ESF:MPF_ASAN Security Analysis - Course Information

MPF_ASAN Security Analysis

Extent and Intensity

2/2/0. 6 credit(s). Type of Completion: zk (examination).
In-person direct teaching

Teacher(s)

prof. Ing. Štefan Lyócsa, PhD. (lecturer)
Ing. Dagmar Vágnerová Linnertová, Ph.D. (lecturer)
prof. Ing. Štefan Lyócsa, PhD. (seminar tutor)
Ing. Dagmar Vágnerová Linnertová, Ph.D. (seminar tutor)

Guaranteed by

prof. Ing. Štefan Lyócsa, PhD.
Department of Finance – Faculty of Economics and Administration
Contact Person: Kristina Charvátová
Supplier department: Department of Finance – Faculty of Economics and Administration

Timetable

Thu 10:00–11:50 S305, except Thu 18. 9., except Thu 6. 11.

• Timetable of Seminar Groups:

MPF_ASAN/01: Thu 14:00–15:50 VT105, except Thu 18. 9., except Thu 6. 11., Š. Lyócsa, D. Vágnerová Linnertová

Prerequisites (in Czech)

(! MPF_ACP1 The Security Analysis )&& !NOWANY( MPF_ACP1 The Security Analysis )

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: 17/24, only registered: 0/24

fields of study / plans the course is directly associated with

• 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 will also have the opportunity to apply their skills in practical valuation exercises. The course is designed for those interested in investment analysis and fund management.
The course is divided into three parts. The first part, Quantitative Methods, introduces the time value of money, return and risk measurement, and related concepts such as mean and variance. These tools are then applied to the evaluation of past and present performance, which financial analysts use to form expectations about future outcomes (prospective analysis). The second part, Debt Valuation, and the third part, Equity Valuation, address the determination of the intrinsic value of debt and equity instruments.

Learning outcomes

Upon successful completion of the course, students will be able to:
- Explain and apply the principles of security analysis including the time value of money, the role of risk and return, and the limitations of valuation models.
- Value debt securities by identifying and applying the relevant input variables and valuation techniques.
- Analyse risk and return characteristics of fixed-coupon bonds and interpret measures of yield.
- Apply duration and convexity concepts to assess interest rate risk and use them in bond portfolio management.
- Evaluate bonds with embedded options and understand their implications for investors and issuers.
- Understand and apply fixed income management strategies in different market conditions.
- Apply fundamental analysis methods to equity valuation, including dividend-discount models, free cash flow models, relative valuation techniques, and residual income valuation.
- Interpret and critically assess valuation outcomes, recognising model assumptions, limitations, and practical implications for investment decisions.

Syllabus

Lectures schedule Lecture 1: Time Value of Money – Discounting, compounding, solving practical valuation tasks Lecture 2: Concepts of Return and Risk – Mean, variance, standard deviation, risk–return trade-off Fixed Income Securities Lecture 3: Overview and Input Variables – Coupon, yield, maturity, credit quality Lecture 4: Valuation of Debt Securities – Present value approach, bond pricing exercises Lecture 5: Risk and Return of Fixed-Coupon Bonds – Yield to maturity, realized return, case study Lecture 6: Duration and Convexity – Interest rate risk, duration/convexity calculations Lecture 7: Fixed Income Portfolio Management – Immunization, active vs. passive strategies Lecture 8: Valuation of Bonds with Embedded Options – Callable, putable, and convertible bonds Equity Securities Lecture 9: Dividend Discount Models – Single-stage, multi-stage, Gordon growth model Lecture 10: Free Cash Flow Models – Firm vs. equity approach, application to real data Lecture 11: Relative Valuation Techniques – Multiples (P/E, P/BV, EV/EBITDA) Lecture 12: Residual Income Valuation – Concept, application, comparison to other models Seminars schedule Seminar 1: Time Value of Money – Discounting, compounding, solving practical valuation tasks Seminar 2: Concepts of Return and Risk – Mean, variance, standard deviation, risk–return trade-off Seminar 3: Test no. 1 Fixed Income Securities Seminar 4:Overview and Input Variables – Coupon, yield, maturity, credit quality Seminar 5: Valuation of Debt Securities – Present value approach, bond pricing exercises Seminar 6: Risk and Return of Fixed-Coupon Bonds – Yield to maturity, realized return, case study Seminar 7: Duration and Convexity – Interest rate risk, duration/convexity calculations Seminar 8: Test no. 2 Equity Securities Seminar 9: Dividend Discount Models – Single-stage, multi-stage, Gordon growth model Seminar 10: Free Cash Flow Models – Firm vs. equity approach, application to real data Seminar 11: Relative Valuation Techniques – Multiples (P/E, P/BV, EV/EBITDA) Seminar 12: Test no. 3

Literature

required literature
• PINTO, Jerald E.; Elaine HENRY; Thomas R. ROBINSON; John D. STOWE and Stephen E. WILCOX. Equity asset valuation. Fourth edition. Hoboken, New Jersey: Wiley, 2020, xix, 688. ISBN 9781119628101. info

recommended literature
• DEFUSCO, Richard Armand; Dennis W. MCLEAVEY; Jerald E. PINTO and David E. RUNKLE. Quantitative investment analysis. Third edition. Hoboken: Wiley, 2015, xx, 609. ISBN 9781119104223. info
• 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
• DAMODARAN, Aswath. Investment philosophies : successful strategies and the investors who made them work. Hoboken: John Wiley & Sons, 2003, viii, 504. ISBN 0471345032. 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

not specified
• Equity valuation and fixed income : CFA Program Curriculum 2024. Hoboken: Wiley, 2024, x, 651. ISBN 9781953337580. info
• DEFUSCO, Richard Armand; Dennis W. MCLEAVEY; Jerald E. PINTO and David E. RUNKLE. Quantitative investment analysis. Third edition. Hoboken: Wiley, 2015, xx, 609. ISBN 9781119104223. 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.
In the case of a student departure (for example, the Erasmus program), the student is obliged to contact the guarantor and agree on the fulfilment of the conditions of the course.
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

Progress Tests Three progress tests are administered during seminars according to the seminar schedule. Each test is worth 20 points.
It is necessary to obtain at least 60% (36 points) from all the tests.
If the student does not achieve the required score, they must retake an overall test at the end of the course, where 60% is required to pass.
The student earns 15 points for solving three problems correctly and 5 points for correctly answering theoretical questions. Seminar Activity Exercises prepared by the lecturer, corresponding to specific topics, are solved in seminars.
Seminar participation is rewarded with extra points, up to 2 points per seminar. At least 8 points from seminar activities are required in order to be admitted to the final exam. Pre-Final Exam Condition The student must meet the following conditions:

Obtain at least 36 points (60%) from all progress tests and

Obtain at least 8 points from seminar activities

Final Exam and Grading The final exam is a multiple-choice test covering the course topics designed for 40 points.

Extra points earned during seminars are included in the final evaluation. Grading Scale The following scale is used for student evaluation: 100% = 108 points

A: 92–100%

B: 84–91%

C: 76–83%

D: 68–75%

E: 60–67%

F: Less than 60%

Náhradní absolvování

In case of a stay abroad (e.g., Erasmus), please contact the course instructor/guarantor and arrange the conditions for completing the course.

Language of instruction

English

Further Comments

Study Materials
The course is taught annually.

Listed among pre-requisites of other courses

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

• Enrolment Statistics (recent)
  
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