Course Materials for FIN 525
 

Spring 2007

Prof. George J. Jiang

E-Mail: gjiang@email.arizona.edu

Tel: 621-3373

Office: McClelland Hall 315E

Office Hours: 10:45-11:45 AM, 1:00 -2:00 PM, Monday and Wednesday or by appointment

 

 

TA: Amilcar Menichini

E-Mail: amenichi@email.arizona.edu

Office: Finance Ph.D students Area, McClelland Hall

Office Hours: Tuesday 12:00-01:00 p.m. and Thursday 11:00 a.m.-12:00 p.m. or by appointment

 

I. Syllabus:

Syllabus (Spring 2007) 

II. Lecture Notes:

Part I   -   Event Studies

                 Article

                 statdesc

                 nordis

                 capm

Part II  -  Performance Measurement

                 Article

Part III  -  Predictability of Asset Returns and Test of Random Walk  

                 Article

Part IV  - Seasonality and the January Effect

                 Article

                 ACF

Part V  - Interest rate modeling and estimation

                 Article

Part VI  - Predictive Content of Implied Volatility 

                 Article

                 Article summary

                 Algorithm                

                 IMPV

III. Groups

IV. VBA example

V.  VBA presentation

VI.  VBA related to Ex.#1

VII.  Data for Ex.#1

VII.  Investment Strategies