[公开课] Financial Markets -- Yale（完结）

本课程分为七周，授课老师为Robert Shiller教授，2003年诺贝尔经济学奖得主。

Week 1: 本章逻辑：1.抛出Risk的概念 进而引出处理Risk的两种方法 2.1通过Insurance保险 2.2通过Diversification投资组合的多样性. Knowledge points:

• Basics of financial markets
  • VaR and Stress Tests: Stress Testing takes a non-statistical approach with its scenarios analysis
  • S&P 500
  • Normal/ fat tail distribution
  • Central limit theorem
  • Variance, Covariance
• Insurance
  • Risk pooling $\sqrt{p(1-p)/n}$, law of large numbers,
  • Moral hazard (deliberate careless) --> refer to Flood insurance
  • Selection bias: health insurance tends to attract sick ppl --> refer to ObamaCare
  • Insurance regulations are delegated by states. -->NAIC
  • Life, health, disaster insurance
• Portfolio Diversification
  • Mean and variance
  • CAPM (Capital Asset Pricing Model), its parameters
  • Leverage
    • increase return, magnify returns by borrowing money
    • increase default risk by magnifying the std of the portfolio
  • Short sales
    • Default risk: potential unlimited losses when buying back the stock.
    • Regulatory risk: a ban on short sales can create a surge in the stock market.
    • Dividend risk: the short seller must provide dividend payments on the shorted stock to the entity from whom the stock has been borrowed.
  • Efficient portfolio frontier (Yale curve)
  • Gordon growth model --> option pricing

Week 2: 本章逻辑：讲述金融市场的两次革命 1.1950s Efficient markets mathematical finance revolution 2.behavioral finance （psychology perspectives） Knowledge points:

• Limited Liability
  • Investors in stocks cannot be pursued for the mistakes of the company they are investing in.
  • A limited liability enterprise can be divided into shares, and no shareholder is liable for more than he or she puts in.
  • Moss theory (lottery effect) --> psychology
• Inflation-indexed debt
  • Money：a store of value, a unit of account, and a medium of transaction.
  • The Inflation risk
  • Forecasting
  • Pricing: P/E ratio, decide the share is overpriced or underpriced
• Efficient Market Hypothesis (half-truth)
• behavioral finance
  • Adam Smith --> two books: the wealth of nations (invisible hands); theory of moral sentiments (praiseworthiness)
  • Wishful thinking bias/ cognitive dissonance
    • People overestimate probabilities of things they would like to be true
    • Investors do not remember the negative performance of their investments/ hold onto funds that are doing poorly
  • Prospect Theory: replace utility function and probabilities by value function and weighting function
    • Gains-Losses graph
    • The weighting function shows that there is a difference between the actual probability of an event and the subjective probability
    • People can underestimate high probabilities and overestimate low probabilities
    • Newcomb's paradox: People sometimes change their behavior when they learn about a prediction which has been made about the future
  • Overconfidence
  • Cognitive dissidence
  • Mental Compartments
  • Attention anomalies
  • Anchoring
  • Representativeness Heuristic: current conditions seem to fit
  • Disjunction effect
  • Magical thinking
  • Quasi-magical thinking
  • Culture
  • Antisocial personality disorder/ Borderline personality disorder
    • manipulative, heightened self-esteem, lack of empathy

Week 3:

本章逻辑：先讲述一些常见的金融概念，如 stocks, bonds, dividends, shares, market caps. 然而讲 corporation basics 和一些相关知识.

Knowledge points:

• Federal Funds Rate: the shortest term interest rate in the federal government, overnight maturity.
• Causes of Interest Rates:
  • Technological progress
  • Time preferences
  • Advantages to roundaboutness
• Compound Interest: $(1+\frac{r}{n})^{nt}$
• Bonds:
  • Coupon Bonds: buy and sell at the same price, clip at maturity dates and get paid
  • Discount Bonds: buy it at a discount
  • Indexed Bonds
• Abbreviation: Yield to Maturity (YTM), Present Discounted Value (PDV)
• Two debt securities:
  • Consol: pay a constant coupon forever
  • Annuity: pay a constant quantity at the maturity date
• Forward Rates: the expected rate(yield) on a bond several months or years from now
  • Inflation
  • Deflation
  • Leverage
• Corporation
  • for-profit
  • non-profit
• Market Capitalization
• Stocks
  • Common/Preferred stocks
  • Dilution/Repurchase
  • Dividends
• Corporate Governance/ Charter
  • Pecking Order Theory: internal financing> debt>equity
• Price of stocks and the P/E ratio

Week 4:

本章逻辑：从经济危机入手，讲Mortgage的历史-种类，再到各种泡沫。之后讲相关问题导致的立法，从firm到state到national再到international。

