Course Content
This quantitative equity research course focusses on understanding the main fundamental drivers of equity prices, the role of accounting information in capturing those fundamentals and the extent to which the equity market impounds this accounting information fully into stock prices.
We will adopt a rigorous, research-based, approach towards understanding the existing sources of predictability in equity markets, and use the same approach to refine existing and develop new fundamental-based trading strategies.
The course is highly applied and students will be using real data, from financial statements and stock prices, to back-test and asses the performance of trading strategies. We will cover all aspects from trading strategy design, data collection, trading strategy back-testing and implementation, using computers and state-of-the-art programming languages.
This course will be of particular interest to those students thinking of developing their careers in quantitative equity research teams in sell-side investment banks or buy-side quantitative asset management firms. The course will also be useful for those students thinking of conducting academic research on fundamental analysis and stock return predictability.
Topics covered include:
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Financial Statements Analysis and Valuation
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Econometrics for Testing Rational Expectations
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Trading Strategies such as Earnings Momentum, Quality, Value, etc.
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Introduction to Programming
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Data Collection and Analysis
The LSE’s Department of Accounting has a leading international reputation for teaching and research. On this three week intensive programme, you will engage with and learn from full-time lecturers from the LSE’s accounting faculty. AC317 course lecturer Dr Jose Carabias Palmeiro’s research interests lie in Financial Statements Analysis and Asset Pricing, and he teaches on graduate Accounting modules, including Valuation and Security Analysis.
World-class LSE teaching
The Department of Accounting continues to enjoy a reputation as one of the leading groups in the world for teaching and research on the economic, institutional and organisational aspects of accounting and financial management. The department strives to combine 'global appeal' with a distinctive 'European orientation' in terms of institutional knowledge and affiliations, as well as intellectual traditions.
On this three week intensive programme, you will engage with and learn from full-time lecturers from the LSE.
Texts*
(i) Penman, Stephen H, Financial statement Analysis and Security Valuation (2012).
(ii) The Handbook of Equity Market Anomalies: Translating Market Inefficiencies into Effective Investment Strategies (2011).
*A more detailed reading list will be supplied prior to the start of the programme
**Course content, faculty and dates may be subject to change without prior notice