應用財務計量方法
(Applied Financial Econometrics Method)
林建甫
民國
88 年春
上課時間：星期二上午
9:00 到 12:00談話時間
: 星期二下午 1:00 到 4:00 或事先約定辦公室
: 經濟系 103室 電話: 3519641 轉 521網頁：
http://ccsun57.cc.ntu.edu.tw/~clin電子郵件：
clin@ccms.ntu.edu.tw
簡介︰
這門課是將經濟計量的方法應用到財務金融的實證。探討的主要課題包括，Efficient Market Hypothesis, The Random Walk Hypotheses, Long-Horizon Returns, Relationship between Risk and Return (CAPM), Estimation of Risk Premia and Expected Returns, Arbitrage Theory, Index Model, Factor Model, Event Study, Volatility Tests, ARCH and GARCH Model, Brownian Motion, Ito Lemma, The Black-Scholes and Merton Approach, The Martingale Approach, Option Valuation, Variance Forecast and Simulated Option Market, Nonlinear Structure in Financial data Series, Models of Changing Volatility.
緣起︰
這門課因為是開在經研所，其目的是提供經濟研究所同學一個進入財務金融領域的一個跳板。與財務金融研究所的財務計量不太一樣。因為經濟研究所同學已經學了很多個體、總體、計量抽象分析的技巧，大部分同學會很想多了解財務金融的內容。但往往苦於未正式修習財務金融的理論，因而覺得遺憾。但畢業以後，找工作或工作的內容又多會牽扯到財務金融。基於這樣的理念，我提供一個這樣的切入點︰將經濟計量應用到財務。在這門課，我並且會深入淺出的介紹財務金融理論，尤其著重與總體經濟的相關性，以提供經濟研究所同學必要的財務金融基本知識。
上課方式︰
上課將大量使用筆記型電腦的液晶投影。內容有很多是以 Microsoft 的 Powerpoint 方式呈現。使用的資料大多為國內外的股票市場資料。計量軟體為 Eviews 及 Gauss。
修課對象︰
研究所同學。
評分標準：
期末考 (40%), 作業(20%), 報告(30%), 其他表現 (10%)。
教科書︰
Z. Bodie, A. Kane and A.J. Marcus, (1999), Investment, 4th ed. Irwin Inc.（新陸）
J. Campbell , A. Lo and MacKinlay, (1998), The Econometrics of Financial Markets, Princeton University press. （新月）
J. Johnston and J. DiNardo, (1997), Econometric Methods, 4th Ed. McGraw-Hill （雙葉）
三本書都為研究所程度，值得同學仔細研讀。
BKM是一本很好的財務金融教科書，內容廣泛，生動活潑。CLM是較深的財務計量教科書，可以提供同學進一步的探討。JD則為典型的計量教科書，提供同學任何計量問題良好的參考。
參考書︰
Keith Cuthbertson, (1996), Quantitative Financial Economics, John Wiley & Sons (華泰）
R.Jarrow and S. Turnbull, (1996), Derivative Securities, South-Western, （雙葉）
J. Hull, (1997),Option, Future, and other Derivatives, 3rd ed., Prentice Hall (雙葉）
S. R. Pliska, (1997), Introduction to Mathematical Finance, Blackwell （雙葉）
P. Kennedy, (1992), A Guide to Econometrics, The MIT Press （雙葉）
J. D. Hamilton, (1994), Time Series Analysis, Priceton University Press （雙葉）
S. Sundersan, (1997), Fixed-Income Markets and Their Derivatives, South-Western, (華泰）
補充教材︰
上課投影片、Eviews 簡介、Gauss程式
暫定講授範圍︰
1. Introduction
Mathematics, Probability and Statistic, Finance Theory Background
Prices, Returns, and Compounding
Three Forms of Efficient Market Hypothesis
Market and Institution
Markets and Instruments
How Security Are Traded
Mutual Funds and Investment Companies
BKM Chapter 1,2,3,4
CLM Chapter 1.
JD Appendix A.B.
2. The Predictability of Asset Returns
The Random Walk Hypotheses
Statistical Framework for Estimation and Testing
Size of Tests
Power of Tests
Unit Root Tests
Recent Empirical Evidence
Tests of Random Walk 1 : IID Increments
Tests of Random Walk 2 : Independent Increments
The Random Walk 3 : Uncorrected Increments
Long-Horizon Returns
Tests For Long-Range Dependence
BKM Chapter 12.
