Download 1 - McCombs School of Business - The University of Texas at Austin

Mexico City EMBA Program: Spring 2009
FINANCE CURRICULUM
INVESTMENT THEORY/CORPORATE FINANCE
Professor: Andrés Almazán, Ph.D. (University of Texas)
Phone: (512) 471-5856
E-Mail: [email protected]
Fax: (512) 471-5073
Professor: Gerardo Dubcovsky, Ph.D. (Tecnológico de Monterrey)
Phone: 5483-2364 (2210)
Oficinas 3. Piso 4.
E-Mail: [email protected]
Objective: This curriculum will consist of a one-semester course that will give the
student a theoretical and practical background in the fields of investments
and corporate finance. The goal is to provide an understanding of financial
markets, the financial instruments that are traded in these markets, and
advanced corporate financial management decisions. You must have
completed the Financial Management course in Fall 2006 (sessions 1 to 5)
The class will involve a combination of lectures, case studies, course
projects and problem sets.
Text:
Financial Markets & Corporate Strategy, by Mark Grinblatt and Sheridan
Titman. McGraw-Hill/Irwin, 2nd edition, 2001.
Reading packet.
Policies: The outline is subject to change with the proper notification.
At the end of each semester, the full range of grades will be considered. In
borderline situations, both class participation and improvement throughout
the semester will be determining factors.
It is expected that you will hand in all assignments (i.e., case write-ups and
analytical portfolio) on the designated dates.
Finally, please feel free to contact the professors with any questions that
you may have during the semester. (You may find that e-mail is the best
and fastest method for communication).
Almazán & Dubcovsky
Grades:
Investment Theory/Corporate Finance
There will be five sources of evaluation in this course:
Corporate case and problem set write-ups
Corporate quiz
Investment case write-up
Analytical portfolio (April 26)
2 Investment quizes (March 28, April 12)
20%
20%
10%
20%
30%
100%
There will be case projects and problem sets given during the course;
written answers to these assignments will be due by the dates assigned.
Any assignments turned in late, if accepted, will be penalized by a
reduction in letter grade.
Structure: The course will meet for five two-part lectures. The topics covered during
each of these lectures, as well as the relevant reading and problem
assignments, are listed below:
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Almazán & Dubcovsky
Investment Theory/Corporate Finance
Session 6 Professor Almazan (January 30 and 31)
6.1. Capital Structure (Sesion 30 January)
Book: Grinblatt and Titman Chapters 14, 16 and 17
Topics: Modigliani-Miller and the leverage effect. The trade-off theory of capital
structure. The limits on the use of debt: Financial Distress Costs, and Strategic
Effects of Leverage.
Other material:
Class handout.
“Vanderbilt University Roundtable on the Capital Structure Puzzle,” Journal of
Applied Corporate Finance, 11-1, 1998.
“Stern Stewart Roundtable on Capital Structure and Stock Repurchase,” Journal of
Applied Corporate Finance, 14-1, 2001. (Reprinted in Stern and Chew, 2003).
6.2. Security Issuance (Sesion 31 January)
Book: Grinblatt and Titman Chapter 19
Topics: The information effects of financial decisions. Equity issuances. On
Convertibles.
Other material:
Class handout.
John R. Graham and Campbell R. Harvey, “Theory and Practice of Corporate
Finance – Evidence from the Field,” Journal of Financial Economics 61, 2001.
David Mayers, “Convertible Bonds: Matching Financial and Real Options,” Journal
of Applied Corporate Finance, 13-1, 2000. (Reprinted in Stern and Chew, 2003).
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Almazán & Dubcovsky
Investment Theory/Corporate Finance
Session 7 Professor Almazan (February 13 and 14)
7.1. Corporate Risk Management (Sesion 13 February)
Book: Grinblatt and Titman Chapters 21 and 22
Topics: Risk Management and Corporate Strategy. The Practice of Hedging
Other material:
Class notes.
7.2. Corporate Governance and Managerial Compensation (Sesion 14 February)
Book: Grinblatt and Titman Chapter 18
Topics: Corporate Governance. Principles of Managerial Compensation.
