INTERNATIONAL FINANCE
MGT 542

Professor John M. Griffin (www.jgriffin.info)

Global trends and challenges lecture below.

Week Topic  Readings     Assignments/Other Readings
1
Sept 3		 Introduction to foreign exchange markets Solnik Ch. 1 L Notes 1
2
Sept 8, 10		 Parity Conditions,
Exchange rate determination		 Solnik Ch. 2, 3

Extra or alternative reading.
Ch 1, 2, 3 from O’ Brien

 L Notes 2 Notes 3 HW #1 Part A due Thursday, Sept. 10, noon

Data for part 1A, part 1B
3

Sept 15, 17

 Exchange Rate Relations and Forecasting Notes 4 Notes 5 HW1 Part B due Thursday, Sept. 17, noon
4

Sept 22, 24

 Exchange rate forecasting Notes 6 For Wednesday: For discussion–What is the assessment of the outlook for the $?

Guest speaker:

Frank Warnock, Federal Reserve,  Bond Market Development! Thursday 10am, B74

Warnock’s slides

hedged vs. unhedged returns
5

Sept 29, Oct 1

 International Markets and Diversification, For Monday, Solnik Ch. 7 257-274

For Wednesday, Ch.  4

For Thursday, Optional: 
“Global Stock Markets in the Twentieth Century” Goetzmann and Jorion
“European Equity Markets and EMU: Are the Differences Between Countries Slowly Disappearing?“, K. GEERT ROUWENHORST, 1999 Financial Analyst Journal
“Another look at the Role of the Industrial Structure of Markets for International Diversification Strategies“, John Griffin and  G. Andrew Karolyi, 1998 Journal of Financial Economics 50, 351-373.
Correlations:
“Long-Term Global Market Correlations”, WILLIAM N. GOETZMANN,
LINGFENG LI, K. GEERT ROUWENHORST

 Notes 7 Notes 8 8. Welcome to bull country
Valuing markets via the equity premium.(From The Economist print edition) Jul 18th 1998. Evaluate a country analysis: Where to Invest, Converting Economic and currency information into useful information (each assignment is by an individual and not a group)Data for historical P/E and Returns for some countries

Due Wednesday Oct. 2
6
Oct 6, 8		 Diversification continued, International Momentum optional on Momentum:
Momentum Investing and Business Cycle Risk: Evidence from Pole to Pole, John Griffin, Susan Ji and Spencer Martin, forthcoming in the Journal of Finance.
“International Momentum Strategies” Rouwenhourst, Geert, Journal of Finance 53 (1998), 267-284.		 Momentum notes Case: Alan Bain and the Price Momentum Strategy (Ivey)
Questions Due Monday: Oct. 13
7
Oct 13, 15		  Value Effects For Wed. Read Solnik Ch.  7 (p. 241-273), 8 (299-320)

Optional:

Fama and K. French, “Value and Growth: The International Evidence”, Journal of Finance, December 1998,
“Are the Fama and French Factors Global or Country-Specific?”  The Review of Financial Studies, 2002.

 Value
8
Oct  22		 Other International Strategies Nice summary of Bubbles:
FEDThe first 7 pages of ..“Investor Behavior over the Rise and Fall of Nasdaq” John Griffin, Jeffrey Harris and Selim Topaloglu
Skim: Brunnermeier, Marcus K. and Stefan Nagel, 2002, Arbitrage and its limits: hedge funds and the technology bubble, forthcoming JF.		 Bubbles No class Monday–SOM study day.

Case: Grantham, Mayo, Van Otterloo (HBS) Questions.

Due: Friday at 5pm., Oct 24
9
Oct 27, 29		 Practical International Investment Issues For Wednesday. Solnik, Ch. 6 p. 218-223, Ch. 7, 261-273, Ch 8. 321-333. Implementation Issues Case discussion Monday!
10
Nov 3, 5		 International Equity Financing ADR primer Huaneng Power International (Ivey)  due Wed.

Kent Hargis from Bernstein to speak on Wed night. 7pm, A30
11
Nov 10		 International Investment Issues Read: Goldman and Value
focus on valuation sections.		 Nov. 11 Tuesday:
James Shapiro from NYSE to speak on ADRs:
4:10pm to 6:30pm, A30
12

Nov 17, 19

 International Cost of Capital, Political Risk Read…
Solnik Ch. 7, 155-172, Ch. 8, 317-321
1. Campbell R. Harvey, “The International Cost of Capital and Risk Calculator,”
2. Kent Hargis, first 7 pages of, The Goldman Model of Equity Cost of Capital.
Optional: Rene Stulz, The globalization of equity markets and the cost of capital.
Griffin, John, “Are the Fama and French Factors Global or Country-Specific?”  The Review of Financial Studies, 2002.		 CCap Case: International cost of capital.

Goldman info
13

Dec 1, 3

 Currency Risk: Exposure
and Hedging Tools International big picture view of Global trade and finance		 Thursday, Chapter 4, 5 from O’Brien
Optional: “International competition and exchange rate shocks: A cross-country industry analysis” with René M. Stulz, 2001, The Review of Financial Studies 14, p. 215-241.		 Exchange rate Exposure Global Trends
14Dec 8 Optional: Introduction + Conclusion only:”International Portfolio Flows and Security Markets”, in International Capital Flows, edited by Martin Feldstein, University
Chicago Press, 1999, 257-293.
The Myth of Asia’s Miracle by Paul Krugman

Optional: Are Daily Cross-border Equity Flows Pushed or Pulled? with Federico Nardari and René M. Stulz		 Review session Dec. 8 FINAL DEC 12