ESF:MPF_ASAN Security Analysis - Informace o předmětu

MPF_ASAN Security Analysis

Rozsah

2/2/0. 6 kr. Ukončení: zk.
Vyučováno kontaktně

Vyučující

prof. Ing. Štefan Lyócsa, PhD. (přednášející)
Ing. Dagmar Vágnerová Linnertová, Ph.D. (přednášející)
prof. Ing. Štefan Lyócsa, PhD. (cvičící)
Ing. Dagmar Vágnerová Linnertová, Ph.D. (cvičící)

Garance

prof. Ing. Štefan Lyócsa, PhD.
Katedra financí – Ekonomicko-správní fakulta
Kontaktní osoba: Kristina Charvátová
Dodavatelské pracoviště: Katedra financí – Ekonomicko-správní fakulta

Rozvrh

Čt 10:00–11:50 S305, kromě Čt 18. 9., kromě Čt 6. 11.

• Rozvrh seminárních/paralelních skupin:

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

Předpoklady

(! MPF_ACP1 Analýza cenných papírů )&& !NOWANY( MPF_ACP1 Analýza cenných papírů )

Omezení zápisu do předmětu

Předmět je určen pouze studentům mateřských oborů.

Předmět si smí zapsat nejvýše 24 stud.
Momentální stav registrace a zápisu: zapsáno: 17/24, pouze zareg.: 0/24

Mateřské obory/plány

• Finance (program ESF, N-FINA)

Cíle předmětu

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.

Výstupy z učení

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.

Osnova

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

Literatura

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

doporučená literatura
• DEFUSCO, Richard Armand; Dennis W. MCLEAVEY; Jerald E. PINTO a David E. RUNKLE. Quantitative investment analysis. Third edition. Hoboken: Wiley, 2015, xx, 609. ISBN 9781119104223. info
• REILLY, Frank K. a 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 a David L. DODD. Security analysis : principles and technique. 2nd ed. New York: McGraw-Hill Book Company, 1940, xiii, 851. ISBN 007141228X. info

neurčeno
• 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 a David E. RUNKLE. Quantitative investment analysis. Third edition. Hoboken: Wiley, 2015, xx, 609. ISBN 9781119104223. info

Výukové metody

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.

Metody hodnocení

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.

Vyučovací jazyk

Angličtina

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