國立中興大學教學大綱

課程名稱	(中) 投資學(6076)
	(Eng.) Investment
開課單位	財金所
課程類別	必修	學分	3	授課教師	董澍琦
選課單位	財金所 / 碩士班	授課使用語言	中文	英文/EMI	N	開課學期	1042
課程簡述	The course examines a range of issues concerning the management of investment portfolios. The objective of this course is to provide an understanding of the role of modern financial theory in portfolio management and to present a framework for addressing current issues in the management of financial assets. The concepts and techniques examined are also useful in financial planning and personal investment decisions. Topics to be covered during the semester include trading, valuation, active portfolio management, asset allocation, global diversification, performance measurement, financial derivatives, and fixed income securities. The goal is to help you develop a way of thinking about and framing investment decisions. Please note, this is not a course on security analysis or stock picking.
先修課程名稱						課程含自主學習	N

課程與核心能力關聯配比(%)

課程目標之教學方法與評量方法

課程目標

核心能力

配比(%)

教學方法

評量方法

1.批判思考

2.全球視野

3.社會責任感

4.創新

5.領導

6.自主解決問題

講授

授課內容(單元名稱與內容、習作/每週授課、考試進度-共18週)

I. Introduction

Bodie, Kane and Marcus, Chapter 1

Dimson, E., P. Marsh, and M. Staunton, “Irrational Optimism,” Financial Analysts Journal, Jan/Feb 2004, 15-25.

Rubinstein M., “Rational Markets: Yes or No? The Affirmative Case.” Financial Analysts Journal, May/June 2001, 15-29.

Masters, S. J., “Emerging Markets,” Journal of Portfolio Management, Spring 2002, 96-101.

* Siegel, J. J., and J. D. Schwartz, “Long-Term Returns on the Original S&P 500 Companies,” Financial Analysts Journal, Jan/Feb 2006, 18-31.

II. Stock Trading and Benchmark Performance Indices

Bodie, Kane and Marcus, Chapters 2 and 4

* Bogle, J. C., “The Mutual Fund Industry 60 Years Later: For Better or Worse?” Financial Analysts Journal, Jan/Feb 2005, 15-24.

Morey, M. R., “Mutual Fund Age and Morningstar Ratings,” Financial Analysts Journal, Mar/Apr 2002, 56-63.

Fung, H., X. E. Xu, and J. Yau, “ Global Hedge Funds: Risks, Return, and Market Timing,” Financial Analysts Journal, Nov/Dec 2002, 19-30.

Gary Gastineau, “Exchange-Traded Funds: An Introduction,” Journal of Portfolio Management, Spring 2001, 88-96.

Gary Gastineau, “Equity Index Funds have Lost Their Way,” Journal of Portfolio Management, Winter 2002, 55-64.

Malkiel, “Returns from Investing in Equity Mutual Funds 1971 to 1991,” Journal of Finance, June 1995.

III. Asset Allocation, Expected Returns, and Time Diversification

Bodie, Kane and Marcus, Chapters 5, 6, 7, and 8

Ibbotson R. and P. Chen. “Long-Run Stock Returns: Participating in the Real Economy.” Financial Analysts Journal, January/February 2003, 88-98.

Conover, C. M., G. R. Jensen, and R. R. Johnson, “Emerging Markets: When Are They Worth it?” Financial Analysts Journal, Mar/Apr 2002, 86-95.

Poon, S., and C., Graner, “Practical Issues in Forecasting Volatility,” Financial Analysts Journal, Jan/Feb 2005, 45-56.

Arnott, R., and R. J. Ryan, “The Death of the Risk Premium.” The Journal of Portfolio Management, Spring 2001, 61-74.

* Jones, C. P., and J. W. Wilson, “The Changing Nature of Stock and Bond Volatility,” Financial Analysts Journal, Jan/Feb 2004, 100-113.

Holton G. A., “Defining Risk,” Financial Analysts Journal, Nov/Dec 2004, 19-25.

