ESF:MPF_ASAN Security Analysis - Course Information

MPF_ASAN Security Analysis and Derivatives

Extent and Intensity

2/2/0. 6 credit(s). Type of Completion: zk (examination).
Taught in person.

Teacher(s)

doc. Ing. Martin Svoboda, Ph.D. (lecturer)
Ing. Dagmar Vágnerová Linnertová, Ph.D. (lecturer)
doc. Ing. Martin Svoboda, Ph.D. (seminar tutor)
Ing. Dagmar Vágnerová Linnertová, Ph.D. (seminar tutor)

Guaranteed by

doc. Ing. Martin Svoboda, Ph.D.
Department of Finance – Faculty of Economics and Administration
Contact Person: Mgr. Jana Nesvadbová
Supplier department: Department of Finance – Faculty of Economics and Administration

Timetable

Thu 12:00–13:50 P312, except Thu 16. 9., except Thu 4. 11.

• Timetable of Seminar Groups:

MPF_ASAN/01: Thu 14:00–15:50 VT105, except Thu 16. 9., except Thu 4. 11., M. Svoboda, D. Vágnerová Linnertová

Prerequisites (in Czech)

! MPF_ACP1 The Security Analysis 1

Course Enrolment Limitations

The course is only offered to the students of the study fields the course is directly associated with.

The capacity limit for the course is 24 student(s).
Current registration and enrolment status: enrolled: 0/24, only registered: 0/24

fields of study / plans the course is directly associated with

• Finance (Eng.) (programme ESF, N-FU)
• Finance (programme ESF, N-FINA)

Course objectives

The aim of this course is to introduce students to security analysis and valuation from both theoretical and empirical perspectives. Students are furthermore provided with an opportunity to apply their skills by valuing. The course should appeal to students interested in investment analysis and fund management. The course is presented in three parts. The first part, Quantitative Methods, focuses on past and present performance evaluation, which is used by financial analysts to generate expectations about future performance (prospective analysis). The second part, Equity Valuation, focuses on the determination of intrinsic security prices. The third part, Derivatives, provides knowledge about valuation and pricing techniques. The problem of Behavioral Finance is mentioned at the end of this course.

Learning outcomes

- characterize particular models for intrinsic value determination and investigate the suit models for a stock and a market;
- stipulate Private Equity value;
- use methods and tools of charting theory;
- understand Black Scholes formula and Binomimal tree for option pricing;;
- define investment strategy, investment recommendation and set timing.

Syllabus

• Lectures:
• 1. Quantitative Methods in Finance Time value of Money and Discounted Cash Flow Application
• 2. Quantitative Methods in Finance – Statistical Concept and Market Return
• 3. Equity Valuation – Return Concept, Costs of Capital
• 4. Equity Valuation – Discounted Dividend Valuation
• 5. Equity Valuation –Free Cash Flow Valuation
• 6. Equity Valuation – Residual Income Valuation
• 7. Equity Valuation – Market Based Valuation Price and Enterprise Value Multiples
• 8. Equity Valuation – Private Company Valuation
• 9. Derivatives – Basic of Derivative Pricing and Valuation
• 10. Derivatives – Pricing and Valuation of Forwards and Futures
• 11. Derivatives - Pricing and Valuation of Options
• 12. Behavioral Finance
• 13. Summary of Valuation Techniques and Standards
• Seminars:
• 1. Quantitative Methods in Finance Time value of Money and Discounted Cash Flow Application
• 2 Quantitative Methods in Finance – Statistical Concept and Market Return
• 3. Test no 1
• 4. Equity Valuation – Return Concept, Costs of Capital
• 5. Equity Valuation – Discounted Dividend Valuation and Free Cash Flow Valuation
• 6. Equity Valuation – Free Cash Flow Valuation
• 7. Equity Valuation – Residual Income Valuation
• 8. Equity Valuation – Market Based Valuation Price and Enterprise Value Multiples
• 9. Test no 2
• 10. Derivatives – Pricing and Valuation of Forwards and Futures
• 11. Derivatives - Pricing and Valuation of Options
• 12. Test no 3
• 13. Final seminar

Literature

required literature
• REILLY, Frank K. and Keith C. BROWN. Analysis of investments & management of portfolios. 10th ed. Australia: South-Western Cengage Learning, 2012, xxvi, 1066. ISBN 9780538482486. info
• Equity asset valuation. Edited by Jerald E. Pinto. 2nd ed. Hoboken, NJ: Wiley, 2010, vi, 117 p. ISBN 9780470571439. info

recommended literature
• DAMODARAN, Aswath. Investment philosophies : successful strategies and the investors who made them work. Hoboken: John Wiley & Sons, 2003, viii, 504. ISBN 0471345032. info
• HULL, John. Options, futures & other derivatives. 5th ed. Upper Saddle River: Prentice Hall, 2003, xxi, 744. ISBN 0130090565. info
• DAMODARAN, Aswath. Investment valuation : tools and techniques for determining the value of any asset. 2nd ed. New York: John Wiley & Sons, 2002, xvi, 992. ISBN 0471414905. info
• DAMODARAN, Aswath. Damodaran on valuation : security analysis for investment and corporate finance. New York: John Wiley & Sons, 1994, xi, 426. ISBN 0471304654. info
• GRAHAM, Benjamin and David L. DODD. Security analysis : principles and technique. 2nd ed. New York: McGraw-Hill Book Company, 1940, xiii, 851. ISBN 007141228X. info

Teaching methods

Individual lectures, in seminars application of knowledge about particular valuation methods in selected securities. The students' knowledge is regularly tested with three progress tests.
Any copying, recording or leaking tests, use of unauthorized tools, aids and communication devices, or other disruptions of objectivity of exams (credit tests) will be considered non-compliance with the conditions for course completion as well as a severe violation of the study rules. Consequently, the teacher will finish the exam (credit test) by awarding grade "F" in the Information System, and the Dean will initiate disciplinary proceedings that may result in study termination.

Assessment methods

Three progress tests are written in seminars according to the time schedule of seminars. The test has 10 points per each. It is necessary to get at least 60 % (18 points) from all tests. If the required score is not reached student must re-take overall test at the end of the course (a 60 % of points is required).
In the seminars there are solved exercises prepared by the lecturer that correspond with particular topics. The activity in seminars is evaluated by extra points (max 2 per seminar)
Pre final exam condition:

18 points from all progress tests at least (a 60 %) OR a 60 % of points from the overall test
Exam and final result

Multiple Choice test that corresponds with course topics.

A condition of successful completion of final test is to achieve at least 60%. Extra points are included into final evaluation. For the evaluation of students, the following scale is used: A 92 - 100%, B 84 - 91%, C 76 - 83%, D 68 - 75%, E 60 - 67%, F less than 60%.

Language of instruction

English

Further Comments

Study Materials

Listed among pre-requisites of other courses

• MPF_ACP1 The Security Analysis
  (!MPF_ASAN)&& !NOWANY(MPF_ASAN,MPF_FIIN)  

• Enrolment Statistics (Autumn 2021, recent)
  
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