE
There is an abundance of evidence suggesting that the standard economic paradigm-rational agents in an efficient market-does not adequately describe behavior in financial markets. In this course, we will survey the evidence and use psychology to guide alternative theories of financial markets with an eye towards identifying frontiers and opportunities for new research. Along the way, we will address the standard argument that arbitrage will eliminate any distortions caused by irrational investors. Further, we will examine more closely the preferences and trading decisions of individual investors. We will argue that their systematic biases can aggregate into observed market inefficiencies. The second half of the course extends the analysis to corporate decision making. We present the two themes of behavioral corporate finance: rational managers exploiting financial market inefficiencies and managerial decision-making biases. We then explore the evidence for both views in the context of capital structure, investment, dividend, and merger decisions. We emphasize the importance of differentiating the behavioral approach from information models and other more traditional methodology. Not currently being offered.
Prerequisites: FNCE 911