財務理論(博)

Learning Goals: 1. Students will have the expert knowledge in the professional field of financial theory. 2. Students will find the related interesting topics for their future research. This PhD course is aimed to provide financial economic theories and their empirical implications. Students will learn theories and also will be expected to understand the related empirical issues and methodologies. Students will learn capital markets, market equilibrium (CAPM), corporate finance (Methodologies of Endogeneity), capital structure and corporate payout.

The basic knowledge in Economics, Finance, and Statistics is recommended.

無備註

A. I will give you the test bank for the midterm exam and final exam. The test bank will be about 60~70% in the exams. I will not provide you the solution for the test bank, thus you need to find its solution by yourself (or discuss with your classmates). B. Each group (about with 3 people) is responsible to present ALL papers. Anyone has to present at least 15 minutes for each presentation. We draw lots to decide the group presenters at the weeks for your presentations. C. You are responsible to present papers in turn in the class. (Please prepare the presentation for about 1~1.5 hour per paper. The papers will be also included in the examination. Readings Asset Pricing Tests on CAPM 1. Fama, E., and J. MacBeth, 1973. Risk, return, and equilibrium: Empirical tests. Journal of Political Economy 81, 607-636. (Y. Wang) Value premium 1. Fama, E., and K. French, 1992, “The Cross-Section of Expected Returns,? Journal of Finance 47, pp. 427-466. (Y. Wang) 2. Lakonishok, J., A. Shleifer, and R. Vishny, 1994, “Contrarian Investment, Extrapolation, and Risk,” Journal of Finance 49, pp. 1541-1578. (Y. Wang) 3. Fama, E., and K. French, 1996, “Multifactor Explanations of Asset Pricing Anomalies,” Journal of Finance 51, pp. 55-84. (Y. Wang) Firm growth 1. Titman, S., K. C. John Wei, and F. Xie, 2004. Capital investments and stock returns. Journal of Financial and Quantitative Analysis 39, 677-700. (Y. Wang) 2. Pontiff, J., and A. Woodgate, 2008. Share issuance and cross-sectional returns. Journal of Finance 63, 921-945. (Y. Wang) 3. Cooper, M., H. Gulen, and M. Schill, 2008. What best explains the cross-section of stock returns? Exploring the asset growth effect. Journal of Finance 63, 1609-1651. (Y. Wang) 4. Lam, F.Y. Eric, and K.C. John Wei, 2011. Limits-to-arbitrage, investment frictions, and the asset growth anomaly. Journal of Financial Economics 102, 127-149. (Y. Wang) R&D 1. Chan, L., J. Lakonishok and T. Sougiannis. 2001. The stock market valuation of research and development expenditures. Journal of Finance 56, 2431-2456. (Y. Wang) 2. Chambers, D., R. Jennings, and R. Thompson, 2002. Excess returns to R&D-intensive firms. Review of Accounting Studies 7, 133-158. (student) 3. Eberhart, A.C., W.F. Maxwell, and A.R. Siddique. 2004. An examination of long-term abnormal stock returns and operating performance following R&D increases. Journal of Finance 59: 623-650. (student) Market inefficiency and anomalies 1. Hirshleifer, D., P.H. Hsu, and D. Li. 2013. Innovation efficiency and stock returns. Journal of Financial Economics 107: 632-654. (student) 2. Baker, M., Wurgler, J., 2006. Investor sentiment and the cross-section of stock returns. Journal of Finance 61, 1645-1680. (student) Capital Structure 1. Baker, M., and J. Wurgler, 2002. Market timing and capital structure. Journal of Finance 32, 1-32. (student) 2. Frank, M., and V. Goyal, 2003. Testing the pecking order theory of capital structure. Journal of Financial Economics 67, 217-248. (student) Corporate Payout 1. Ikenberry, D., J. Lakonishok, and T. Vermaelen, 1995. Market underreaction to open market share repurchases. Journal of Financial Economics 39, 181-208. (student) 2. Grullon, G., and R. Michaely, 2004. The Information content of share repurchase programs. Journal of Finance 59, 651-680. (student)

Presentation 20% Midterm examination 40% Final examination 40%

• Capital Market

  1. Capital market equilibrium 2. Investment 3. Mean-Variance Portfolio Theory 4. CAPM

  講授：

  12

  其他：

  0

• Asset Pricing Empirical Papers

  Empirical papers includes tests on CAPM, value premium, firm growth, market inefficiency and anomalies, and R&D.

  講授：

  13

  其他：

  6

• Methodologies of Endogeneity

  講授：

  3

  其他：

  0

• Capital Structure Theory

  1. MM theory 2. Optimal capital structure theory 3. Tax effect 4. Pecking order theory

  講授：

  3

  其他：

  3

• Dividend Policy

  1. Dividend irrelenvance thepry 2. Bird-in-the-hand theory 3. Tax preference theory 4. Information content and clientele effect

  講授：

  3

  其他：

  3

Thomas E. Copeland, J. Fred Weston and Kuldeep Shastri, “Financial Theory and Corporate Policy”, 4th Edition. Pearson Education. (新陸書局)

地點

The office of instructor (M421)

時間

9:00~10:00,15:20~16:30 on Thursday

聯絡方式

Contacting with instructor by email