Università Roma Tre

The main topics of the course are as follows:

- The investment environment and process: securities, stock exchanges and financial intermediaries
- Securities and markets: the buying and selling process, types of orders, price formation, transaction costs, short sales.
- Market indexes: construction and analysis.
- Market efficiency: weak, strong and semi-strong efficiency, investor behaviour.
- Financial analysis of common stocks: fundamental analysis vs. technical analysis – principles and main techniques (DDM, multiples, trading rules).
- Equity portfolio selection and analysis: the process of constructing and analysing efficient portfolios, CAPM and factor models; investment and portfolio management strategies (passive vs. active strategies, growth vs. value strategies, fundamental vs. technical strategies, momentum strategies, tax efficient strategies, anomalies).
- Evaluation of portfolio performance and risk:
o Return measurement: TWR vs. MWR; one period vs. multiperiod.
o Risk measurement: absolute, downside, relative risk.
o Risk-adjusted measures of performance.
o Assessing skill: stock selection vs. market timing; distinguishing skill from luck.
o Performance attribution.
- Bond analysis and portfolio management strategies:
o Bond market.
o Valuation of standard and structured bonds.
o Yield curve, term structure theories and their empirical evidence.
o Determinants of yield spreads and default prediction models.
o Bond portfolio management: indexing strategies, interest rate anticipation strategies, credit risk strategies.
- Derivatives contracts: options, futures and swaps markets; strategies with derivatives.
- Asset management industry (investment firms and mutual funds): categories, strategies, fees, performance.

Reilly, F.K., Brown, K.C., Leeds, S.J., 2019. Investment Analysis and Portfolio Management, 11th Edition, Cengage Learning

or

Bodie, Z., Kane, A., Marcus, A. J., 2018. Investments, International Edition, 11th Edition, McGraw-Hill.