This is a paper that is focusing on the student to select only one stock from an emerging market or industry paper. The paper also provides additional information to use in the writing of the assignment paper. Below is the assessment description to follow:
Select only one stock from an emerging market or industry paper
Select only one stock from an emerging market/industry** Download respective daily returns for at least 10 years from Thomson Reuters Eikon financial database. You may need to compile returns from end-of-day prices if daily returns are not available. Download corresponding Fama-French (F-F) Three and Five factors (daily and csv format) from: • https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html. These factors include excess market returns which is a market factor. For stocks chosen from an emerging market, the relevant F-F factors would also have to be from corresponding emerging market available from the above website.
Your group is required to test the Fama-French 3 and 5 factor Models using multivariate regression model for the two chosen stocks respectively as shown below. • Run the OLS regression models using excess stock returns (r -rf) as a dependent variable for the two chosen stocks against the three as well as five factors as explanatory variables respectively • Your group needs to present the analysis for the two chosen stocks comparing the performance of the three versus five factor F-F models Use the references provided on the attachment** Include Excel Worksheet for: -Summary Statistics of Raw Data Extracted from Eikon -Data consistency dates, dealing with missing values Must Use Eikon
Word Document for Introduction – Statement of Objective of this Assignment (5 Marks). Data Description with Table showing key statistics and moments (10 Marks). Data Description – Managing data consistency and also missing values (10 Marks). Empirical Findings using the Model • Table showing OLS Regression results with key statistics (10 Marks). Testing for Statistical Significance of Coefficients (15 Marks). Testing assumptions of Classical Linear Regression (15 Marks) • Corrections for any violations of CLR (10 Marks)
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