Reference no: EM131461403

Information on Replication Exercises and Individual Project

You will need to submit three replication exercises (or two replication exercises plus one individual project) for assessment. 

1. Timeline

It would be ideal that if you could submit three reports by week 4, week 8, and week 13 respectively. However, I am happy to be flexible on these deadlines. For example, it would be fine if you wish to submit one exercise by week 4 and the other two by week 13.

If you want to choose a flexible option, please discuss the timeline with me by email.

All three exercises should be submitted by week 13. This deadline is not negotiable!

Please submit the complete exercises through the LMS. 

2. First Replication Exercise (if you want to do this as the first one)

The paper for the first exercise is:

Kaplanski, G., Levy. H. 2010, Exploitable Predictable Irrationality: The FIFA World Cup Effect on the U.S. Stock Market, Journal of Financial and Quantitative Analysis, 45(2), 535-553.

Replicate OLS regression part of Table II (Panel D only) on page 544.

Note that the exact replication may not be possible. You will obtain qualitatively similar results.  

The data set is available from LMS. Note that the variables names given in the excel file or Eviews file match those given in Section III of Kaplanski and Levi (2010). Note that RVW represents the stock return from value-weighted index and REW the stock return from equal-weighted index.

The structure of your written report should be as follows:

Part I: Summary: A non-technical and readable summary of around 200 words (no more than 2 A4 typed pages) is expected.

Part II: Critical evaluation (around 300 words)

The issues you may discuss include (but not limited to)

• Is this research question important and why?
• Is the research design sensible? If not, what can be done to improve?
• Is the basic data analysis done adequately? If not, what can be done?
• Is the econometric specification appropriate? If not, how can it be improved?
• Is the econometric methodology used adequate? If not, how can you improve it?
• Do the authors conduct adequate sensitivity analysis?
• Do the authors' conclusions make economic sense and matters economically?

Part III: Replication Exercise (around 200 words plus Eviews or R output)

The issues you may discuss include (but not limited to)

• Data details
• Basic data analysis
• Replication results and assessment of your findings

Part IV: Further Analysis (around 300 words plus Eviews or R output)

Conduct any further analyses of your choice. This is an open-end question where you can take an initiative and explore further the data and model used by the authors.

For example, you may include sub-sample analysis or you may try a different model, or you may try a different major sports event.

Attachment:- Assignment Files.rar