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Information
| Code | EMG12717 |
| Name | Behavioral Finance |
| Term | 2024-2025 Academic Year |
| Term | Fall and Spring |
| Duration (T+A) | 3-0 (T-A) (17 Week) |
| ECTS | 6 ECTS |
| National Credit | 3 National Credit |
| Teaching Language | Türkçe |
| Level | Yüksek Lisans Dersi |
| Type | Normal |
| Mode of study | Uzaktan Öğretim |
| Catalog Information Coordinator | |
| Course Instructor |
1 |
Course Goal / Objective
The purpose of this course is to study the basics of behavioral finance and asset pricing models and their applications on investments in financial markets
Course Content
In this course the basic concepts and theories of behavioral finance with the efficient market hypothesis, and market anomalies will be investigated.
Course Precondition
None
Resources
1.Shefrin, Hersh (2000), Beyond Greed and Fear: Understanding Behavioral Finance and the Psychology of Investing (First Edition), USA: Harvard Business School Press. 2.Shleifer, Andrei (2000), Inefficient Markets An Introduction to Behavioral Finance (First Edition), Great Britain: Oxford University Press. 3.Shefrin, Hersh(2005), A Behavioral Approach to Asset Pricing, Elsevier Academic Press 4.Döm, Serpil (2003), Yatırımcı Psikolojisi, Değişim Yayınları. İstanbul 5. Karan, Mehmet Baha(2004), Yatırım Analizi ve Portföy Yönetimi, Gazi Kitabevi, Ankara 6. Canbaş, Serpil ve Doğukanlı Hatice(2007), Finansal Pazarlar, Finansal Kurumlar ve Sermaye Piyasası Analizleri, Karahan Kitabevi, Adana 7.Goldberg, Von Nitzsch(2001), Behavioral Finance, John Wiley and Sons.
Notes
1.Baker, Malcolm ve Jeffrey Wurgler (2006), “Investor sentiment and the cross-section of stock returns”, Journal of Finance, c.61. S.4. ss.1645-1680. 2. Bernard, Victor L. ve Jacob K. Thomas (1989), “Post-earnings-announcement drift: Delayed price response or risk premium?”, Journal of Accounting Research, c.27, ss.1-36. 3.Bikhchandani, Sushil, David Hirshleifer ve Ivo Welch (1998), “Learning from the behavior of others: Conformity, fads, and informational cascades”, Journal of Economic Perspectives, c.12. S.3. ss.151–170. 4.Black, Fischer (1986), “Noise”, Journal of Finance, c.41. S.3. ss.529-543. 5.Bodurtha, James N., Dong-Soon Kim ve Charles M. C. Lee (1995), “Closed-end country funds and U. S. Market sentiment”, Review of Financial Studies, c.8. S.3. ss.879-918. 6.Brown, Gregory W. ve Michael T. Cliff (2004), “Investor sentiment and the near-term stock market”, Journal of Empirical Finance, c.11, ss.1-27. 7.Burch, Timothy R., Douglas R. Emery ve Michael E. Fuerst (2003), “What can “Nine- Eleven” tell us about closed-end fund discounts and investor sentiment”, Financial Review, c.38, ss.515-529. 8.Chan, K. C. (1988),”On the contrarian investment strategy”, Journal of Business, c.61. S.2. ss.147-163. 9.Chang, Eric C., Joseph W. Cheng ve Ajay Khorana (2000), “An examination of herd behavior in equity markets: An international perspective”, Journal of Banking and Finance, c.24, ss.1651-1679. 10.Charoenrook, Anchanda (2003), “Deoes sentiment matter?”, 2004 FMA Annual Meeting – New Orleans, No: 3301937. 11.Chen, Nai Fu, Raymond Kan ve Merton H. Miller (1993a), “Are the discounts on closed-end funds a sentiment index?”, Journal of Finance, c.48. S.2. ss.795-800. 12.Chen, Nai Fu, Raymond Kan ve Merton H. Miller (1993b), ““Yes, the discounts on closed-end funds are a sentiment index: A rejoinder”, Journal of Finance, c.48. S.2. ss.809-810. 13.Chopra, Navin, Charles M. C. Lee, Andrei Shleifer ve Richard H. Thaler (1993a), “Yes, the discounts on closed-end funds are a sentiment index”, Journal of Finance, c.48. s.2. ss.801-808. 14.De Bondt, Werner F. M. ve Richard Thaler (1985), “Does the stock market overreact?”, Journal of Finance, c.40. S.3. ss.793-805. 15.De Long, J. Bradford, Andrei Shleifer, Lawrance H. Summers ve Robert J. Waldmann (1990), “Noise trader risk in financial markets”, Journal of Political Economy, c.98. S.4. ss.703-738. 