CLM Chapter 2.
JD Chapter 7.
“
On Nonlinear Structure of Stock returns”, 1998, mimeo.
3. The Capital Asset Pricing Model
Review of the CAPM
Efficient Frontier
Market Equilibrium and as a Measure of Responsiveness
Relationship between Risk and Return (CAPM)
Implications for Corporate Finance
Results from Efficient-Set Mathematics
Nonnormal and Non-IID Returns
Implementation of Tests
Cross-Sectional Regressions
BKM Chapter 5,6,7,8,9.
CLM Chapter 5.
4. Multifactor Pricing Models
Theoretical Background
Estimation and Testing
Estimation of Risk Premia and Expected Returns
Selection of Factors
Empirical Results
Interpreting Deviations from Exact Factor Pricing
BKM Chapter 10.
CLM Chapter 6.
5. Arbitrage Pricing Theory
Arbitrage Theory
Index Model
Factor Model
Empirical result of APT Model
BKM Chapter 11.
CLM Chapter 6.
6. Event-Study Analysis
Outline of an Event Study
Models for Measuring Normal Performance
Measuring and Analyzing Abnormal Returns
Modifying the Null Hypothesis
Analysis of Power
Nonparametric Tests
Cross-Sectional Models
BKM Chapter 13.
CLM Chapter 4.
7. Present-Value Relations
The Relation between Prices, Dividends, and Returns
Present-Value Relations and US Stock Price Behavior
Long-Horizon Regressions
Volatility Tests
Vector Autogressive Methods
Tests of Present Value Models
Stock Market Volatility
Expectations Models of Term Structure
Tests of Speculative Bubbles
BKM Chapter 13.
CLM Chapter 7.
"股票價格之模型誤設與投機泡沫︰一般化Kalman filter的分析", 1998, 人文及社會科學集刊，即將出版。
8. ARCH models in Financial Market
Volatility and Moments
ARCH and GARCH Model
Risk Premia and ARCH-m Model
Recent Development in ARCH Family
"ARCH族模型估計與檢定的問題", 1996, 經濟論文叢刊, 24(3):339-355.
"結構改變的GARCH模型", 1997, 經濟論文, 25:2, 201-225.
BKM Chapter 13.
JD Chapter 6.
9. Derivative Pricing Models
Brownian Motion
Ito Lemma
A Brief Review of Derivative Pricing Methods
The Black-Scholes and Merton Approach
The Martingale Approach
Implementing Parametric Option Pricing Models
Pricing Path-Dependent Derivatives Via Monte Carlo Simulation
Option Pricing Theory
Option Contracts
Put-call Parity Theorem
Option Valuation
Variance Forecast and Simulated Option Market
BKM Chapter 20,21,22.
CLM Chapter 2,9
"變異數測與選擇權模擬市場的分析", 1996, 經濟論文叢刊, 24(3):357-382.
10. Nonlinearities in Financial Data
Nonlinear Structure in Financial data
Models of Changing Volatility
Nonparametric Estimation
Artificial Neural Networks
Overfitting and Data-Snooping
CLM Chapter 12.
"Power of the Neural Network Linearity Test", 1993, Journal of Time Series Analysis, 02, 209-220.
暫定不講授範圍︰
11. Intertemporal Equilibrium Models
The Stochastic Discount Factor
Consumption-Based Asset Pricing with Power Utility
Market Frictions
More General Utility Functions
Consumption and Asset Prices: Intertemporal Capital Asset
Pricing Model
Lucas's Model of Asset Prices
Equity Premium Puzzles
GMM and its Applications to Estimation of Intertemporal Capital Asset Pricng Models
CLM Chapter 8.
JD Chapter 10.
12. Fixed-Income Securities
Basic Concepts
Interpreting the Term Structure of Interest Rates
The Expectations Hypothesis
Yield Spreads and Interest Rate Forecasts
BKM Chapter 13.
CLM Chapter 10.
13. Term-Structure Models
Affine-Yield Models
Fitting Term-Structure Models to the Data Models
Pricing Fixed-Income Derivative Securities
Fitting the Current Term Structure Exactly
Forwards and Futures
Option Pricing in a Term-Structure Model
BKM Chapter 14,15
CLM Chapter 11.
14. Market Microstructure
Nonsynchronous Trading
The Bide-Ask Spread
Modeling Transactions Data
Recent Empirical Findings
CLM Chapter 3.