Course unit title

Capital Market Analysis and Portfolio Management

Course unit code

MNK638

Type of course unit (compulsory, optional)

Optional

Level of course unit (according to

EQF: first cycle Bachelor, second cycle Master)

Second Cycle Master

Year of study when the course unit is delivered (if applicable)

2021–2022

Semester/trimester when the course unit is delivered

3rd semester

Number of ECTS credits allocated

4,8 ECTS

Name of lecturer(s)
  1. Dr. Muhammad Madyan, SE, M.Si, M.Finc
  2. Dr. Rahmat Setiawan, SE.,MM.,CFP
  3. Drs. I Made Sudana, MS
  4. Dr. Andry Irwanto, MBA

Learning outcomes of the course unit
  1. Able to analyze various elements of theory, paradigm, principle, and concept of investment management correctly
  2. Able to analyze problems, phenomena and scope of investment through interpretation of relevant data and information
  3. Able to apply analysis tools, valuation and management of stock securities through index models, Capital Assets Pricing Model, Arbitrage Pricing Theory, Multifactor Models of Risk and Premium, as well as bond securities valuation analysis
  4. Able to analyze derivative securities, modern investment theory, and international investment and investment management
  5. Able to produce scientific papers that are tested and at the same time able to communicate research results both orally and in writing

Mode of delivery (face-to-face, distance learning)

Face-To-Face and Distance Learning (using AULA UNAIR)

Prerequisites and co-requisites (if applicable)

-

Course content
  1. Financial Instrument
  2. How securities are traded
  3. Mutual Funds and other investment company
  4. Pasar Modal di Indonesia dan Mekanisme Perdagangan
  5. Introduction to Risk, Return, and the Historical Record
  6. Risk Aversion and capital Allocation across Risky and Risk free Portfolios
  7. Optimal Risky Portfolios
  8. A Single Factor Security Market
  9. The Single Index Model
  10. Estimating the Single Index Model
  11. Portfolio Construction and the Single Index Model
  12. Practical Aspect of Portfolio Management with the Index Model
  13. The CAPM and the Index Model
  14. Econometrics and the Expected Return Beta Relationship
  15. Liquidity and the CAPM
  16. Arbitrage pricing Theory
  17. A Multifactor APT
  18. The Multifactor CAPM and the APT
  19. Analysis and strategy of common stocks
  20. Random Walks and the Efficient Market Hypothesis
  21. Implications of the EMH
  22. Event Studies
  23. Are markets Efficient?
  24. Mutual Fund and Analyst Performance
  25. The Behavioral Critique
  26. Technical Analysis and behavioral Finance
  27. Bond Prices and Yields
  28. The Term Structure of Interest Rates
  29. Managing Bond Portfolios
  30. Macroeconomic and Industry Analysis
  31. Equity Valuation Models
  32. Financial Statement Analysis
  33. The Option Contract
  34. Values of options at Expiration
  35. Option Strategies
  36. The Put Call Parity Relationship
  37. Option Valuation
  38. Black Scholes Formula
  39. The Future Contract
  40. Trading Mechanics
  41. Future Markets Strategies
  42. Future Prices
  43. Foreign Exchange Futures
  44. Stock Index Futures
  45. Interest Rate Futures
  46. Swaps
  47. Commodity Futures Pricing
  48. The Conventional Theory of Performance Evaluation
  49. Performance Measurement for Hedge Funds
  50. Performance Measurement with Changing Portfolio Composition
  51. Market Timing 
  52. Evaluating Performance Evaluation
  53. Global Market for Equities
  54. Risk Factors in International Investing
  55. International Investing: Risk, Return, and Benefits from Diversification
  56. International Investing and Performance Attribution
  57. Hedge Funds versus Mutual Funds
  58. Hedge Fund Strategies
  59. Portable Alpha
  60. Optimal Portfolios and Alpha Values
  61. The Treynor-Black Model and Forecast Precision
  62. The Black Litterman Model
  63. Treynor-Black versus Black-Litterman: Complements, Not substitutes
  64. The Value of Active Management

Recommended or required

reading and other learning resources/tools
  1. Bodie, Kane, Alex Kane, Alan J. Marcus, and Ravi Jain. 2014. Investment. Asia Global Edition, McGraw Hill International Edition (BKM).
  2. Elton, Edwin J., Martin J. Gruber, Stephen J. Brown, and William N. Goetzmann, 2014., Modern Portfolio Theory and Investment Analysis, 9E edition, John Wiley & Sons (EG).
  3. Tandelilin, Eduardus, 2010. Portofolio dan Investasi: Teori dan Aplikasi, First Edition, Penerbit Kanisius Yogyakarta (ET).
  4. Articles from relevant journals and relevant cases

Planned learning activities and teaching methods
  1. Lectures
  2. Discussion
  3. Individual assignments

Language of instruction

Bahasa Indonesia

Assessment methods and criteria

Midterms 40%, Finals 60%