College of Commerce
National Chengchi University
Fall 2013
357934001 Topics in Investments Instructor: 徐燕山
Tuesday 09:10AM – 12:00AM Office: 商學院261246
Room: 商館260301 Office Hrs: Wed. 14-16
Email: Phone: 81246
Course Description：
This course (Topics in Investments) will cover two investment topics relevant to institutional investors’ investments: hedge funds and asset allocations. The prerequisite for this course is a passing grade in a graduate-level course of Investments. As the scope of hedge fund investments is quite broad, this class will focus on hedge fund strategies, some of which will be thoroughly examined, coupled with articles and cases. Next, we will examine the investment policy of institutional investors and the procedures they adopt to set their asset allocations. Students might be requested to present some of the articles in classes. As this is a course with two credit hours, we will meet three hours each week, but only lasting for the first 12 weeks.
Reading Materials and Cases:
There is no textbook required. The reading material for this class is a collection of articles and notes. Also, we will adopt the HBS cases and notes for our class, and each student has to pay around NT$50 per case or note. I will provide you additional reading articles whenever they are deemed as appropriate to this class.
Class Schedule:
Week 1: Introduction to Hedge Fund Strategies; Group formation
Readings:
Fung and Hsieh, “A Primer on Hedge Funds,” Journal of Empirical Finance, Vol. 6, 1999, pp. 309-331.
Malkiel and Saha, “Hedge Funds: Risk and Return,” Financial Analysts Journal, Vol. 61, No. 6, 2005, pp. 80-88.
Week 2: Market Timing and Security Selection
Readings:
De Bondt and Thaler, “Does the Stock Market Overreact?” Journal of Finance, Vol. 40, No. 3, 1985, pp. 793-805. Read only pages 793-800.
Jegadeesh and Titman, “Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” Journal of Finance, Vol. 48, No. 1, 1993, pp. 65-91. Read only pages 65-70.
Asness, Friedman, Krail, and Liew, “Style Timing: Value versus Growth,” Jornal of Portfolio Management, Vol. 26, No. 3, 2000, pp. 50-60.
Week 3: Performance Measurement
Readings:
Asness, Krail, and Liew, “Do Hedge Funds Hedge?” Journal of Portfolio Management, Vol. 28, No.1, 2001, pp. 6-19.
Ennis and Sebastian, “A Critical Look at the Case for Hedge Funds,” Journal of Portfolio Management, Vol. 30, No.1, 2003, pp. 103-112.
Mauldin, “Evaluating Hedge Funds: The Due Diligence Process,” chapter 9 in Absolute Returns.
Week 4: Risk Arbitrage
Case:
“Strategic Capital Management, LLC (A)” HBS case 9-202-024.
Readings:
Baker and Savasoglu, “Limited Arbitrage in Mergers and Acquisitions,” Journal of Financial Economics, Vol. 64, 2002, pp. 91-115.
Mitchell, and Pulvino, “Characteristics of Risk and Return in Risk Arbitrage,” Journal of Finance, Vol. 56, 2001, pp. 680-706.
Mitchell, Pulvino, and Stafford, “Limited Arbitrage in Equity Markets,” Journal of Finance, Vol. 57, 2002, pp. 205-220.
Week 5: Limited Arbitrage and Funding Liquidity Risk
Case:
“Risk Arbitrage: Abbott Lab and Alza (A),” HBS case 9-203-003.
Readings:
Shleifer and Vishny, “The Limits of Arbitrage,” Journal of Finance, Vol. 52, 1997, pp. 35-55. Read only the introduction, Sections III, IV, and V.
Brunnermerier and Pedersen, “Market Liquidity and Funding Liquidity,” The Review of Financial Studies, Vol. 22, 2007, pp. 2201-2238. Read only introduction and Appendix A.
Mitchell, Pedersen, and Pulvino, “Slow Moving Capital,” The American Economic Review, Vol. 97, 2007, pp. 215-220.
Week 6: Convergence Trades (Project preliminary presentations)
Readings:
“Long Term Capital Management, L.P.,” HBS cases 9-200-007, 9-200-008, 9-200-009.
Week 7: Portfolio objective
Readings:
Strong, Robert A., 2009, Portfolio Construction, Management, and Protection, 5th edition, South-Western College Publishing, chapter 4.
Week 8: Investment policy
Readings:
Strong, Robert A., 2009, Portfolio Construction, Management, and Protection, 5th edition, South-Western College Publishing, chapter 5.
Tschampion, R. C., L. B. Siegel, D. J. Takahashi, and J. L. Maginn “Managing Institutional Investor Portfolios,” chapter 3 in Managing Investment Portfolios edited by Maginn, J. L., D. Tuttle, J. E. Pinto, and D. W. McLeavey, 2007.
Week 9: Capital Market Expectations and Asset allocations
Case:
“Rudy Wong, Investment Advisor” Ivey Case 910N04.
Readings:
Calverley, Meder, Singer, and Staub, “Capital Market Expectations,” Chapter 4 in Managing Investment Portfolios, editors: Maginn, J. L., D. Tuttle, J. E. Pinto, and D. W. McLeavey, 2007.
Week 10: Strategic asset allocation process
Case:
“The Harvard Management Company and Inflation-Protected Bonds,” HBS case 9-201-053.
Readings:
Swensen, David, 2000, “Asset Allocation,” chapter 5 in Pioneering Portfolio Management, The Free Press.
Sharpe W. F., P. Chen, J. E. Pinto, and D. W. McLeavey “Asset Allocation,” chapter 5 in Managing Investment Portfolios edited by Maginn, J. L., D. Tuttle, J. E. Pinto, and D. W. McLeavey, 2007.
Week 11: Revision of the Equity Portfolio
Case:
“Investment Policy at the Hewlett Foundation,” HBS case 9-205-126.
Readings:
Gastineau, Olma, and Zielinski, “Equity Portfolio Management,” Chapter 7 in Managing Investment Portfolios, editors: Maginn, J. L., D. Tuttle, J. E. Pinto, and D. W. McLeavey, 2007.
Strong, Robert A., 2009, Portfolio Construction, Management, and Protection, 5th edition, South-Western College Publishing, chapter 15.
Week 12: Project Presentations (on December 31, 2013)
Grading Policy:
The final grade will be determined as follows:
Case written reports 50%
Projects 40%
Class participations 10%
Course Requirements:
The course requirements consist of several case studies and a group project report. For both case studies and project reports, you should form a group of no more than three students to discuss the case questions assigned and prepare the group project report. Each group should prepare a short written report which should be no more than three pages (plus tables etc) and be handed in at the beginning of the case discussion.
Assignment 1:
Topics in Investments Student Data Sheet
To be returned by September 24. This counts as much as the case reports you will be handing in.
Name
Email address
Previous working experiences
Greater goals for taking this course
Please include below a small photo of yourself.
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