Determine the optimal hedge ratio for a spot position

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Final Project

The final project is another important component of this course. For this final project, you must pick an empirical finance topic, gather the required data, specify your methodology, perform quantitative analyses on the data and interpret the results of these analyses, and formulate a conclusion regarding the issue at hand. Marks on the final project will be based on modelling , quantitative , and presentation skills demonstrated.

Project topics

You may choose your own topic for your project, but you may also consider choosing a topic from the following list of topics:

1. Model and test weak-form information efficiency in one or more Canadian stock markets.

2. Test to determine which model-the Capital Asset Pricing Model (CAPM) or Arbitrage Pricing Theory (APT)-is superior for determining returns on risky assets in Canadian markets.

3. Measure, model, and forecast the volatility of bond returns in Canada.

4. Model and test the determinants of bond credit ratings used by ratings agencies such as Moody's.

5. Model the long-term relationship between prices and Canada-US exchange rates.

6. Determine the optimal hedge ratio for a spot position in cattle or oil markets.

7. Test technical trading rules to determine which of them makes the most money.

8. Test the hypothesis that earnings or dividend announcements have no effect on stock prices.

9. Test spot and futures markets to determine which reacts more rapidly to news.

10. Forecast the correlation between the TSX index and the NASDAQ index.

11. Model and test the effect of a firm's capital structure decisions (i.e., debt-equity weight) on share returns.

Reference no: EM13897239

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