Dr Jean-Pierre Zigrand

This course is available on the Global MSc in Management, MSc in Finance (full-time), MSc in Finance (full-time) (Work Placement Pathway), MSc in Finance (part-time), MSc in Finance and Economics, MSc in Finance and Economics (Work Placement Pathway), MSc in Finance and Private Equity, MSc in Finance and Private Equity (Work Placement Pathway) and MSc in Risk and Finance. This course is not available as an outside option.

Global MSc in Management (Accounting and Finance concentration only).

This course is not available as an outside option

Some familiarity with finance and accounting.

This course is an applied course on quantitative analysis of investment opportunities in debt, equity, property and derivatives markets.  We consider valuation of macro assets (such as government bonds, diversified portfolios of equities, property) as well as the valuation of equities of individual firms and of their risky debt. We rely on theoretical concepts that students have learnt in their core courses (such as NPV, the CAPM, no-arbitrage pricing of derivatives) and also examine in depth the historical behaviour of asset returns and the history of the tools used by practitioners and academics. The focus is on applying the same core systematic quantitative framework of modern finance to all of the above securities markets to evaluate investment opportunities in realistic, sometimes, live situations. Is Amazon overpriced compared to other bricks and mortar retailers? Do EM equities offer value compared to DM equities? Is property overvalued? How does one value a loan, let alone a bank? The course involves in-class analysis of investment and accounting tools and questions, extensive analysis of financial data, study of financial statements and analyst reports and two projects. The course is structured around the following topics:

Part I. Introduction. The challenge of active investing. The importance of NPV.

Part II. Valuation Methodology

Part III. Valuing macroassets: Global Yield Curves

Part IV. Methodology: RADR, DDM

Part V. Valuing macroassets: Property

Part VI. Valuing macroassets: Diversified Equity Portfolios

Part VII. Valuing microassets: Equities Valuation

Part VIII. Different Styles for Identifying Value in Individual Equities

Part IX. Valuing microassets: Case Studies in Value and Growth

Part X. Valuing macroassets: Volatility

30 hours of seminars in the LT.

Students will be expected to complete 2 group projects. In the first project, students study the historical performance of a chosen publicly traded company and analyse and value the equity on a forward-looking basis, evaluate its risks and make an investment recommendation. The second project requires the students to study and critically examine the investment decisions and style of a well-known value investor.

Books

• Greenwald, B, Kahn, J., P. Sonkin, M. van Biema, Value Investing: From Graham to Buffett and Beyond, Wiley Finance, 2004.

Background reading:

• Koller. T., M. Goedhard, and D. Wessels (McKinsey and Company), Valuation: Measuring and Managing the Value of Companies, Wiley, 2015.

• Dermine, J., Bank Valuation and Value-Based Management, McGraw Hill, 2015

Numerous articles written by well-known practitioners and policy makers

Continuous assessment (100%) in the LT.

Some departments have produced short videos to introduce their courses. Please refer to the course selection videos index page for further information.