AF7004 - Financial Econometrics And Forecasting, EViews Analyze, Bloomberg & Fama French, Carhart Models - Financial Analysis Assignment Help

Assignment Task -                 
 

Section A

Construct a portfolio of stocks from the UK market and using EViews analyze its performance based on the estimates from the Fama – French (1992, 1993) and  Carhart (1997) models. 

You are required to answer the two questions listed below. Please follow the  instructions in these questions.  

Requirements: 

1) Select 10 stocks listed on the UK market and explain your choice. You may apply such selection criteria as market indicators (P/E, P/BV, DY ratios, etc.) or any other selection rule, which you can reasonably justify. The period of analysis should be the last full 10 calendar years from January 2008 to December 2017 and the data frequency should be monthly. Download the stock price data from Bloomberg and construct a portfolio from your stocks.  Calculate the monthly returns of this portfolio in the entire 10-year period: 2008-2017. 

Using Eviews perform an estimation of parameters of Fama – French and Carhart models in the entire sample (10 years) covering 120 monthly observations, Divide the whole sample into 10 annual periods, and investigate how the estimation results change in these sub-samples in case of your portfolio. 

2) Discuss your estimation results in terms of the evaluation of your portfolio performance in the whole period and in all 10 annual sub-periods. Analyze the existence of small stocks effect, value premium effect, and momentum effect in your portfolio and explain your results in line with the asset pricing theories. 

Section B 

Using the data from the UK stock market, analyze the extent of the intervallic effect in the estimation of stocks’ beta (β) parameters.  

You are required to answer the two questions listed below. Please follow the instructions in these questions.  

Requirements: 

3) Select 15 companies from the UK market and download their stock price data from Bloomberg. The sample period should include the last full 5 calendar years: from 2015 to 2019. Your selection should cover companies of different sizes, i.e. 5 large stocks, 5 medium-size stocks, and 5 small stocks. Discuss briefly the stocks which you have chosen and then use the CAPM model (in the market model version, i.e. without a deduction of the risk-free rate) to estimate in EViews their betas (β) for daily and monthly frequency data. Discuss the econometric issues, which are related to your estimations.

4) Summarize and discuss your findings of the extent of the intervallic effect in the estimation of the beta (β) parameter in case of all your 15 stocks and discuss any patterns that you found across your results from the point of view of the differences in daily and monthly beta (β) estimates and the size of the stock.

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