IpMGT521

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Lovely Professional University,Punjab

MGT521Course No. SECURITY ANALYSIS AND PORTFOLICourse Title: 0L: 4 T: 1 P: 5Cr:

Course Planner :- 11621 :: Ashu Kakkar

Format For Instruction Plan [for Courses with Lectures and Tutorials ]

TextBook

Chandra,Prasanna, Security Analysis and Portfolio Management,Tata Mc Graw Hills, New Delhi, 2008.1.

Other Specific Books

Fischer & Jordon, Security Analysis and Portfolio Management, Prentice Hall.2.

Reilly/ Brown, Investment Analysis and Portfolio Management, Cengage Learning, Eighth Edition,20103.

Pandian P., Security Analysis and Portfolio Manegement, Vikas Publishing, 20084.

Bhat Sudhindra, Security Analysis and Portfolio Management, Excel Publications, First Edition, 20095.

Other Readings

Jouranls atricles as compulsary readings (specific articles, Complete reference)Sr. No.

"Indian stock market- A Strong Emerging market in Asia" http://www.zimbio/Indian+stock+market/articles6

Wasankar,Prashant Navigating with Technical and Fundamental

Analysis"http://wasankarwealth.com/Articals_Pdf/633686522890007500_Navigating%20with%20Technical%20and%20Fundamentals%2023%20JAN %202009.pdf

7

"Goldman Sachs the great American Financial markets bubble machine"http:// www.marketoracle.co.uk/article12545.html8

"Its all a matter of perspective Market performance in BRIC countries depends on one vintage point"http://www.russell.com/indexes/about/articles.9

CAPM vs. APT with macro economic variables: evidence from the Indian stock markethttp://findarticles.com/p/articles/mi_6771/is_1_4/ai_n28532457/pg_5/?tag=content;col110

'THE WARREN BUFFETT WAY',http://www.sfu.ca/~poitras/BUFFET.pdf11

Efficient Market Theory: In relation with Bonus isssues Announcement in Indian Market, paradgm, Vol XII, No.2, July-Dec 2008, Pp 62-7112

Semi Strong Form Efficiency: Market Reaction to Dividend and earnings Announcements in Malaysian Stock Exchange", Vol.16, No.2, July 2010, Pp 36-5513

"Prediction of Stock Returns for Growth firms- A Fundamental Analysis" Vision, Vol 13, No. 3, July- Sept 2009, Pp 31-3914

Approved for Autumn Session 2010-11Page 1 of 9

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"Beta Estimations in the Indian Stock Market: Stability, Sationarity and Computational Considerations" Decision, Indian Institute of Management, calcutta, Vol 35, No.2,

July-Dec 2008, Pp 63-85

15

Relevant Websites

Salient FeaturesWeb adress (only if relevant to the courses)Sr. No.

www.nseindia.com Providing the detailed information about the stock market16

www.bseindia.com Providing the detailed information about the Sensex/stock market17

www.yahoofinance.com Provide all current and past data related to stock prices18

http://in.reuters.com/ Provide analytical information on stocks, mutual fund, commodity market19

Moneycontrol.com Providing the day-to-day happenings of the stock market20

Capital line database providing historical and current data information about the stock prices21

http://www.psnacet.edu.in/courses/MBA/sapm/lecture- Portfolio mgt system22

http://www.managementparadise.com/forums/stock Steps for form filling to become member of stock exchange23

http://www.capitalmarket.com/MarketBeat/nsmargin.h Margin Claculations24

http://www.bseindia.com/mktlive/bhavcopy.asp Access to Daily bhav Copy25

Week No. Lecture No. Topic

Chapters/Sections of

Textbook/other

reference

Homework to be

Assigned to students

Pedagogical tool

Demonstration/case

study/images/anmation

ctc. planned

Detailed Plan For Lectures

Part 1

Lecture 1Week 1 Introduction to security analysis. Investment vs. speculation, Investment vs.