* Campbell, R., K. Koedijk, and P. Kofman, “ Increased Correlation in Bear Markets,” Financial Analysts Journal, Jan/Feb 2002, 87-94.

Ibbotson, R., and P. Kaplan, “Does Asset Allocation Policy Explain 40, 90, or 100 Percent of Performance?” Financial Analysts Journal, January/February 2000, 26-33.

Mark Kritzman, “What Practitioners Need to Know…about Time Diversification.” Financial Analyst's Journal, January/February 1994, 14-18.

* Hillier, D., P. Draper, and R. Faff, “ Do Precious Metals Shine? An Investment Perspective,” Financial Analyst's Journal, Mar/Apr 2006, 98-106.

IV. Estimation of Beta and Tests of Asset Pricing Models

Bodie, Kane and Marcus, Chapters 9, 10, 11 and 13

Fama, E. F., and K. R., French, “The Cross-Section of Expected Stock Returns,” Journal of Finance, 47, 1992, 427-465.

Narasimhan J., and S., Titman, “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency.” Journal of Finance, 48, March 1993, 65-92.

Black, F., “Beta and Return,” Journal of Portfolio Management, Fall, 1993, 8-18.

Lakonishok, J., A., Shleifer, and R. Vishny, “Contrarian Investment, Extrapolation, and Risk,” Journal of Finance, 49, 1994, 1541-1578.

Cochrane, “New Facts in Finance,” Economic Perspectives, Federal Reserve Bank of Chicago, June, 1999.

Wang, F., and Y. Xu, “What Determines Chinese Stock Returns?” Financial Analysts Journal, Nov/Dec 2004, 65-77.

V. Market Efficiency, Investor Sentiment, and Analyst Recommendations

Bodie, Kane and Marcus, Chapter 12

Alan J. Marcus, “The Magellan Fund and Market Efficiency.” The Journal of Portfolio Management, Fall 1990, 85-88.

* Barber, B., R, Lehavy, M., McNichols, and B, Trueman, “Reassessing the Returns to Analysts’ Stock Recommendations,” Financial Analysts Journal, Mar/Apr 2003, 88-96.

* Dewally, M., “Internet Investment Advice: Investing with a Rock of Salt,” Financial Analysts Journal, Jul/Aug 2003, 65-77.

Scott, J., M. Stumpp, and P. Xu, “News, Not Trading Volume, Builds Momentum,” Financial Analysts Journal, Mar/Apr 2003, 45-54.

* Tumarkin, R., and R. F. Whitelaw, “News or Noise? Internet Postings and Stock Prices” Financial Analyst's Journal, May/June 2001, 41-51.

* Fisher K. L., and M. Statman, “Investor Sentiment and Stock Returns.” Financial Analysts Journal, March/April 2000, 16-23.

* Ferreira, E. J., and S. D. Smith, “Wall $treet Week: Information or Entertainment?” Financial Analysts Journal, Jan/Feb 2003, 45-53.

* Haug, M., and M. Hirschey, “The January Effect,” Financial Analysts Journal, Sep/Oct 2006, 78-88.

* Anderson, J., and G. Smith, “A Great Company Can Be a Great Investment,” Financial Analysts Journal, Jul/Aug 2006, 86-93.

* Jegadeesh, N., and J. Livnat, “Post-Earnings-Announcement Drift: The Role of Revenue Surprises,” Financial Analysts Journal, Mar/Apr 2006, 22-34

VI. Bond Yields, Default Premiums, and the Term Structure

Bodie, Kane and Marcus, Chapters 14 and 15

Ed Altman and J. Bencivenga, “A Yield Premium Model for the High-Yield Debt Market.” The Financial Analysts Journal, September/October 1995, 49-56.

VII. Bond Duration and Interest Rate Sensitivity

Bodie, Kane and Marcus, Chapter 16

VIII. Managing Interest Rate Risk for Fixed Income Portfolios

Bodie, Kane and Marcus, Chapter 16

IX. Dividend Discount Models, Valuation, and Long Run Performance

Bodie, Kane and Marcus, Chapter 18

Gwilym, O., J. Seaton, K. Suddason, and S. Thomas, “ International Evidence on the Payout Ratio, Earnings, Dividends, and Returns,” Financial Analysts Journal, Jan/Feb 2006, 36-53.

