FM412 Half Unit
Quantitative Security Analysis
This information is for the 2021/22 session.
Dr Jean-Pierre Zigrand
This course is available on the Global MSc in Management, MSc in Finance (full-time), MSc in Finance (full-time) (Work Placement Pathway), MSc in Finance (part-time), MSc in Finance and Economics, MSc in Finance and Economics (Work Placement Pathway), MSc in Finance and Private Equity, MSc in Finance and Private Equity (Work Placement Pathway) and MSc in Risk and Finance. This course is not available as an outside option.
Global MSc in Management (Accounting and Finance concentration only).
This course is not available as an outside option
Some familiarity with finance and accounting.
This course is an applied course on quantitative analysis of investment opportunities in debt, equity, property and derivatives markets. We consider valuation of macro assets (such as government bonds, diversified portfolios of equities, property) as well as the valuation of equities of individual firms and of their risky debt. We rely on theoretical concepts that students have learnt in their core courses (such as NPV, the CAPM, no-arbitrage pricing of derivatives) and also examine in depth the historical behaviour of asset returns and the history of the tools used by practitioners and academics. The focus is on applying the same core systematic quantitative framework of modern finance to all of the above securities markets to evaluate investment opportunities in realistic, sometimes, live situations. Is Amazon overpriced compared to other bricks and mortar retailers? Do EM equities offer value compared to DM equities? Is property overvalued? How does one value a loan, let alone a bank? The course involves in-class analysis of investment and accounting tools and questions, extensive analysis of financial data, study of financial statements and analyst reports and two projects. The course is structured around the following topics:
Part I. Introduction. The challenge of active investing. The importance of NPV.
Part II. Valuation Methodology
Part III. Valuing macroassets: Global Yield Curves
Part IV. Methodology: RADR, DDM
Part V. Valuing macroassets: Property
Part VI. Valuing macroassets: Diversified Equity Portfolios
Part VII. Valuing microassets: Equities Valuation
Part VIII. Different Styles for Identifying Value in Individual Equities
Part IX. Valuing microassets: Case Studies in Value and Growth
Part X. Valuing macroassets: Volatility
30 hours of seminars in the LT.
Students will be expected to complete 2 group projects. In the first project, students study the historical performance of a chosen publicly traded company and analyse and value the equity on a forward-looking basis, evaluate its risks and make an investment recommendation. The second project requires the students to study and critically examine the investment decisions and style of a well-known value investor.
• Greenwald, B, Kahn, J., P. Sonkin, M. van Biema, Value Investing: From Graham to Buffett and Beyond, Wiley Finance, 2004.
• Koller. T., M. Goedhard, and D. Wessels (McKinsey and Company), Valuation: Measuring and Managing the Value of Companies, Wiley, 2015.
• Dermine, J., Bank Valuation and Value-Based Management, McGraw Hill, 2015
Numerous articles written by well-known practitioners and policy makers
Continuous assessment (100%) in the LT.
Course selection videos
Some departments have produced short videos to introduce their courses. Please refer to the course selection videos index page for further information.
Important information in response to COVID-19
Please note that during 2021/22 academic year some variation to teaching and learning activities may be required to respond to changes in public health advice and/or to account for the differing needs of students in attendance on campus and those who might be studying online. For example, this may involve changes to the mode of teaching delivery and/or the format or weighting of assessments. Changes will only be made if required and students will be notified about any changes to teaching or assessment plans at the earliest opportunity.
Total students 2020/21: 70
Average class size 2020/21: 73
Controlled access 2020/21: Yes
Value: Half Unit
Personal development skills
- Team working
- Problem solving
- Application of information skills
- Application of numeracy skills
- Commercial awareness
- Specialist skills