Syllabus
Lectures 01. Introduction. Financial Crisis 1
Introduction to the course. Requirements. Seminar. 2007-2009 Subprime mortgage crisis. 02. Financial Crisis 2
Subprime mortgage crisis. New structured instruments. Impact on the countries of Central and Eastern Europe (CEE). 03. Efficient Markets
Efficient market hypothesis (EMH): weak form, semi-strong form, strong form. Relevant information. Speed of adjustment. Hypothesis testing. 04. Behavioral Finance
Examples of market inefficiencies. Investor sentiment, noise trade risk, and professional arbitrage. Passive vs. active management. 05. Liquidity
Global liquidity. Market Liquidity. Funding Liquidity. Interaction between market liquidity and banks´ funding liquidity. Measurement and indices. 06. Money Markets
Main features of the money markets. Central bank operations. Money market indicators. Determinants of interbank rates. 07. Forex Market
Main features of the forex market. Key players, instruments and operations. Links to money markets. 08. Financial Regulation
Financial system regulation. New regulation requirements. Challenges to financial market participants introduced by new financial regulation. 09. Risk Management
Importance of risk management. Tricky aspects of introducing the efficient risk management system. Differences among firms in motivation for hedging cash flow risk or against changes in firm values. Risk management of the interest rate risk vs value of portfolio. 10. Incentives, Information & Corporate Control
Managerial incentives and financial decisions. Information content of earnings announcements, change in the dividend policy, debt-equity choice. 11. Mergers, Acquisitions & Restructuring
Mergers and Acquisitions as the growth strategies. Shedding assets as gelation of values. Changes in the ownership structure for value creation. 12. Contagion and Spillovers
Volatility on financial markets. Spillovers across markets and empirical evidence. 13. Stock Market and Security Offerings
Function of the stock market as a source of funds. Emergence of securities on stock market.
Annotation
The course introduces students to selected topics in financial markets research. It provides an overview of financial markets, new challenges facing financial system participants, ways of measuring market reaction to new information, evaluating its efficiency, documenting pricing anomalies, as well as introduction to the impact of micro-structure decisions on the financial markets.
The course is organized around selected research topics that are presented in current and influential academic articles. Empirical evidence is presented during lectures.
In the seminar sessions, students are asked to work in small groups, present and discuss the assigned readings.