* Chan, L. K. C., and J. Lakonishok, “Value and Growth Investing: Review and Update,” Financial Analysts Journal, Jan/ Feb 2004, 71-86.

* Jeremy J. Siegel, “The Nifty Fifty Revisited: Do Growth Stocks Ultimately Justify Their Price?” Journal of Portfolio Management, Summer 1995, 8-20.

* Hirschey, M., “Cisco and the Kids” Financial Analysts Journal, July/August 2001, 48-59.

Fama, E. F., and K. R. French, “The Equity Premium,” Journal of Finance, 57, 2002, 637-659.

Kane, A., A. J., Marcus, and J., Noh, “The P/E Multiple and Market Volatility,” Financial Analysts Journal, July/August 1996, 16-24.

Campbell, J. Y., and R. J., Shiller, “Valuation Ratios and the Long-Run Stock Market Outlook,” Journal of Portfolio Management, 1998, 24.

X. Performance Measurement

Bodie, Kane and Marcus, Chapter 24.

Stephen L. Nesbitt, “Buy High, Sell Low: Timing Errors in Mutual Fund Allocations.” Journal of Portfolio Management, Fall 1995, 57-60.

* Garvey, R., and A. Murphy, “Are Professional Traders Too Slow to Realize Their Losses?” Financial Analysts Journal, Jul/ Aug 2004, 35-43.

* Scott, J., and P. Xu, “Some Insider Sales Are Positive Signals,” Financial Analysts Journal, May/Jun 2004, 44-51.

* Irvine, P., P. Simko, and S. Nathan, “Asset Management and Affiliated Analysts’ Forecasts,” Financial Analysts Journal, May/Jun 2004, 67-78.

* Desai, H., and P. C. Jain, “Long-Run Stock Returns Following Briloff’s Analyses,” Financial Analysts Journal, Mar/Apr 2004, 447-56.

* Ennis, R. M., “Are Active Management Fees Too High?” Financial Analysts Journal, Sep/Oct 2005, 44-51.

Sharpe, W. F., “Morningstar’s Risk-Adjusted Ratings,” Financial Analysts Journal, July/August 1998, 21-33.

Sharpe, W. F., “Asset Allocation: Management Style and Performance Measurement,” Journal of Portfolio Management, 18, 1992, 7-19.

XI. Global Diversification and Performance Attribution

Bodie, Kane and Marcus, Chapter 25.

Sinquefield, R. A., “Where are the gains from International Diversification?” Financial Analysts Journal, January/February 1996, 8-14.

XII. Risk, Reward and Active Portfolio Management

Bodie, Kane and Marcus, Chapter 27

Roll, R., “A Mean/Variance Analysis of Tracking Error,” Journal of Portfolio Management, 18, 1993, 13-22.

Richard C. Grinold, “Real Alphas Don't Get Eaten.” The Journal of Portfolio Management, Summer 1994, 9-16.

Hertzel. M, P., Lowengrub, and M., Melvin, “ Information, Announcement, and Listing Effects of ADR Programs and German-U.S. Stock Market Integration,” Multinational Finance Journal, 2000, 181-200.

學習評量方式

Midterm 30%
Final exam 30%
Presentation 10%
Project 30%

教科書＆參考書目(書名、作者、書局、代理商、說明)

Required: “Investments” by Zvi Bodie, Alex Kane, and Alan J. Marcus, Seventh Edition (2008), Irwin/McGraw-Hill

課程教材（教師個人網址請列在本校內之網址）

課程輔導時間

聯合國全球永續發展目標(連結網址)

提供體驗課程：N

請尊重智慧財產權及性別平等意識，不得非法影印他人著作。
更新日期西元年/月/日：無	列印日期西元年/月/日：2025 / 5 / 28
MyTB教科書訂購平台：http://www.mytb.com.tw/