Savings, Portfolio management process,

Book :1,1/ Ch1 1/

Ch2

Ref. 6/ Indian stock market-

A Strong Emerging market iAsia

Lecture 2 Investment Alternatives and their evaluation Approaches to investment

decision making

Book :1,1/ Ch1 Case- Meet 3 Murthy 5/

Pp-18-19

Lecture 3 Securities Market-Primary and Secondary Market, Trading Mechanism Book :1,1/ Ch3

Lecture 4 Fundamental Analysis: Economic Analysis including Macro economic analysis Book :1,1/Ch14 HomeWork 1 Allocation Ref. 14/ Prediction of Stock

Returns for Growth firms-

A Fundamental Analysis

Lecture 5Week 2 Industry analysis: Types of Industry, Industry life cycle Book :1,1/Ch14


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Part 1

Lecture 6Week 2 Company analysis: Strategy analysis, Financial analysis, accounting analysis,

estimation of intrinsic value

Book :1,1/Ch15 Balance sheet, Case- Why

Read an Annual Report/ 5/

pp332-333

Lecture 7 Equity valuation models: Return, anticipated return, present value of return ->Reference :4,4/ Ch11

Lecture 8 Balance sheet valuation model Book :1,1/Ch13 HomeWork 3 Allocation

Lecture 9Week 3 Dividend discount model: Multi period valuation model, Book :1,1/Ch13

Lecture 10 constant growth model, Two stage growth model, ->Reference :4,4/Ch11

->Reference :1,1/ Ch 13

HomeWork 1

Submission

Practical Problems

Lecture 11 Three phase model, Free Cash Flow Model. Book :1,1/Ch13


HomeWork 2 Allocation

Lecture 12 Earning Multiplier approach: Price ratio Book :1,1/Ch13

Lecture 13Week 4 Expected Return & Growth ->Reference :1,1/ Ch 13 Term Paper 1 Allocation

Lecture 14 Bond valuation, characteristics, Bond Prices ->Reference :1,1/ Ch 11

Part 2

Lecture 15Week 4 Bond yield, Risk in Bonds, Ratting of Bonds ->Reference :1,1/ Ch 11 Practical Problems

Lecture 16 Yield curve, Determinants of interest rates ->Reference :1,1/ Ch 11

Lecture 17Week 5 Analysis of convertible bonds ->Reference :1,1/ Ch 11

Lecture 18 Technical Analysis: Introduction, assumptions, technical t rading rules ->Reference :4,4/ ch 13 Ref. 7/ Navigating withTechnical and Fundamental

Analysis

Lecture 19 Dow theory: introduction, trend: Primary and secondary trend ->Reference :4,4/ Ch 13

Lecture 20 support and resistance level, indicators: volume of trade, short sales, odd lot

trading

->Reference :4,4/ Ch 13 HomeWork 2

Submission

Lecture 21Week 6 Moving Average: index and stock prices moving average, comparison of two

moving averages



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Part 2

Lecture 22Week 6 Oscillators, Relative strength index, Charts: point and figure charts, Bar

charts, chart patterns: V formation



Case- McDonald's Corp., 2/

Pp535

Lecture 23 Charts: Tops and bottoms; Head and shoulders, triangles; flags, candle and

sticks


Lecture 24 Efficient market thery: Random walk theory and efficient market hypothesis,

weak form of Efficient Market Hypothesis

->Reference :1,1/ Ch 9 Quiz 1 Ref. 12/ Efficient Market

Theory: In relation with

Bonus isssues

Announcement in IndianMarket

Lecture 25Week 7 Empirical evidence on weak form efficient market hypothesis, Test of weak

form efficient market


Lecture 26 Serial Correlation tests, Run test, Filter rules tests ->Reference :1,1/ Ch 9 Practical Problems

Lecture 27 Semi strong Form: Empirical evidence on semi strong form portfolio study,

