This course explores how the market is influenced by the behavior of investors, attributable to psychology or institutional constraints. We will survey recent research on possible mispricing in these markets, investor behavior, the predictability of security returns, and the practical limits to arbitrage. Possible topics include earnings and price momentum, market anomalies, tactical asset allocation, under-reaction to news, the money management industry, and security complexity and obfuscation. Practical implications for portfolio management are developed and emphasis will be placed on data-driven analysis of financial markets.

Business 35000 and Business 41100. This is a quantitative course and students are expected to be comfortable applying statistics and multivariate regression to data and interpreting the results. Knowledge of a regression package (such as Excel) is essential.

Prerequisite requirements (35000 and 41100) are not strict, so you do not need to request a waiver. If you feel confident taking the course without the prerequisites you are welcome to, but you are responsible for learning any material you might need to make up on your own.

This course can be taken before or after 35215 (Behavioral and Institutional Finance).

As long as you have completed all the coursework, provisional grades are given.

Lecture notes. This course will have a Canvas site.

Group assignments, two exams, final project and class participation. No auditors.