Case: Massey Ferguson. (This is a case based on the material covered in the January
Session.)
Other material:
Class notes.
Bengt Holmstrom and Steven N. Kaplan, “The State of U.S. Corporate Governance:
What’s Right and What’s Wrong?” Journal of Applied Corporate Finance, 15-3, 2003.
Brian J. Hall, “Six Challenges in Designing Equity-Based Pay,” Journal of Applied
Corporate Finance, 15-3, 2003.
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Almazán & Dubcovsky
Investment Theory/Corporate Finance
Session 8 Professor Dubcovsky (March 15)
These sessions will consider topics related to investments. The topics include:
8.1. Introduction to investments: asset allocation and policy statement
8.2. Portfolio theory: mean-variance analysis and CAPM
8.3. Portfolio performance
Required readings for these sessions:
Grinblatt and Titman Chapters 4 and 5. Bodie Chapter 26.
Other material:
 New Perspectives On Investing In Emerging Markets. Michael J. Schill. The
Research Foundation of CFA Institute, 2006,
 Estimating Risk Parameters, Aswath Damodaran, Stern School of Business
 Tracking Error and the Information Ratio, The Journal of Investing Consulting,
June 2000, pages 18-22
Assignment: you will manage an analytical portfolio and participate in a speculating
portfolio until April 26th
I.- PORTAFOLIO ANALÍTICO DE INVERSIÓN: los estudiantes diseñarán en grupos de 4
estudiantes como máximo un portafolio de dos millones de pesos que contemple acciones, Cetes,
reportos, metales (oro, plata,etc.) y/o divisas (dólares, euros,etc.). No pueden adquirir sociedades de
inversión ya que ustedes son una sociedad de inversión.
Primer reporte: (entrega máxima ANTES DEL 10 DE MARZO): cuánto compraron de cada
instrumento, precio unitario del cierre y valor total, tanto de sus instrumentos como del benchmark con el
que medirán su desempeño (en Excel). Justificar porcentaje bonos- porcentaje de acciones (asset
allocation), y el porcentaje de cada acción dentro de la parte accionaria. Estrategia a seguir en relación a
benchmark (el IPC para parte accionaria y alguna sociedad de inversión similar a la de ustedes para el
portafolio global): “¿seguir al benchmark (indizarse) o ganarle?”. La evaluación se hará por coherencia
entre lo planteado y analizado.
II.- PORTAFOLIO ESPECULATIVO. Virtual stock1 (5 de enero al 26 de abril): además del
portafolio analítico, en forma INDIVIDUAL participarán en el virtual stock: vse.marketwatch.com El primer
lugar tendrá 10 puntos adicionales sobre la nota de esta parte de la clase, 6 el segundo y 4 el tercer lugar.
Para ello tiene la obligación de realizar como mínimo una operación semanal. Aquí se trata
exclusivamente de ganar. Deben inscribirse en la competencia ANTES DEL 12 DE ENERO.
Competition ID: EMBA2008. Competition Name: EXECUTIVE MBA. Competition
Password: embaemba. Sólo se admite una cuenta por alumno. Si utiliza otro nombre, debe enviarme
por e-mail su sobrenombre y matrícula. No pueden dar de baja su cuenta bajo ninguna consideración
durante la simulación. Primero en la página de Virtual Stock regístrense como competidores. Luego arriba
a la izquierda tienen “Find a Game to Join" ponen EMBA2008. Le aparecerán las reglas del juego y al final
de la página sale “This is a Private Game. Enter Game Password”, le ponen embaemba, y le pican en “Join
game”. Le saldrá el ranking con su nombre.
1
Bienvenidos al Virtual Stock. La competencia inicia el 5 de enero y termina el 26 de abril:
Consulten las reglas.
Ustedes tienen 1,000,000 de dólares, pueden hacer ventas en corto así como limit y stop orders.
Las comisiones por trade son de 40 dólares y se les pagará 5% anual por su balance en cash.
Sólo pueden comprar o vender el 100% del volumen que efectivamente se está operando
Buena suerte, diviértanse y ganen mucho.
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Investment Theory/Corporate Finance
Session 9 Professor Dubcovsky (March 28 and 29)
These sessions will consider topics related to options and real options. The topics
include:
9.1. Introduction to option markets
9.2. Option pricing
9.3. Valuing Real Options
Required readings for these sessions:
Grinblatt and Titman Chapters 7, 8, 12.1 and 12.2
Other material:

