FIN7051: Applied Financial Econometrics - Accounting and Finance Assignment Help

Assignment Task

Learning outcomes and pass attainment level:

1. Construct, apply and assess various financial econometric models.

2. Compare and contrast financial econometric models including their application to the field of finance, banking and economics.

3. Prepare an independent data empirical analysis including critical thinking and analysis.

4. Test the validity of various theories in finance using financial econometric models.

STRUCTURE OF THE ASSIGNMENT

There are six questions included within the assignment which are related to testing the validity of a theoretical model and you should attempt all six questions. There is no word limit to questions, but the minimum overall words for the coursework is 2,100 words (excluding tables and figures). If any part of the assignment is ignored this reduces the maximum marks which could potentially be awarded. The assignment answer should be carefully checked before submission for the use of appropriate and acceptable grammar. The correct use of English spelling is to be employed throughout.

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.

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