This is the course page for EC4024, Financial Economics, Spring 2016.
Lecture Notes & Readings
What is the purpose of finance? Basics of valuation, how investors value firms, how firms take decisions to invest. An example from real estate finance.
- Adrian and Shin, Liquidity and Leverage.
- McLeay et al, Money creation in the modern economy, Bank of England
- Bolton et al, Investment, Liquidity, and Financing under Uncertainty
- Joris Luyendijk, Swimming With Sharks: My Journey into the World of the Bankers, entire book.
- David Tuckett, Minding the Markets, An Emotional Finance View of Financial Instability, Chapters 2-3.
- Nigel Dodd, The Social Life of Money, Princeton University Press, chapters 2 and 3.
- Karen Ho, Liquidated, Duke University Press, Chapter 7 especially.
- Oliver Williamson: The theory of the firm as governance structure: from choice to contract. Journal of Economic Perspectives, 2002.
- Shleifer and Vishny, A Survey of Corporate Governance, Journal of Finance, 1997
- Perry Merling, New Lombard Street, Chapters 2 and 3.
- M.F.M Osborne, The Stock Market from a Physicist's Viewpoint, Crossgar Press, 1977 Chapter 2 and Chapter 3.
- Jack Treynor, The economics of the dealer function
6. Bond Markets: not all they are cracked up to be. Pricing, allocation and provenance of bonds. Bond markets and FX markets.
- Bradley et al, Principles of Corporate Finance, Chapters 3, 4 and 6
- K. Pilbeam, Finance and Financial Markets, 3rd Ed, Palgrave, 2009, chapter 6.
- Stigum's Money Markets, chapter2, 1, 2, and 3 (up to Duration and Convexity).
- Watch John Quiggin's lecture on Zombie Economics.
- Watch Paul Samuelson's Masters of Finance interview.
- Modigliani, F. and Miller, M. (1958) "The Cost of Capital, Corporation Finance and the Theory of Investment", American Economic Review 48 (3), pp. 261-297.
- Fama, E.F. (1970) "Efficient Capital Markets: A Review of Theory and Empirical Work", Journal of Finance 25 (2), pp. 383-417.
- André F. Perold The Capital Asset Pricing Model The Journal of
- Economic Perspectives, Vol. 18, No. 3. (Summer, 2004), pp. 3-24.
- (Here are some Notes on CAPM I made a few years ago)
- Anne Villamil, Modigliani Miller Theorem, New Palgrave Dictionary of Economics
- Greenwald, B. C. and Stiglitz, J. E. (1993). Financial market imperfections and business cycles. The Quarterly Journal of Economics,108(1)
- Perez, C. (2010). Technological Revolutions and Techno-Economic Paradigms. Cambridge Journal of Economics, 34(1).
- Janeway, William "Doing Capitalism in the innovation economy: Markets, capitalism, and the State", Cambridge University Press, 2013 (Entire book, must read).
- Romer, P. (1990). Endogenous Technological Change. Journal of Political Economy, 98(5)
- Ana Avramovic. Who let the Bots out?
- Arnuk, Sal and Joseph Saluzzi (2012), Broken Markets, Chapters 2 and 10.
- Tarun Chordia, Amit Goyal, Bruce N. Lehmann, Gideon Saar (2013) High-frequency trading, Journal of Financial Markets 16(4).
- Satoshi Nakamoto, Bitcoin: A Peer-to-Peer Electronic Cash System
- Anton Badev and Matthew Chen Bitcoin, technical analysis and background data. Federal reserve board, 2014
- Pavel Ciaian et al, The Economics of BitCoin Price Formation.