• Mortgages
  • History and key concepts
  • Fixed-rate mortgages/ shared appreciation mortgages (SAMs)/ price level adjusted mortgages (PLAMs)
  • QRMs:Qualifying Residential Mortgages
  • PMI: Private Mortgage Insurance,must 20%-80% no notification
  • CMOs -->tranches, Collateralized mortgage obligations
  • CDOs:Collateralized debt obligations
• Commercial Real Estate Vehicles
  • DPPs: Direct Participation Programs
  • REITs: Real Estate Investment Trusts
• ResidentialReal Estate Vehicles
  • FHA: Federal Housing Administration
    • Require loans to be at least 15 yrs
    • Insure lenders against losses
• Bubbles
  • Under-water
  • 2007
• Microprudential and Macroprudential(new) regulation
• Regulation
  • StateRegulation
  • NationalRegulation
    • SEC
      • 3c1, 3c7
  • InternationalRegulation
  • Crime?
    • Tunneling
    • Front running
    • Insider trading
    • Rate shopping
  • Regulatory bodies (G-7)

Week 5:

本章逻辑：主要讲 Options and bond markets， Forward Contracts 远期合约vs. Futures Contracts与期货合约。

• Forward Contracts: Forwards are individualized contracts to deliver a product in a specified quantity at a specified date.
• Futures Contracts: Futures are generic contracts which are rarely delivered, but allow a party to hedge against losses due to fluctuating prices in that specific commodity market. To protect against price fluctuations.
  • Rice Futures
  • Wheat Futures
  • Oil Futures
  • SPI & FFR Futures
• Backwardation or Contango
• Buying, Selling and Settlement
• Fair Value in Future Contracts
• option
  • call/put
  • exercise date/ exercise price
  • ask: the price to purchase an option
  • bid: the price to sell the option back to the dealer (lowest, dealers make money)
  • last: the last price the option was sold for
• Put-Call Parity Relation
  • pdv strike = put option price - call option price
  • Price of stock = call price + pdv strike + pdv dividends - put price
  • European options

Week 6:

本章逻辑：主要讲投行，承保，以及相关的岗位。

• Banks
  • Commercial: accept deposits and make loans
  • Investment:underwriting securities
• Underwriting
  • Issuance of shares and corporate debt
  • Moral hazard problem
  • Offerings
    • Bought deal: the underwriter agrees to buy all shares that are not sold
    • Best efforts: if the issue is not sold, deal collapses
  • Process I
    • Prefiling period
    • Advise issuers about their choices
    • Agreement among underwriters, designates manager, fees
    • Filing of registration statement with SEC
    • Cooling off period: distribute preliminary prospectus(red herring)
  • Process II
    • Call prospective clients for indication of interest
    • Due diligence meeting between underwriter and corporation
    • Decide on offering price
    • Dealer agreement, dealers purchase from underwriter at a discount
    • Effective date
    • Support the price in the aftermarket (Stabilization)
  • Stabilization: market manipulation approved by SEC
• IPOs (initial public offering)
• Rating agency
  • • John Moody
    • Standard Poor
• Glass-Steagall Act (cannot be both,大小摩)
• Graham-Leach Bill (can be both)
• Prudent person
  • Financial planner: offer comprehensive planning for life
  • Financial advisor: advise on the value of securities
• Mutual Fund
  • MIT (Investment Trust)
• Exchange Trade Fund (ETF)
  • managerment fee: low
  • automatic creation and redemption
• Brokers: Brokers act on behalf of Others as their Agent for which they earn a Commission
• Dealers: A dealer always acts for Himself, in other words as a Principal in the transaction for which he makes a Markup
• Broker-Dealer
• NYSE (first), NASDAQ (second)
• High-Frequency trading
• Orders
  • Market order
  • Limit order
  • Stop loss order
• Order flow
• Bankruptcy
  • Liquidation
  • Reorganization
• Gov't debt
• Gov't corporation
• Municipal Finance
• Gov't social insurance
  • Progressive taxes
  • Free public education and services
  • Social security
  • Health insurance
  • Workers compensation
• SNAP (M5 dataset lol)
• Balanced budget rule
• Collective action clause

Week 7:本章逻辑：主要讲各种组织/公司形式。

• Nonprofit organizations （Higher in advanced economies）
• Cooperatives:
  • They may distribute profits
  • They have a specific voting system for its members.
  • They aim to maximize the welfare of the group
  • They tend to charge higher prices or lower wages to their employees
• Benefit corporation
  • halfway between For-profit and not-for-profit organizations
• Democratization of finance
• ‘odious’ debt
• Malthus's opinion
  • The population increased in a geometric ratio and subsistence for man in an arithmetic ratio.
• Causes of Inequality
• Wealth, Poverty, and Inequality

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