Philip H. Dybvig
Washington University in Saint Louis
Some paper suggestions: http://dybfin.wustl.edu/teaching/topicsquantfin19-shared
Final Exam The final exam will be based on all the classes (including the ones I taught). While the papers have a fair amount of mathematics, the exam will not have any. The questions should be answered using simple English to explain the economics. There is more information on the cover of the sample exam, which is from another year's class. Note that the set of papers covered in the other year was different, and therefore many of the questions and answers are probably unfamiliar to you.
Here is the sample exam and an answer sheet. Each question has two parts: the first part is factual and the second part asks for an opinion, which should be supported briefly. Due to the nature of the exam there are many correct answers to the opinion part of each question.
...final exam pdf size 37K
...suggested answers pdf size 51K
(IMPORTANT) Note that the exam will be closed-book, and that you are not permitted to use any notes or electronics on the exam. There is more information on this on the sample exam and in the syllabus.
To prepare for the exam, I recommend looking at your classmates' slides and the papers below.
Papers Each week we will discuss, in my lectures or in the student presentations, interesting papers. I have some suggested papers you can choose; see http://dybfin.wustl.edu/teaching/topicsquantfin19-shared/index.html. Or, if you want to choose a topic not available there, let me know the topic or topics you are interested in, and the TA and I will help you to find a suitable paper to present.
I will be posting the papers for this section on this web site. Some of the links use the university's library proxy server, and therefore if you access them from off-campus you will need to use your WUSTL KEY. If you do not have a WUSTL KEY, you can copy and paste any jstor addresses into your browser, and access will be free if you are accessing the internet through an appropriate IP address from a participating university. Some of the links will only work within Wash U.
Topic 1 Bubbles, Doubling Strategies, Suicidal Strategies, and Verification
(August 26 and 28) Shell, Karl, 1971, "Notes on the Economics of Infinity," 1971, Journal of Political Economy 79. Stable URL: http://www.jstor.org/stable/1830269.
(August 26 and 28) Dybvig, Philip H. "Perpetual American Put: valuation and verification theorem," lecture notes, link
(Sept 9) Heston, Steven, Mark Loewenstein, and Gregory A. Willard, 2007, "Options and Bubbles," Review of Financial Studies 20. Stable URL: http://www.jstor.org/stable/4494773 Slides by Yixuan Cheng
Topic 2 Side-stepping the Investment Banks
(Sept 4) Scholes, Myron and Mark Wolfson, "Decentralized Investment Banking: the Case of Discount Dividend-Reinvestment and Discount Dividend-Reinvestment and Stock-Purchase Plans," Journal of Financial Economics 23, 7-35. WashU link Slides by Xiaoran Han
Topic 3 P2P Lending and FinTech
(Sept 4) Liao, Li, Zhengwei Wang, Jia Xiang, Hongjun Yan, and Jun Yang, "Investment Under Fast-Thinking," https://ssrn.com/abstract=3197303 Slides by Yang Ju
Topic 4 Fund Performance
(Sept 9) Hunter, David L. and Kandel , Eugene, Kandel, Shmuel (deceased), and Wermers, Russ, 2014, Mutual Fund Performance Evaluation with Active Peer Benchmarks, Journal of Financial Economics 112, 1-29 WashU link Slides by Qi Yang
(Sept 23) Dybvig, Philip H., and Stephen A. Ross, 1985, "Differential Information and Performance Measurement Using a Security Market Line," Journal of Finance 40, 383-399 Stable URL: http://www.jstor.org/stable/2327891 Slides by Xiaoyu (Sprinkle) Zhang
(Sept 25) Berk, Jonathan B., and Richard C. Green. 2004. "Mutual Fund Flows and Performance in Rational Markets." Journal of Political Economy 112, No. 6, 1269-95. Stable URL: http://www.jstor.org/stable/10.1086/424739 Slides by Irene Wang
Topic 5 Dollarization
(Sept 11) Antolfini, Gaetano, and Todd Keister, Dollarization as a Monetary Arrangement for Emerging Market Economies, 2001, Saint Louis Fed Review, 83, no. 6 https://research.stlouisfed.org/publications/review/2001/11/01/dollarization-as-a-monetary-arrangement-for-emerging-market-economies Slides by Diego Herrera
Topic 6 Textual Analysis Tools
(Sept 11) Kelly, Bryan, Manela, Asaf, & Moreira Alan (2018) Text Selection, Working paper http://apps.olin.wustl.edu/faculty/manela/kmm/textselection/textselection.pdf Slides by Rui Qiu
(Sept 30) Jegadeesh, Narasimhan (2013). Word power: a new approach for content analysis, Journal of Financial Economics 110(3), 712-729 WashU link Slides by Weiyun (Wayne) Xu
(Oct 2) Antweiler, W., & Frank, M. Z. (2004). Is all that talk just noise? The information content of internet stock message boards. The Journal of finance, 59(3), 1259-1294. https://www.jstor.org/stable/3694736 Slides by Suisui Huang
Topic 7 Negative interest rates
(Sept 16) Di Maggio, Marco, and Marcin Kacperczyk, "The Unintended Consequences of the Zero Lower Bound Policy," working paper, http://kacperczyk.net/uploads/3/4/9/6/34969133/zerobound_nov2015.pdf Slides by Shaoyuan Yang
Topic 8 Understanding the financial crisis.
(Sept 16) Diamond, Douglas W., and Philip H. Dybvig, 1983, Bank Runs, Deposit Insurance, and Liquidity, Journal of Political Economy, reprinted in the Minneapolis Fed review, https://www.minneapolisfed.org/research/qr/qr2412.pdf Slides by Zhe Yu
Topic 9 Anti-corruption Campaign
(Sept 18) Hung, Mingyi, T. J. Wong, and Tianyu Zhang, 2012, Political Considerations in the Decision of Chinese SOEs to List in Hong Kong, Journal of Accounting and Economics 53, 435-49 WashU link Slides by Ming Yang
Topic 10 Law and finance
(Sept 18) Roe, Mark J., 2011, The Derivatives Market's Payment Priorities as Financial Crisis Accelerator, Stanford Law Review 63, 539-590. WashU link Slides by Jackie Li
Topic 11 Indian Economy
(Sept 23) Jayachandran, Seema, and Rohini Pande. 2017. "Why Are Indian Children So Short? The Role of Birth Order and Son Preference." American Economic Review, 107 (9): 2600-2629. WashU link Slides by Samuel Chen
Topic 12 Macroeconomic Growth
(Sept 25) Acemoglu, Doron, David Autor, David Dorn, Gordon H. Hanson, and Brendan Price, 2014, Return of the Solow Paradox? IT, Productivity, and Employment in US Manufacturing, American Economic Review 104, 394-99. WashU link online appendix Slides by Jiqiu (Ekman) Sun
Topic 13 Personal Finance
(Sept 30) Thaler, Richard H., and Cass R. Sunstein. Nudge : Improving Decisions about Health, Wealth, and Happiness, Yale University Press, 2008, especially chapters 1, 3, 4, 5, and 6. WashU link Slides by Meichen Fan
Topic 14 High frequency trading
(Oct 2) Golub, Anton, John Keane, and Ser-Huang Poon, 2012, High Frequency Trading and Mini Flash Crash, working paper. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2182097 Slides by Xiumin Li
Topic 15 Blockchain
(Oct 2) Malinova, Katya, and Andreas Park, 2016, "Market Design for Trading with Blockchain Technology," unpublished manuscript, https://ssrn.com/abstract=2785626 Slides by Bill Xiao