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FM255: Financial Markets

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Course Content

This course is about the characteristics of financial markets and optimal investment strategies. Its aim is to provide a thorough understanding of both the mechanics and the operations of financial markets, whilst paying particular attention to the trading and evaluation of securities in equity and bond markets. 

During this intensive course, you will focus on asset pricing, active portfolio management and risk immunisation, portfolio performance evaluation, the predictability of returns, dynamic trading strategies and behavioural finance. Consideration will also be given to recent developments in both the theory and practice of cross-sectional asset pricing and the evaluation of risky securities.

Topics covered include:

  • Time-Varying Expected Returns and Market Efficiency;  
  • Optimal portfolio selection (asset allocation and security selection);
  • Risk and return in Equilibrium: The CAPM;
  • Empirical evidence on the capital asset pricing model;
  • Performance of the C-CAPM, the equity premium and risk-free rate puzzles;
  • Anomalies and trading strategies (size effect, value premium, momentum, reversal, Betting-Against-Beta);
  • Multi-factor models: APT and I-CAPM;
  • Optimal investment strategy when privately informed;
  • Active portfolio management, insurance, and immunisation;
  • Organisation of financial markets and exchanges;
  • Determinants of bid-ask spreads;
  • Behavioural finance;
  • Bond portfolio management and immunisation.

World-class LSE teaching

The LSE’s Department of Finance has grown in recent years to become one of the largest and most highly-regarded finance groups in the UK and Europe. On this three week intensive programme, you will engage with and learn from full-time lecturers from the LSE’s finance faculty. FM255 course lecturer, Dr Christian Julliard, teaches on a number of our undergraduate and graduate Finance modules, including Financial Econometrics, Fixed Income Securities and Credit Markets, and Forecasting Financial Time Series. 

 


Text*

Z. Bodie, A. Kane, and A. J. Marcus, Investments (10th edition), McGraw-Hill (2013).

This textbook is supplemented by selected chapters from finance and investments textbooks, and relevant articles published in the finance literature

*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

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KEY FACTS

Session: Three

Dates: 31 July - 18 August 2017

Lecturer: Dr Christian Julliard


Level: 200 level

Fees: Click here for information

Prerequisites: Introductory Finance and elementary quantitative methods

Lectures: 36 hours 

Classes: 18 hours

Assessment*: Two written examinations

Typical credit**: 3-4 credits (US)
7.5 ECTS points (EU)


How to apply?

Join our mailing list and access detailed course outline


*assessment is optional – see FAQs

**You will need to check with your home institution. Read more about credit transfer here.