Economics
252b
FINANCIAL MARKETS |
Spring 2004
Robert J. Shiller, Rm. 23a, 30
Hillhouse, 432-3708
robert.shiller@yale.edu
Teaching assistants:
Benediktsdottir, Sigridur, sigga@snet.net
Cowley, Amanda, amanda.cowley@yale.edu
Frazzini, Andrea, andrea.frazzini@yale.edu
Ramirez Fuentes, Tarik, tarik.ramirez@yale.edu
Turkeltaub, Alexander, alexander.turkeltaub@yale.edu
Administrative Assistant: Carol Copeland, carol.copeland@yale.edu, 432-3726
Tuesday, Thursday, 11:30-12:45 | Office Hours: Wednesday, 4:00-6:00
Schedule of Lectures
and Exams
[Subject to change]
(Lectures were created in Powerpoint)
| January 13 |
Finance and Insurance
as Powerful Forces in our Economy and Society [LECTURE 1]
- FMJF, Chapters 1, 2
- NFO, Introduction and Chapter 1
|
January 15
Problem Set #1 passed out |
The Universal
Principle of Risk Management: Pooling and the Hedging of Risks [LECTURE 2]
- NFO Chapters 2, 3, 4
- Hacking, Ian, The Emergence of Probability, Cambridge University Press, London,
1975, Chapter 1 (pp.1-10) (in xeroxed readings packet)
- Siegel, Chapter 1, Appendix 2, pp. 11–12 (231–232)
|
| January 20 |
Technology and
Invention in Finance [LECTURE 3]
- NFO Chapters 5, 7, Epilogue
|
January 22
Problem set #1 due. Problem set #2 passed out |
Insurance: The
Archetypal Risk Management Institution [LECTURE 4]
- FMJF, Chapter 7
- NFO, Chapter 8
|
| January 27 |
Portfolio
Diversification and Supporting Financial Institutions (CAPM Model) [LECTURE 5]
- FMJF Chapter 8, Chapter 13
- Siegel, Chapters 1 and 2
- NFO, Chapter 9
|
January 29
Problem Set #2 due.
Problem set #3 passed out |
Efficient Markets vs.
Excess Volatility [LECTURE 6]
- Siegel Chapters 3, 4, 5, 17, 18
- Shiller Irrational Exuberance, Preface
|
| February 3 |
Behavioral Finance:
The Role of Psychology [LECTURE 7]
- Shiller, Irrational Exuberance, Chapter 1
- Siegel, Chapter 19
- NFO, Chapter 6
|
| February 5 |
Midterm #1 |
February 10
Problem set #3 due |
Human Foibles, Fraud,
Manipulation, and Regulation [LECTURE 8]
- FMJF, Chapter 3
- Brandeis, Louis D., Other People’s Money and How the Bankers Use It,
Augustus M. Kelley, Publishers, Reprints of Economic Classics, New York 1971 [1914].
Chapter V, "What Publicity Can Do," pp. 92–108
- Douglas, William O., Democracy and Finance Yale University Press, New Haven,
1940, Chapter 1, "The Forces of Disorder, pp. 5–17
- Levitt, Arthur, Take on the
Street New York:Pantheon Books, 2002, Chapter 6 "Beware False Profits: How to
Read Financial Statements, pp. 144-74."
|
| February 12 |
Debt Markets: Term
Structure [LECTURE 9]
- FMJF, Chapters 10, 11, 12, 16, 17
|
| February 17 |
Corporate Equity:
Earnings and Dividends (MM) [LECTURE 10]
- Siegel, Chapters 6, 9
- Brealey & Myers Principles of Corporate Finance, Fifth Edition, Chapter 16,
"The Dividend Controversy"
- Johnson, Simon, Rafael La Porta, Florencio Lopez-di-Silanos, and Andrei Shleifer,
"Tunneling," American Economic Review, 2000, 90(2):
22–27
|
February 19
Problem set #4 passed out |
Corporate Equity:
Debt and Taxes (MM) [LECTURE 11]
- Brealy & Myers Chapter 17, Does Debt Policy Matter?
