Degree | Type | Year |
---|---|---|
2501572 Business Administration and Management | OT | 4 |
2501573 Economics | OT | 3 |
2501573 Economics | OT | 4 |
You can view this information at the end of this document.
Students enrolling in this subject are expected to have taken 'Finance I' (102329) previously.
This subject studies the properties of financial markets and financial strategies. More specifically, it analyses financial transactions of four different natures: investment, speculation, hedging and arbitrage, undertaken in markets of primitive assets (stocks and fixed-income securities) and in derivatives markets (options, futures and swaps). The course is centred on the role of risk in financial markets.
Main goals of the course are the design of financial strategies and risk management in the short and the long terms, from the firms’ point of view as well as the investors’ point of view.
1. Multifactor models in capital markets: CAPM and APT
1.1. Macroeconomic factors in the APT model
1.2. Systematic factors in the BARRA model
1.3 The risk premium
1.4 Factor portfolios
2. Financial strategies with equity portfolios
2.1 Active versus passive strategies
2.2 Financial strategies and market efficiency
2.3 Active strategies of microeconomic basis
2.4 Active strategies of macroeconomic basis
3. Performance evaluation of equity portfolios
3.1 The return-risk approach
3.2 Performance indices by Sharpe, Jensen and Treynor
3.3 Performance allocation
4. Fixed-income markets and securities
4.1 Bond pricing
4.2 Different types of risk affecting bond management
4.3 Duration and convexity
4.4 Fixed-income strategies
5. Futures markets: Pricing and strategies
5.1 Forward and futures contracts.Contracts on commodities,currencies, financial assets and weather
5.2 Mechanics and functions of futures markets
5.3 Pricing futures contracts
5.4 Hedging strategies using futures
6. Swaps: Types and strategies
6.1 Definition of swap
6.2 Currency swaps
6.3.Interest rate swaps
6.4 Hedging strategies using swaps
7. Trading strategies using options
7.1 Option characteristics and option pricing: A review
7.2 Spreads
7.3 Combinations
7.4 Introduction to exotic options
Title | Hours | ECTS | Learning Outcomes |
---|---|---|---|
Type: Directed | |||
Case studies and exercises | 17 | 0.68 | 2, 3, 5, 7, 8, 14, 15, 18, 20, 21 |
Master classes | 32.5 | 1.3 | 1, 2, 3, 5, 7, 8, 14, 15, 17, 18, 20, 21, 22 |
Type: Supervised | |||
Tutorials | 22.5 | 0.9 | 1, 2, 3, 5, 7, 8, 18, 19, 20, 21 |
Type: Autonomous | |||
Searching documents and references | 12 | 0.48 | 8, 19, 21 |
Solving exercises and case studies | 41 | 1.64 | 1, 2, 3, 5, 8, 10, 11, 13, 14, 15, 17, 18, 19, 20, 21, 23 |
Studying | 20 | 0.8 | 1, 2, 5, 7, 9, 11, 13, 15, 17, 18, 19, 21, 22, 23 |
65.66% of credits (32.5 hours) are theoretical and 34.34% (17 hours) are practical. Theory is taught through lectures. Lecturers will introduce the topics encouraging students’ participation through questions and observations. In each topic presentation of contents will be accompanied by the analysis of the methods applied.
The practical part will consists of problem solving (with and without software), analysis of corporate and financial market information, and selected readings. Students are expected to participate actively by solving exercises and analysing published information, especially financial websites of stock exchanges, fixed-income markets, derivatives markets, corporations and investment funds. Problem solving in the classroom will insist on the usage of specific software (especially spreadsheets).
Annotation: Within the schedule set by the centre or degree programme, 15 minutes of one class will be reserved for students to evaluate their lecturers and their courses or modules through questionnaires.
Title | Weighting | Hours | ECTS | Learning Outcomes |
---|---|---|---|---|
Final exam | 45% | 2 | 0.08 | 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21, 22, 23 |
First continuous evaluation task | 30% | 1.5 | 0.06 | 1, 3, 5, 7, 8, 14, 16, 17, 20, 21 |
Second continuous evaluation task | 25% | 1.5 | 0.06 | 1, 2, 3, 5, 7, 8, 11, 14, 15, 16, 21, 22 |
The evaluation of 'Capital Markets' consists of two components:
a) Continuous evaluation (55% of the grade):
b) Individual exam at the end of the semester (45% of the grade).