Strong form efficient market

->Reference :1,1/ Ch 9 Ref. 13/ Semi Strong Form

Efficiency: Market Reaction

o Dividend and earnings

Announcements in

Malaysian Stock Exchange

Lecture 28 Event study & Market inefficiencies and implications ->Reference :1,1/ Ch9

MID-TERM

Part 3

Lecture 29Week 8 Portfolio-Risk Return Analysis: Examples and Problems ->Reference :1,1/ Ch7

->Reference :4,4/ Ch17

Lecture 30 Markowitz Model: Parameters ,criteria ->Reference :1,1/ Ch7


Lecture 31 Risk Return Optimization, Efficient Frontier ->Reference :1,1/ Ch7


HomeWork 4 Allocation

Lecture 32 Sharpe Index Model, Corner Portfolio ->Reference :4,4/ Ch18

Lecture 33Week 9 Sharpe Index Model: Optimal Portfolio ->Reference :4,4/ Ch18

Lecture 34 Two factor and multi factor models ->Reference :4,4/ Ch18

Lecture 35 Optimum Portfolio, Optimum Portfolio with Short Sales ->Reference :4,4/ Ch18 Case- Quan Tech Partners 2/

Pp 629


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Part 3

Lecture 36Week 9 Portfolio Management including Growth and Value investing and style

analysis

->Reference :1,1/ Ch21 mini case- 1/ Pp 626

Lecture 37Week 10 Portfolio Construction & Analysis ->Reference :1,1/Ch 21

->Reference :4,4/Ch 16

Lecture 38 Capital Asset Pricing Model ->Reference :4,4/ Ch19


HomeWork 4

Submission

Ref. 15/ "Beta Estimations

in the Indian Stock Market:

Stability, Sationarity and

ComputationalConsiderations

Lecture 39 Capital Asset Pricing Model ->Reference :4,4/ Ch19


Lecture 40 Arbitrage Pricing Theory ->Reference :4,4/Ch19

->Reference :5,5/Ch20

CAPM vs. APT with macro

economic variables: evidence

rom the Indian stock

arket/ Ref. 10

Part 4

Lecture 41Week 11 Arbitrage Pricing Theory ->Reference :4,4/ Ch19


HomeWork 3

Submission

Lecture 42 Portfolio Evaluation ->Reference :4,4/Ch20


Lecture 43 Sharpe Index ->Reference :4,4/Ch20

->Reference :5,5/Ch22 Pp

478-489

Practical Problems

Lecture 44 Treynors index & Jensens index ->Reference :4,4/Ch20

->Reference :5,5/Ch22 PP

478-489

Term Paper 1

Submission

Practical Problems

Lecture 45Week 12 Treynors index & Jensens index ->Reference :4,4/ Ch20

->Reference :5,5/ Ch22 Pp

478-489

Practical Problems

Lecture 46 Forecasting Portfolio Performance ->Reference :5,5/Ch22 PP 489

Lecture 47 Portfolio Revision- Passive & Active Management ->Reference :4,4/Ch21


Quiz 2 Case- I thought Low PE was

eeter, 5/ Pp466-467

Lecture 48 Formula plans-Rupee Cost Averaging ->Reference :4,4/Ch21


Lecture 49Week 13 Constant Rupee Plan ->Reference :4,4/Ch21



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Part 4

Lecture 50Week 13 Constant Ratio Plan ->Reference :4,4/Ch21


Practical Problems

Lecture 51 variable Ratio Plan ->Reference :4,4/Ch21


Practical Problems

Lecture 52 Analysis of portfolio strategies of mutual fund schemes ->Reference :5,5/Ch21 Fact Sheets

Spill OverLecture 53Week 14 Investment strategies of Warren Buffet Ref.11

Lecture 54 Basic Terminology of Derivative and Commodity Market ->Reference :1,1/ Ch 17 -18