|
| February 24 |
Real Estate Finance
Today and in the Future [LECTURE 12]
- FMJF, Chapters 23, 24, 25
- Mullaney, John A., REITs: Building Profits with Real Estate Investment Trusts,
Wiley, 1998, Chapters 1 and 2
|
February 26
Problem set #4 due. Problem set #5 passed out |
Banking in a Changing
World [LECTURE 13]
- FMJF, Chapter 4
- NFO, Chapter 10
|
| March 2 |
The Evolution and
Perfection of Monetary Policy [LECTURE 14]
- FMJF, Chapter 5, 6
- Siegel, Chapters 11, 12, 13
- Taylor, John, "Monetary Policy and the Long Boom," Federal Reserve Bank of
St. Louis Review, November/December 1998
- Hawtrey, R. G., The Art of Central Banking, Longmans, Green and Co., London,
1932, beginning of Chapter IV, "The Art of Central Banking," pp. 116–123
|
| March 4 |
MIDTERM #2 |
| |
Spring Recess |
March 23
Problem set #5 due |
Investment Banking
and Secondary Markets [LECTURE 15]
|
| March 25 |
The Changing Role of
Institutional Investing [LECTURE 16]
- FMJF, Chapter 9
- O'Barr, William M. and John M. Conley, Fortune & Folly: The Wealth & Power of
Institutional Investing, Business-One Irwin, Homewood Illinois, 1992, Chapter 10, pp.
225–236
- Swensen, David, Pioneering Portfolio Management Chapter 2, "Endowment
Purposes"
|
| March 30 |
Brokerage, ECNs, etc.
[LECTURE 17]
- FMJF, Chapters 18, 19, 20, 21, 22
- Levitt, Arthur, Take on the
Street New York:Pantheon Books, 2002, Chapter 7, "Pay Attention to the
Plumbing, pp. 175-203."
|
| April 1 |
Consumer Finance [LECTURE 18]
- Sullivan, Teresa, Elizabeth Warren and Jay Lawrence Westbrook, The Fragile Middle
Class: Americans in Debt, Yale University Press, 2000, Chapter 8, pp. 238–261
- Yoo, Peter, "Charging Up a Mountain of Debt: Accounting for the Growth of Credit
Card Debt," Federal Reserve Bank of St. Louis Monthly Review, March/April
1997, pp. 3–9
|
| April 6 |
David Swensen [Guest
Lecture]
- Yale University Investments Office, Harvard Business School Case 9-201-048, March
4, 2001.
|
| April 8 |
Forwards &
Futures [LECTURE 19]
- FMJF, Chapter 26, Chapter 28, pp. 541–549
- Working, Holbrook, "Futures Trading and Hedging," American Economic Review,
June 1953, pp. 314–343. Reprinted in Selected Writings of Holbrook Working
|
April 13
Problem set #6 passed out |
Stock Index, Oil and
other Futures Markets [LECTURE 20]
- FMJF, Chapter 29
- Kawaller, Ira G., Paul D. Koch and Timothy W. Koch, "The Relationship Between the
S&P 500 Index and the S&P 500 Index Futures Prices,"Atlanta Economic
Review, May/June 1988
|
| April 15 |
Options Markets [LECTURE 21]
- FMJF, Chapter 27, Chapter 28, pp. 549–562
- Siegel, Chapter 15
|
| April 20 Problem set
#6 due |
Other Derivative
Markets [LECTURE 22]
- FMJF, Chapters 30, 31
- NFO, Chapters 9, 20
|
| April 22 |
Stock Market Booms
and Crashes [LECTURE 23]
- Harris, Lawrence, "The October 1987 S&P Stock-Futures Basis," Journal
of Finance, March 1989, 44(1): 20–29
- Siegel, Chapter 16
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