16.Devenow, Andrea ve Ivo Welch (1996), “Rational herding in financial economics” European Economic Review, c.40, ss.603-615 17.Doukas, John A. Ve Nikolas T. Milonas (2004), “Investor sentiment and the closed-end Fund puzzle: out-of-sample evidence”, European Financial Management, c.10 S.2. ss.235–266. 18.Fisher, Kenneth L. ve Meir Statman (2000), “Investor sentiment and stock returns”, Financial Analysts Journal, c.56. S.2. ss.16-23. 19.Froot, Kenneth A., David S. Scharfstein ve Jeremy C. Stein (1992), “Herd on the street: Informational inefficiencies in a market with short-term speculation”, Journal of Finance, c.47. S.4. ss.1461-1484. 20.Kahneman, D., and A. Tversky. 1979. “Prospect Theory: An Analysis of Decision Under Risk.” Econometrica 47, no. 2: 263–292. 21.Kelly, M. 1997. “Do Noise Traders Influence Stock Prices?” Journal of Money, Credit, and Banking 29, no. 3: 351–363. 22.Kling, G., and L. Gao. 2008. “Chinese Institutional Investors’ Sentiment.” International Financial Markets, Institutions and Money 18, no. 4: 374–387. 23.Lee, Charles M. C., Andrei Shleifer ve Richard H. Thaler (1991), “Investor sentiment and the closed-end fund puzzle”, Journal of Finance, c.46. S.1. ss.75-109. 24.Lim, Sonya Seongyeon (2006), “Do Investors Integrate Losses and Segregate Gains? Mental Accounting and Investor Trading Decisions”, Journal of Business, Cilt: 79, Sayı: 5. 25.Thaler, Richard (1985), “Mental accounting and consumer choice”, Marketing Science, c.4. S.3. ss.199-214. 26.Thaler, Richard (1999), “Mental accounting matters”, Journal of Behavioral Decision Making, c.12, ss.183-206.
Course Learning Outcomes
| Order | Course Learning Outcomes |
|---|---|
| LO01 | Distinguishes the financial markets and the efficient Markets Hypothesis |
| LO02 | Explains the expectations theory |
| LO03 | Identifies herding in financial markets |
| LO04 | Recognizes theory of underreaction, momentum trading, and overreaction in asset markets |
| LO05 | Recognizes noise trading and invester sentiment |
Relation with Program Learning Outcome
| Order | Type | Program Learning Outcomes | Level |
|---|---|---|---|
| PLO01 | Bilgi - Kuramsal, Olgusal | Defines the basic theoretical models and numerical methods of finance function and describes the intended use. Indicates each model´s weak and strong aspects. | 5 |
| PLO02 | Bilgi - Kuramsal, Olgusal | Analyses strategic and operational plans for financial companies, and creates sufficient knowledge to find solutions to the problems that might arise. | 4 |
| PLO03 | Bilgi - Kuramsal, Olgusal | Explains how to create theoretical models to be used in financial management and how to apply quantitative and statistical methods. | |
| PLO04 | Bilgi - Kuramsal, Olgusal | Teaches how to interpret the findings obtained by the application of theoretical models, quantitative and statistical methods used in financial management. | |
| PLO05 | Bilgi - Kuramsal, Olgusal | Determines the appropriate methods to solve the problems encountered in business. | 4 |
| PLO06 | Bilgi - Kuramsal, Olgusal | Enables financial organizations to reach the most appropriate conclusion with an accurate analysis of the basic financial statements. | 3 |
| PLO07 | Bilgi - Kuramsal, Olgusal | Encourages to take responsibility individually and/or in a team, to lead and to work effectively. | |
| PLO08 | Bilgi - Kuramsal, Olgusal | Is aware of the need for lifelong learning, keeps track of the latest developments in the field and constantly develops professional knowledge and skills . | |
| PLO09 | Bilgi - Kuramsal, Olgusal | Teaches to exploit different sources in a new field in accordance with academic rules, to synthesize and effectively present the information obtained. | 5 |
| PLO10 | Beceriler - Bilişsel, Uygulamalı | Demonstrates an awareness of lifelong learning. | 5 |
