5441336811

5.    Financial statements frauds

Reasons for financial statement frauds. Revenue/accounts receivable frauds. lnventory/cost of goods sold frauds. Understating liability/expense frauds. Overstating asset frauds. Examples of frauds.

6.    Case study: Enron

Enron’s history and fraud. The role of stock options. Enron’s use of Special Purpose Entities. Managerial incompetence vs. accounting system inadequacy. Transparency standards.

7.    Symptoms of failures

Recognising the symptoms of failures. Methods of predicting the likelihood of a corporate failure. Quantitative and qualitative features of a failure. Sample early warning Systems. Common faults in decision-making.

8.    Conclusions and implications

Developing environmental learning mechanisms. Generating new and relevant knowledge. Organisational creativity. Managing crisis and failure.

Bibliography

1.    Adizes, I., (1999), Managing Corporate Lifecycles, Prentice Hall

2.    Altman, E. I., (1968), The Prediction of Corporate Bankruptcy: A Discriminant Analysis, Journal of Finance Vol. 4 No 8

3.    Altman, E.I., (1983), Corporate Financial D/sfress, Wiley

4.    Beaver, W.J, (1968), Market Prices, Financial Ratios, and the Prediction of Failure, Journal of Accounting Research, Vol 6 pp179-192

5.    Clark, F.L., Dean, G.W., Oliver, K.G., (1997), Corporate Collapse, Cambridge

6.    Hartley, R., (2003), Management Mistakes and Successes, Wiley

7.    Hudson J, (1986), An Analysis of Company Liquidations, Applied Economics, Vol 18 pp219-235

8.    Khanna, N. and Poulson, A. (1995), Managers of Financially Distressed Firms: Villains or Scapegoats?, Journal of Finance, 50, 919-940.

9.    Kharbanda, O.P., Stallworthy, E.A., (1985), Corporate Failure, McGraw-Hill

10.    Malmendier, U. and Tatę, G. (2005), CEO Overconfidence and Corporate lnvestment, Journal of Finance, 60, 2661-2700

11.    Miller, D., (1977), Common Syndromes of Business Failure, Business Horizons, November, 43-53

12.    Opler, T. and Sherdian, T. (1994), Financial Distress and Corporate Performance, Journal of Finance, 49,1015-1040.

Grading

Test or (and) written assignment (homework)

Econometrics of financial markets

	ECTS Points*	Hours	Year:	Semester:	Status	Language:
	4	Lectures: 15	2015/2016	summer		English

Lecture Teacher: Sabina Nowak, PhD E-mail: [e-mail]

Content/ Course Description:

Foundations of efficient market theory and its critics. Forms of market efficiency with appropriate methods of testing.

Basics of market microstructure theory. The bid-ask spread and its components. Modeling transactions data.

Event study analysis. Measuring and analyzing abnormal returns.

Modelling volatility: characteristics of volatility, the structure of volatility model, steps in building the ARCFI and GARCH models.

Bibliography:

MacKinlay A.C., Event studies in economics and finance, „Journal of Economic Literaturę” 1997, t. 35, nr 1, s. 13-39.

Campbell J.Y., Lo A.W., MacKinlay A.C., The econometrics of financial markets, Princeton University Press, New Jersey 1997.

De Jong F., Rindi B., The microstructure of financial markets, Cambridge University Press, Cambridge 2009.

Fama E.F., Efficient Capital market: A review of theory and empirical work, „Journal of Finance”, 1970, t. 25, nr 2, s. 383-415.

Fama E.F., Efficient Capital markets II, „Journal of Finance”, 1991, t. 46, nr 5, s. 1575-1617.