Course Descriptions

FNCE911 - Financial Economics

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 - Corporate Finance and Financial Institutions

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 898, STAT 510 or FNCE 911

FNCE921 - Introduction to Empirical Methods in Finance

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 Financial Economics

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 - Financial Economics Under Imperfect Information

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 Macroeconomics and Finance ( Course Syllabus - 2014A)

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 Methods in Corporate Finance

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: 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 - Selected Topics in Empirical Corporate Finance

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 some current work. An emphasis will be put on the link between empirical and theoretical work, and how to think about research questions critically.

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 FINANCE 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 willbe 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 - Corporate Finance

Advanced theory and empirical investigations: financial decisions 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 METHODS IN ASSET PRICING

Rigorous treatment of current empirical research in finance. Applications of multivariate and nonlinear methods. Intertemporal and multifactor pricing models. Conditional distributions. Temporal dependence in asset returns.

Prerequisites: FNCE 911 and FNCE 921

FNCE937 - Applied Quantitative Methods in Finance

Finance 937 uses numerical tools to address a variety of issues in finance. The course has two main objectives. First, it seeks to provide the students with useful quantitative tools to understand and produce frontier research in finance. Second, it applies these tools to advanced topics in both corporate finance and asset pricing. A special emphasis is placed on new and recent research.

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 view 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.

Prerequisites: FNCE 911