Course Announcements

Course Outline

Case #1 [Monthly Swiss Stock Returns, due: 6/4/18]

Case #2 [Event Study for Credit Suisse and Deutsche Bank, due: 6/8/18]

Case #3 [Hedging with VIX ETFs, due: 6/15/18]

Sample exam questions

Final Exam [6/18/2018, 8:30-10:00 AM]

Course Grades


Videos

Greeting from the Instructor [2 minutes]

Introductory Powerpoint presentation [13 minutes]

Introduction to the Course [PDF handout]

The course outline [9 minutes]

Course expectations [20 minutes]

Course expectations [PDF handout]

Statistical Properties of Stock Returns [36 minutes]

Statistical Properties of Stock Returns [PDF handout]

The Excel spreadsheet that was used to calculate the statistics and graphs in the prior PowerPoint presentation [27 minutes]

An Excel spreadsheet containing stock price and dividend information for Apple (AAPL) stock from 2000-2018 (from Yahoo finance) [14 minutes]

Stock Market Volatility [57 minutes]

Stock Market Volatility [PDF handout]

An Excel spreadsheet illustrating Market Model regressions [BRN481_MM spreadsheet] [21 minutes]

Further analysis of the Excel spreadsheet illustrating Market Model regressions [BRN481_MM spreadsheet] [13 minutes]

Market Model regressions [PDF handout]


Bond Markets and Interest Rates

Portfolio Theory and Practice

CAPM

Efficient Capital Markets

Anomalies and Liquidity

Portfolio Evaluation and Management

Option Pricing

Futures Pricing


Excel Data Files

Stock Index Return Data [Excel file]

Stock Index Return Data [zipped Excel file]

Apple Stock Return Data [Excel file]

Apple Stock Return Data [zipped Excel file]

Daily Stock Returns to Apple, Xerox and Goldman Sachs, and Market Returns, 2000-2018 [Market Model examples -- Excel file]

Daily Stock Returns to Apple, Xerox and Goldman Sachs, and Market Returns, 2000-2018 [Market Model examples -- zipped Excel file]

Interest Rate Data

Interest Rate Data [zipped Excel file]

Portfolio Return Data

Portfolio Return Data [zipped Excel file]

Swiss ADR Return Data

CAPM Data

CAPM Data [zipped Excel file]

Efficient Markets Data

Efficient Markets Data [zipped Excel file]

DFA Returns Data

DFA Returns Data [zipped Excel file]

Mutual Fund Returns Data

Mutual Fund Returns Data [zipped Excel file]

Option Pricing Data

Option Pricing Data [zipped Excel file]

Black-Scholes Implied Volatility Spreadsheet

Black-Scholes Implied Volatility Spreadsheet [zipped Excel file]

Futures Pricing Data

Futures Pricing Data [zipped Excel file]


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Last Updated on 6/4/2018