Lecture 55 Behavioural Finance ->Reference :1,1/ Ch 10

Lecture 56Week 15 Demo Trading Ref. 17, Ref. 23

Details of homework and case studies plan

Homework No. Topic of the Homework Nature of homework

(group/individuals/field work

Fundamental analysis: Students will choose one company and perform Economic, company and industry

analysis and determine the intrinsic value of the company's stock

IndividualHomework 1

Valuation of stocks of specific companies using different valuation models- Group of Four students each wil l

e assigned one specific company and they will apply the valuation techniques as and when these are

discussed in the class

GroupHomework 2

Dummy Portfolio Management- Students will be divided into group of 5-10 each & they have to manage a

dummy portfolio as per the guidelines issued by COS-F. This assignment will be taken back at the end of

11th week. The groups will present their portfolio strategies in a contest which will be held in 12th week

GroupHomework 3

Event Study- group of Four students each will conduct an event study taking the stock market data and

assessing the impact of specific announcements on the profitability of stocks. Evaluation will be based upon

written Report and Viva

GroupHomework 4

*Normally all the homeworks shall be submitted online but in special courses where homeworks cannot be submited online , the insructor can edit the mode of submission while entering the IP Details


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Component Frequency Marks for each Total Marks

Scheme for CA:out of 100*

Out of (If any)

Homework 3 15 454

Quiz 2 15 30

Term Paper 1 25 25

Total :- 100

* In ENG courses wherever the total exceeds 100, consider x best out of y components of CA, as explained in teacher's guide available on the UMS

TopicSr. No.

List of suggested topics for term paper[at least 15] (Student to spend about 15 hrs on any one specified term paper)

Capital Asset Pricing Model- analysis of means of describing relationship between risk and return in an efficient market ,

assumption and functions

1

Market anomalies- Evidence from the Indian market2

Empirical investigation into stock price volatility3

Performance evaluation of mutual funds4Market Fluctuation and Trend Analysis(including) stock price changes along with Sector index as well as bench mark Inde

and analysis of the trends by using recent statistical measures.

5

Efficient Frontier: Analysis of Graphs of efficient frontier of Indian stock and Bonds and Comparison of these graphs

with the graphs from around the world

6

Short selling- concept, Practice of selling borrowed securities in anticipation that market price will fall over in near term,

Controls and relationship to market behaviour

7

On line trading mechanism of Indian stock market8

Beta analysis and Random Walk: Use of risk factor calculation and pattern determination in investment and portfolio

analysis

9

Causal relationship between FII trading and stock price movements10

Application and Evaluation of Indian Stock Market: Use of Markowitz Model11

NISM-Series-V-A: Mutual Fund Distributors Certification Examination12

Investment Analysis and Portfolio Management Module13

Equity Research Module14


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Plan for Tutorial: (Please do not use these time slots for syllabus coverage)

Tutorial No. Topic Type of pedagogical tool(s) planned

(case analysis,problem solving test,role play,business game etc)

Tutorial 1 Introduction to BSE, NSE and Trading Mechanism Ref. 16

Tutorial 2 Securities Market: Case Getting even with inflation 5/ Pp75-76 Case analysis

Tutorial 3 Fundamental Analysis: Review Problems 4/ Pp 244-245 Case analysis

Tutorial 4 Equity Valuation Problem solving

Tutorial 5 First Review of Term Paper Viva

Tutorial 6 Moving Average and First review of Term paper Problem solving

Tutorial 7 Discussion on the Article: Efficient Market Theory: In relation with

Bonus isssues Announcement in Indian Market

Ref. 12

After Mid-Term

Tutorial 8 Event study- Practical example through Excel

Tutorial 9 Second Review of Term Paper viva

Tutorial 10 Markowitz Model Problem solving

Tutorial 11 CAPM: Beta Estimations in the Indian Stock Market: Stability,

Sationarity and Computational Considerations

Ref. 15

Tutorial 12 Current Issues in stock market Presentation

Tutorial 13 Revision


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