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ISCTE-IUL  >  Education  >  LG

Investments (2 º Sem 2016/2017)

Code: L0646
Acronym: L0646
Level: 1st Cycle
Basic: No
Teaching Language(s): Portuguese, English
Friendly languages:
Be English-friendly or any other language-friendly means that UC is taught in a language but can either of the following conditions:
1. There are support materials in English / other language;
2. There are exercises, tests and exams in English / other language;
3. There is a possibility to present written or oral work in English / other language.
1 6.0 0.0 h/sem 54.0 h/sem 0.0 h/sem 0.0 h/sem 0.0 h/sem 0.0 h/sem 1.0 h/sem 55.0 h/sem 95.0 h/sem 0.0 h/sem 150.0 h/sem
Since year 2016/2017
Pre-requisites None
Objectives The students, at the end of the present learning unit, must develop competences that allow them to understand the trading, valuation and risk management mechanisms for the bond market; to manage and characterize the interest rate risk exposure of a portfolio; to analyse the efficiency, and the performance of a portfolio allocation; to identify the main sources of value for a stock.
Program I. FINANCIAL MARKETS
1. Money-Market and FOREX
2. Stock Market
3. Bond Market
4. Financial Derivatives
5. Initial Public Offers and Short Selling Operations
6. Characterization and functionalities of Exchanges markets
II. BOND MARKET
1. Bond Features
2. Term Structure of Interest Rates
3. Fair Value and Trading Rules
4. Rates of Return
5. Rating and Credit Risk
6. Interest rate risk: Duration and Convexity
III. ASSET PRICING MODELS
1. Return and risk
2. Markowitz model
3. Tobin model
4. Capital Asset Pricing Model (CAPM)
5. Performance analysis and evaluation: Alpha, Treynor and Sharpe indices
IV. STOCK MARKET
1. Market main features
2. Stock valuation through the Discounted Dividend Model
3. Stock valuation through Market Multiples: PER and MBV
Evaluation Method Regular grading system:
- Two mid-term tests (45% each)
- Individual homework, attendance and active participation (10%)

Students that fail in the regular grading system have two additional moments to pass: first and second exams, each worth 100% of the final grade. The pass grade is 9.5 points with no less than 7.5 points in the second test. Students can try to improve their grade only in the second exam.
Teaching Method Each student should acquire analytical, information gathering, written and oral communication skills.

For this purpose, the following learning methodologies (LM) will be used:
1. Expositional, to the presentation of the theoretical issues
2. Participative, with analysis and resolution of exercises
3. Active, with the realization of individual and group works
4. Self-study, related with autonomous work by the student.
Observations
Basic Bibliographic - Bodie, Z., A. Marcus e A. Kane, 2010, Investments, McGraw-Hill/Irwin, 9ª edição;
- Elton, E. e M. Gruber, 2009, Modern Portfolio Theory and Investment Analysis, Wiley, 8ª edição;
- Sharpe, W., G. Alexander, J. Bailey, 2000, Fundamentals of Investments, Prentice Hall, 3ª edição.
- Benninga, S., 2014, Financial Modeling, MIT Press, 4th edition
Complementar Bibliographic - A. G. Mota et al., 2009, Investimentos Financeiros: Teoria e Casos, Ed. Sílabo;
- Mota, A.G. e Tomé J. C., 1991, Mercados de Títulos - Uma Abordagem Integrada, Texto Editora;
- Textos de Apoio teórico/práticos a facultar pela equipa docente durante o semestre;
- Jornais diários e/ou semanários com temáticas de economia, finanças e gestão (v.g. Jornal de Negócios; suplementos de economia de jornais diários, etc).