Real Options and Corporate Practice, Journal of Applied Corporate Finance,
Volume 15 -2, Winter 2003, Pages 8-23.

MEXDER: a) Las 30 preguntas más frecuentes sobre Opciones. b)Opciones para
obtener lo mejor de la Bolsa. www.mexder.com/MEX/Publicaciones_MexDer.html

The Option Toolbox Version 5.0,
www.cboe.com/LearnCenter/OptionsToolbox.asp

Characteristics and Risks of Standarized Options, The Options Industry Council.
www.888options.com/resources/brochures.jsp Esta información es fundamental
para cualquier persona que va a operar en un mercado de opciones.
Case: ZAPA Chemical and BuBa. Thunderbird # A06-97-0007
March 28th: Gerardo´s 1st quiz
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Investment Theory/Corporate Finance
Session 10.1 and 10.2 Professor Dubcovsky (April 12 and 26)
These sessions will consider topics related to cost of capital. The topics include:
10.1. Cost of capital
10.2. Emerging markets and the cost of capital
Required readings for these sessions:
Grinblatt and Titman Chapters 13 and 11
Other material:

Damodaran on Valuation: Security Analysis for Investment and Corporate
Finance, Aswath Damodaran, Wiley, 2006. Chapter 2.

The valuation of closely-held companies in Latin America, Luis E.Pereiro, Di
Tella, 2002

The Discount Rate in Emerging Markets: A Guide, Jaime Sabal, IESE, Working
Paper, 2003.
Case: The Globalizing the Cost of Capital and Capital Budgeting at AES. December
2005. HBS # 5-206-080
April 12th: Gerardo´s 2nd quiz
April 26th: portfolio final report due and case report
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Almazán & Dubcovsky
Investment Theory/Corporate Finance
Andres Almazan
[email protected]
Associate Professor
Department of Finance
CBA 6.252 (512) 471-5856
• PHD, Massachusetts Institute of Technology, 1996
• MS, CEMFI, Madrid, Spain, 1991
• BA, Facultad de Ciencias Economicas y Empresariales, Malaga, Spain, 1989
Academic Posts:
Associate Professor of Finance and Economics at The University of Texas at Austin, 1998 –
present. Visiting Associate Professor Sloan MIT 2005 - 2006. Associate Professor of Finance
at The University of Illinois at Urbana-Champaign, 1996 – 1998.
Research Areas:
Corporate Governance, Finance – Corporate
Industry Areas:
Business Management, Capital Markets, Investment Banking
Current Research Projects:
"Stakeholders, Capital Structure and Transparency"
“Financial Structure, Acquisition Opportunities and Firm Locations”
“Capital Budgeting under Optimistic Corporate Culture”
Recent and Representative Publications:
Andres Almazan and Javier Suarez. 2003. Entrenchment and Severance Pay in Optimal
Governance Structures. Journal of Finance 78.
Andres Almazan, Keith C. Brown, Murray Carlson, and David A. Chapman. 2004. Why
Constrain Your Mutual Fund Manager? Journal of Financial Economics 73, 289-321.
Andres Almazan, Adolfo de Motta and Sheridan Titman,
“Firm Location and the Creation and Utilization of Human Capital,” Review of Economics
Studies. 74 (2007).
Andres Almazan, Sanjay Banerjee and Adolfo de Motta, (2008) Journal of Finance. Attracting
Attention: Cheap Managerial Talk and Costly Market Monitoring.
Teaching Awards:
Teacher of the Year MIT Sloan School of Management May 2006.
2001, 2002, 2003, 2004, 2005, 2007 Faculty Honor Roll at the McCombs School of Business.
2003-2004 Joe D. Beasley Award for MBA Teaching at McCombs School of Business.
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Almazán & Dubcovsky
Investment Theory/Corporate Finance
SEMBLANZA
Gerardo Dubcovsky
He has a PhD in Management with a concentration in Finance, graduated with honors from a
joint doctoral program offered by Tecnológico de Monterrey and UT-Austin. He got a MSc in
Economics from El Colegio de Mexico, obtaining the 1st place. His bachelor degree, majoring in
Economics, if from UNAN, where he was granted the Julio Buitrago distinction to the best
student.
During the last 14 years he has been professor at Tecnológico de Monterrey, teaching classes
at the PhD program, the MBA and Master in Finance programs in México, Perú, Ecuador,
Colombia, Costa Rica and in the Executive-MBA (joint program with UT-Austin). He has been
three times rewarded with an award for excellence in teaching the Master of Finance.
He teaches Corporate Finance, Investments and Derivatives, and also has extensive experience
at executive education programs for various companies and organizations in Mexico and other
Latin American countries.
He has published research in the North American Journal of Economics and Finance, Global
Finance Yearbook, Revista Mexicana de Economía y Finanzas, Institute of Social Studies de La
Haya, El Colegio de México and UAM. Also he has been speaker in several simposia and
conferences in Mexico and other countries.
He has been consultant for several companies in subjects relating to Business Perspectives,
Risk Management, Debt Restructuring. Before joining academia, he worked in private
companies in the areas of sales and production, and also in projects of rural development.
At Tecnológico de Monterrey, he is the head of the Applied Research Center of EGADE
(Graduate School of Business). He is a member of the Academic Board of the Mexican Chapter
of the American Academy of Financial Management (AAFM), and he is a Vice President of
IMEF, Mexico City, (Mexican Institute of Financial Excecutives)
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