Reference no: EM132957893
FIN7016 Applied Financial Econometrics - Birmingham City Business School
Learning outcome 1: Construct, apply and assess various financial econometric models.
Learning outcome 2: Compare and contrast financial econometric models including their application to the field of finance, banking and economics.
Learning outcome 3: Prepare an independent data empirical analysis including critical thinking and analysis.
Questions
Using the Fama-French and momentum factors constructed by Gregory et al (2013) for the UK market (see the link below), select a company from FTSE100 and answer the following questions:
1. Download and examine the series of stock price and return of your selected company over the period of ten years. Your examination should include the graphical presentation of the two series and the descriptive statistics of the stock returns.
2. Using the single factor CAPM, estimate the stock's beta, and explain whether the security's beta closely follows that of the market.
3. Compute and regress excess returns of your selected company on the Fama-French and momentum factors (four-factor model). Provide an explanation of the coefficients computed.
4. Explain the validity of the Fama-French-Carhart model from the results of your regression highlighting the significance of the factors of the model using 5% significance level.
5. Perform F-test for the hypothesis that the coefficients for the three new factors are jointly equal to zero.
6. Critically examine the Fama and French five-factor asset pricing model.
Present all your results in a clear way, using tables and a consistent notation throughout the course work in the following order:
- Introduction (1 page).
- Literature Review (reviewing the existing literature on multi-factor asset pricing model, including the critical examination of the five-factor model - 3 to 4 pages).
- Methodology (briefly discuss all the techniques or what you are doing to answer questions 1 to 5 above - 2 to 3 pages).
- Analysis and discussion of results (answers for questions 1 to 6 should be provided under this heading using subheadings - 7 to 9 pages).
- Conclusion - (1 page).
- References.
Attachment:- Applied Financial Econometrics.rar
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