The continuous evaluation consists of written evaluations according to two different methodologies following the rules of the Faculty of Economics and Business.
To be eligible to pass Capital Markets, students must fulfil the following requirements:
Re-evaluating the subject consists of a written retake exam on the whole contents of the subject and it is subject to the following rules of the Faculty of Economics and Business of the UAB.
This subject does not offer the option for comprehensive evaluation.
RULES OF THE FACULTY OF ECONOMICS AND BUSINESS ON EVALUATION AND RETAKING
Calendar of evaluation activities
The dates of the evaluation activities (exercises in the classroom, assignments, ...) will be announced well in advance during the semester.
The dates of the midterm exam and the exam at the end of the semester are scheduled in the evaluation calendar of the Faculty.
"The dates of evaluation activities cannot be modified, unless there is an exceptional and duly justified reason why an evaluation activity cannot be carried out. In this case, the degree coordinator will contact both the teaching staff and the affected student, and a new date will be scheduled within the same academic period to makeup forthe missed evaluation activity." Section 1 of Article 264. Calendar of evaluation activities. Academic Regulations UAB.
Students who in accordance with the previous paragraph need to change an evaluation activity date must process the request by filling out an e-form to apply for exams' rescheduling
https://eformularis.uab.cat/group/deganat_feie/nou-reprogramacio-de-proves
Grade revision process
After all grading activities have ended, students will be informed of the date and way in which the course grades will be published. Students will be also be informed of the procedure, place,date and time of grade revision following University regulations.
Retake Process
"To be eligible to participate in the retake process, it is required for students to have been previously been evaluated for at least two thirds of the total evaluation activities of the subject." Section 2 of Article 261. Retake exams. UAB Academic Regulation.
Additionally, it is required that students have obtained an average grade of the subject equal to or higher than 3.5 and less than 5.0.
The date of the retake exam is posted in the calendar of evaluation activities of the Faculty. Students who take this exam and pass it get a grade of 5.0. For those students who do not pass the retake exam the grade remains unchanged and, hence, they fail the course.
Irregularities in evaluationactivities
In spite of other disciplinary measures deemed appropriate, and in accordance with current academic regulations, "in the case that the student makes anyirregularity that could lead to a significant variation in the grade of an evaluation activity, it will be graded with a 0, regardless of the disciplinary process that can be instructed. In case of various irregularities occur in the evaluation of the same subject, the final grade of this subjectwill be 0". Section 11 of Article 266. Results of the evaluation. UAB Academic Regulation.
Rules of the Universitat Autonoma de Barcelona concerning the grade «Non-assessable / No avaluable»
A student receives the grade «Non-assessable / No avaluable» when there is insufficient evidence of his/her participation in the evaluation of the subject.
In 'Capital Markets' (102327) this will be the case if the student has participated in less than 45% of the evaluation activities.
Basic bibliography:
BODIE, Z.; A. KANE; A. J. MARCUS. Investments. 12th edition. New York: McGraw-Hill, 2021.
HULL, J. Fundamentals of Futures and Options Markets. 9th edition. Pearson. 2017.
ROSS, S.A.; R.W. WESTERFIELD; J. JAFFE; B. JORDAN. Corporate Finance. 12th edition. New York: McGraw-Hill, 2019.
Complementary bibliography:
LEE, C-F.; LEE, A.C. (eds.). Encyclopedia of Finance. 2nd edition. e-book. Springer, 2013. UAB e-catalogue.
The New Palgrave Dictionary of Economics. Macmillan. e-book. 2018. UAB e-catalogue.
Excel
The subject counts at the Virtual Campus with different Excel files constructed ad hoc for 'Capital Markets' by the lecturers of the subject.
Name | Group | Language | Semester | Turn |
---|---|---|---|---|
(PAUL) Classroom practices | 4 | English | second semester | morning-mixed |
(PAUL) Classroom practices | 51 | Catalan/Spanish | second semester | afternoon |
(TE) Theory | 4 | English | second semester | morning-mixed |
(TE) Theory | 51 | Catalan/Spanish | second semester | afternoon |