FIN451 "Stock Market Anomalies and Trading Strategies"

 


The course gives an introduction to the field of equity market anomalies. It provides an overview over well-known as well as and recently discovered (mainly cross-sectional) anomalies and discusses why they might arise and persist. It also discusses to which extent these anomalies may be translated into effective investment strategies.

 Course Syllabus

LecturerDr. Heiko Jacobs
Date and Location

The lecture will take place mondays, 17.15-18.45 in Room O148

The first session takes place on Monday Febr. 13, 2017

Exam

 

 

The lecture does not follow any particular textbook. However, the following readings are considered very useful:

Zacks (2011), "The handbook of equity market anomalies", Wiley Finance.

Barberis/Thaler (2003), "A Survey of Behavioral Finance", in: Handbook of the Economics of Finance, Chap. 18, 1054-1123.

Subrahmanyam (2010), "The cross-section of expected stock returns: What have we learnt from the past twenty-five years of research?", European Financial Management, 16, 27-42.

 

 

 

All course materials will be uploaded to Ilias. In order to access the Iliase course either search for "FIN 451 Stock Market Anomalies and Trading Strategies" or try this link


 

Lecture

Topic

1

Introduction

2

Conceptual Foundations

(e.g. efficient market hypothesis, risk-return relation, active vs. passive investing…)

3

Behavioral Finance and Limits to Arbitrage

4

The Classical Anomalies: Size, Value, Momentum

5

The Post-Earnings-Announcement Drift and Other Event Studies

6

Violations of the Law of One Price and Spillover Effects (e.g. Pairs Trading)

7

Leaving the Cross-Section Behind: Market Timing

8

The Role of the Media for Stock Market Anomalies

9

Current Topics in Anomalies Research

10

Q & A Session (if desired)

Make sure you bring a non-programmable calculator, your student ID and your passport for the exam!