MPF_ASAN Security Analysis

Faculty of Economics and Administration
Autumn 2024
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: Mgr. Jana Nesvadbová
Supplier department: Department of Finance – Faculty of Economics and Administration
Timetable
Thu 10:00–11:50 S305, except Thu 19. 9., except Thu 7. 11.
  • Timetable of Seminar Groups:
MPF_ASAN/01: Thu 14:00–15:50 VT105, except Thu 19. 9., except Thu 7. 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: 19/24, only registered: 0/24
fields of study / plans the course is directly associated with
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
  • 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
  • PIRIE, Wendy L. Derivatives. Hoboken: Wiley, 2017, xix, 597. ISBN 9781119381815. 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
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 25 points.
It is necessary to obtain at least 60% (45 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 20 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.

Pre-Final Exam Condition

The student must meet one of the following conditions:

  • Obtain at least 45 points (60%) from all progress tests, or
  • Obtain 60% from the overall test.
    • 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:

  • 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
    The course is taught annually.
    Listed among pre-requisites of other courses
    The course is also listed under the following terms Autumn 2010, Autumn 2011, Autumn 2012, Autumn 2013, Autumn 2014, Autumn 2015, Autumn 2016, Autumn 2017, Autumn 2018, Autumn 2019, Autumn 2020, Autumn 2021, Autumn 2022, Autumn 2023.
    • Enrolment Statistics (recent)
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