| PLO11 | Yetkinlikler - Bağımsız Çalışabilme ve Sorumluluk Alabilme Yetkinliği | Questions the ways of traditional methods and if it´s needed develops and implements new approaches. | |
| PLO12 | Yetkinlikler - Bağımsız Çalışabilme ve Sorumluluk Alabilme Yetkinliği | Has a good command of Turkish, as well as at least one another foreign language in accordance with the requirements of academic and work life. | |
| PLO13 | Yetkinlikler - Öğrenme Yetkinliği | Taking the goals and objectives of the banking sector, its size, resources and culture into account, determines the most appropriate approach to financial management . | 4 |
| PLO14 | Yetkinlikler - Öğrenme Yetkinliği | Having a comprehensive knowledge about Capital Markets, it´s tools and institutions, such as BIST and the World Stock Exchanges and utilizes the best ways in the field. | 4 |
Week Plan
| Week | Topic | Preparation | Methods |
|---|---|---|---|
| 1 | Efficient markets hypothesis and Definitions | Reading the first chapter of Inefficient Markets An Introduction to Behavioral Finance | Öğretim Yöntemleri: Anlatım, Tartışma |
| 2 | Predictability of Security Prices | Reading the 6th chapter of A Behavioral Approach to Asset Pricing | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Tartışma |
| 3 | Expectations Theory | Reading the 7th chapter of A Behavioral Approach to Asset Pricing | Öğretim Yöntemleri: Anlatım, Soru-Cevap |
| 4 | Expectations Theory-2 | Reading the 1st chapter of A Behavioral Approach to Asset Pricing | Öğretim Yöntemleri: Anlatım, Soru-Cevap |
| 5 | Mental Accounting | Reading the 3rd chapter of Inefficient Markets An Introduction to Behavioral Finance | Öğretim Yöntemleri: Beyin Fırtınası, Anlatım |
| 6 | Herding | Reading the 3rd chapter of Inefficient Markets An Introduction to Behavioral Finance | Öğretim Yöntemleri: Beyin Fırtınası, Anlatım |
| 7 | Herding-2 | Reading the 5th chapter of A Behavioral Approach to Asset Pricing | Öğretim Yöntemleri: Soru-Cevap, Beyin Fırtınası |
| 8 | Midterm Exam | Ölçme Yöntemleri: Yazılı Sınav |
|
| 9 | Noise Traders and Investor Sentiment | Reading the 2nd chapter of Inefficient Markets An Introduction to Behavioral Finance | Öğretim Yöntemleri: Soru-Cevap, Beyin Fırtınası |
| 10 | Noise Traders and Investor Sentiment-2 | Reading the 2nd chapter of Inefficient Markets An Introduction to Behavioral Finance | Öğretim Yöntemleri: Soru-Cevap, Beyin Fırtınası, Anlatım |
| 11 | Over and Under Reaction | Reading the 5th chapter of Inefficient Markets An Introduction to Behavioral Finance Behavioral Approach to Asset Pricing | Öğretim Yöntemleri: Anlatım, Soru-Cevap, Beyin Fırtınası |
| 12 | Over and Under Reaction-2 | Reading the 5th chapter of Inefficient Markets An Introduction to Behavioral Finance | Öğretim Yöntemleri: Anlatım, Tartışma |
| 13 | Momentum Trading Strategies | Reading the 7th chapter of A Behavioral Approach to Asset Pricing | Öğretim Yöntemleri: Anlatım, Tartışma |
| 14 | Reversal Trading Strategies | Reading the 7th chapter of A Behavioral Approach to Asset Pricing | Öğretim Yöntemleri: Anlatım, Beyin Fırtınası |
| 15 | Current events on behavioral Finance | Current Articles on topic | Öğretim Yöntemleri: Anlatım, Beyin Fırtınası |
| 16 | Final Exam | Preperation to Exam | Ölçme Yöntemleri: Yazılı Sınav |
| 17 | Final Exam | Preperation to Exam | Ölçme Yöntemleri: Yazılı Sınav |
Student Workload - ECTS
| Works | Number | Time (Hour) | Workload (Hour) |
|---|---|---|---|
| Course Related Works | |||
| Class Time (Exam weeks are excluded) | 14 | 3 | 42 |
| Out of Class Study (Preliminary Work, Practice) | 14 | 5 | 70 |
| Assesment Related Works | |||
| Homeworks, Projects, Others | 0 | 0 | 0 |
| Mid-term Exams (Written, Oral, etc.) | 1 | 15 | 15 |
| Final Exam | 1 | 30 | 30 |
| Total Workload (Hour) | 157 | ||
| Total Workload / 25 (h) | 6,28 | ||
| ECTS | 6 ECTS | ||