Capital Market Analysis and Portfolio Management 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) Dr. Muhammad Madyan, SE, M.Si, M.Finc Dr. Rahmat Setiawan, SE.,MM.,CFP Drs. I Made Sudana, MS Dr. Andry Irwanto, MBA Learning outcomes of the course unit Able to analyze various elements of theory, paradigm, principle, and concept of investment management correctly Able to analyze problems, phenomena and scope of investment through interpretation of relevant data and information 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 Able to analyze derivative securities, modern investment theory, and international investment and investment management 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 Financial Instrument How securities are traded Mutual Funds and other investment company Pasar Modal di Indonesia dan Mekanisme Perdagangan Introduction to Risk, Return, and the Historical Record Risk Aversion and capital Allocation across Risky and Risk free Portfolios Optimal Risky Portfolios A Single Factor Security Market The Single Index Model Estimating the Single Index Model Portfolio Construction and the Single Index Model Practical Aspect of Portfolio Management with the Index Model The CAPM and the Index Model Econometrics and the Expected Return Beta Relationship Liquidity and the CAPM Arbitrage pricing Theory A Multifactor APT The Multifactor CAPM and the APT Analysis and strategy of common stocks Random Walks and the Efficient Market Hypothesis Implications of the EMH Event Studies Are markets Efficient? Mutual Fund and Analyst Performance The Behavioral Critique Technical Analysis and behavioral Finance Bond Prices and Yields The Term Structure of Interest Rates Managing Bond Portfolios Macroeconomic and Industry Analysis Equity Valuation Models Financial Statement Analysis The Option Contract Values of options at Expiration Option Strategies The Put Call Parity Relationship Option Valuation Black Scholes Formula The Future Contract Trading Mechanics Future Markets Strategies Future Prices Foreign Exchange Futures Stock Index Futures Interest Rate Futures Swaps Commodity Futures Pricing The Conventional Theory of Performance Evaluation Performance Measurement for Hedge Funds Performance Measurement with Changing Portfolio Composition Market Timing Evaluating Performance Evaluation Global Market for Equities Risk Factors in International Investing International Investing: Risk, Return, and Benefits from Diversification International Investing and Performance Attribution Hedge Funds versus Mutual Funds Hedge Fund Strategies Portable Alpha Optimal Portfolios and Alpha Values The Treynor-Black Model and Forecast Precision The Black Litterman Model Treynor-Black versus Black-Litterman: Complements, Not substitutes The Value of Active Management Recommended or required reading and other learning resources/tools Bodie, Kane, Alex Kane, Alan J. Marcus, and Ravi Jain. 2014. Investment. Asia Global Edition, McGraw Hill International Edition (BKM). 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). Tandelilin, Eduardus, 2010. Portofolio dan Investasi: Teori dan Aplikasi, First Edition, Penerbit Kanisius Yogyakarta (ET). Articles from relevant journals and relevant cases Planned learning activities and teaching methods Lectures Discussion Individual assignments Language of instruction Bahasa Indonesia Assessment methods and criteria Midterms 40%, Finals 60%