The course will begin with a rigorous review of microeconomic theory including analysis of consumer behaviour and demand, the theory of production and supply, optimal price and output determination by firms, and the concept of market equilibrium. Within this framework, the course will then focus specifically on the equilibrium determination of interest rates and asset prices under conditions of uncertainty. Finally, the course will discuss the role of market imperfections for decisions under uncertainty with particular emphasis on agency problems.
Offered by: Supply Chain and Business Technology Management
Various Linear Model topics in statistical analysis applied to business and economic problems will be reviewed. This will include design of experiments, analysis of variance, multiple regression, model building, multi-collinearity influential observations, variable selection techniques, ANOVA models with random effects, analysis of covariance etc. Case studies illustrating the different areas of application will be used.
This seminar is intended to prepare students to conduct econometric analysis in financial research. The material builds up on the topics covered in the core course MSCA 602 and continues to provide an in-depth understanding of the advanced econometric techniques in finance. Topics covered include: maximum likelihood estimation, autoregressive estimation techniques, generalized least square procedures, simultaneous equation systems, non-linear estimation techniques, limited dependant variables, and qualitative response model. In addition, the course provides an introduction to the use and the development of stochastic modeling in finance.
The MSc thesis requirement is intended to provide candidates with an opportunity to carry out an investigation in depth in a particular area of interest and to make a contribution to knowledge in the area. It is expected that the thesis will include a comprehensive and critical synthesis of the relevant literature and will also embody either a theoretical contribution to knowledge, a rigorous empirical investigation or both.
A Thesis Committee consists of a faculty member as Supervisor and two other faculty members. An Examining Committee consists of the Thesis Committee and a Thesis Examination Chair appointed by the School’s MSc Director in accordance with the thesis regulations specified in the graduate calendar.
This seminar deals with the market for financial assets, market efficiency and the valuation of financial assets. The seminar begins with a discussion of various financial assets and their institutional trading arrangements, and then continues with a theoretical development of market efficiency and testing methodologies. Various market anomalies will be identified as the empirical evidence on whether or not various types of information are fully reflected. The seminar concludes with the theory and empirical evidence on various asset-pricing paradigms. These include the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Model (APM) for equities, the Option pricing Model (OPM) for derivative securities, and the single factor duration model for fixed-income securities.
This seminar covers the various aspects of investment analysis and management such as selection, revision and measurement in both a domestic and global environment. The seminar begins with a discussion of asset allocation systems and the merits of passive and active dynamic investment strategies in the absence and presence of market imperfections such as informational inefficiencies, taxes and transaction costs. Techniques for "stock picking", "market timing", portfolio insurance, program trading, bond swaps, (contingent) immunization, among others, will be discussed. The seminar ends with the measurement of investment performance and the management of particular types of investment portfolios. Normally, the Seminar in Investment Theory (MSCA 621) will be taken concurrently with, or prior to, this seminar.
This seminar applies the theory of decision making under uncertainty to evaluate the firm's financial and real policies. It offers a rigorous review of the modern theoretical and empirical literature on the valuation of the firm's securities and their special features, the relevance of the firm's financing choices and dividend policies, corporate mergers and acquisition activities, and the determination of the firm's cost of capital. More specifically, the analyses are conducted in an equilibrium setting where the impact of imperfections such as taxes, bankruptcy costs, informational asymmetries, and agency problems is analyzed for corporate decisions.
The objectives of this course are two-fold: first, to introduce the area of mergers and acquisitions and second, to strengthen and develop the research skills (both in conducting and evaluating research) of students. To encourage you to read new research, you will be required to summarize and critique the research of others. In the last few weeks of the session, we will have a mini-conference. Students will present their work and discuss the work of other students.
Theoretical and empirical issues on the valuation and the financial use of options and futures are studied in this seminar. The seminar begins with an introduction of the options and futures markets and proceeds with the developments of pricing models for evaluating these securities. Several different types of options and futures contracts (such as stock index options, options on debt instruments and currencies, interest rate and stock index futures) are introduced and strategies for using them for arbitrage, hedging, and speculative purposes are discussed.