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| Last update 07-12-2014 |
HU Credits:
4
Degree/Cycle:
2nd degree (Master)
Responsible Department:
Business School
Semester:
Yearly
Teaching Languages:
Hebrew
Campus:
Mt. Scopus
Course/Module Coordinator:
Prof Haim Levy
Coordinator Office Hours:
By appointment
Teaching Staff:
Prof Haim Levy
Course/Module description:
Classic and advanced papers in Finance.
Course/Module aims:
Advanced knowledge in Finance.
Learning outcomes - On successful completion of this module, students should be able to:
Knowledge in financial research.
Attendance requirements(%):
100
Teaching arrangement and method of instruction:
Frontal
Course/Module Content:
a)Cost of Capital and Capital Structure.
b)The Mean –Variance and the CAPM.
c)Expected Utility,Pardoxes, Risk and Prospect Ordering.
d) Behavioral Economics (Psychology and choices)
e) Options Valuation.
Required Reading:
a) Cost of Capital and Capital Structure
1. Hirshleifer, J. “on the theory of optimal investment decision” Journal of Political Economy, August 1958,pp.329-352.
2. (NOBEL BOTH OF THEM)Modigliani, F., and Miller, M.H., “The cost of capital, corporation finance, and the theory of investment”, The American Economic Review, June 1958, pp.261-297.
3. Modigliani, F., and Miller, M.H , Corporate income tax and the cost of capital: A correction, The American Economic Review, June 1963, pp. 433-443.
4. Heins, A.J. and Sprenkle, C.M. “A comment of the Modigliani- Miller
Cost of capital thesis”, The American Economic Review, September 1969,pp. 590-592.
5. Modigliani, F., and Miller, M.H, “Reply to Heins and Sprenkle, The American Economic Review, September 1969,pp. 592-595.
6. Miller.M.H., “Debt and Taxes” ,The Journal of Finance,1977,pp.261-275.
b)The Mean –Variance and the CAPM
7.(NOBEL) Markowitz, H.M., “Portfolio Selection” Journal of Finance ,1952, pp.77-91.
8. (NOBEL) Sharp, W.F., “Capital Asset Prices: A theory of Market Equilibrium under Conditions of Risk” Journal of Finance, September 1964, pp. 425-442.
9. (Fama NOBEL) Fama.E.F., and French,K.R., “The cross section of expected stock returns” , The journal of Finance, June 1992,pp.427-465.
10. Roll, R., “A critique of the asset pricing theory’s test: part 1:past and potential testability of the theory” journal of Financial Economics, March 1977, pp.129-176.
11. Levy, H., “Equilibrium in an imperfect market: constraint on the number of securities in the portfolio” American Economic Review, September 1978, pp.643-658.
12. Levy, H., and P.A. Samuelson (Samuelson NOBEL) “The capital asset pricing model with diverse holing periods” Management Science,
Nov.1992, pp. 1529-1542.
c)Expected Utility,Pardoxes, Risk and Prospect Ordering
13.Hanoch, G., and Levy,H., “The Efficiency Analysis of Choices Involving Risk” Review of Economic Studies, 1969, pp.335-346.
14.Rothschild, M and J.Stiglitz,”Increasing Risk: A Definition” Journal of Economic Theory,1970,pp.305-360.
15. Levy, H., and H. Markowitz, “Approximating expected utility by a function of mean-variance” American Economic Review, 1979, pp.308-317.
16. Leshno, M. and H. Levy, “Preferred by “all” and preferred by “most” decision makers: almost stochastic dominance” Management Science, 2002, pp.
d. Behavioral Economics (Psychology and choices)
17. (NOBEL) Kahneman,D., and A.Tversky, “Prospect theory of decision under risk” Econometrica, 1979,pp.263-291.
18.Tversky A. and D. Kahneman, “Advances in prospect theory: Cumulative representation of uncertainty”, Journal of Risk and Uncertainty, 1992,pp.297-323.
19. Levy, M. and H. Levy, “Prospect theory: Much ado about nothing?”
Management Science, 2002, pp.1334-1349.
20.Benarzi, S., and R.Thaler, “Naïve diversification strategies in retirement saving plans” American Economic Review,2001, pp.79-98.
e)Options Valuation
21.Black, F. and M.Scholes (NOBEL) “The pricing of Option and Corporate Liabilities” ,Journal of Political Economy, May-June 1973, pp.649-653.
22.H. Levy and M. Levy, OPTION PRICING WITH THE LOGISTIC RETURN Distribution , 2014 , Working Paper (will be given to the students)
Additional Reading Material:
Not relevant.
Course/Module evaluation:
End of year written/oral examination 0 %
Presentation 0 %
Participation in Tutorials 0 %
Project work 100 %
Assignments 0 %
Reports 0 %
Research project 0 %
Quizzes 0 %
Other 0 %
Additional information:
Not relevant.
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Students needing academic accommodations based on a disability should contact the Center for Diagnosis and Support of Students with Learning Disabilities, or the Office for Students with Disabilities, as early as possible, to discuss and coordinate accommodations, based on relevant documentation.
For further information, please visit the site of the Dean of Students Office.
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