MN0491 Corporate Financial Management - Efficient Market Hypothesis - Capital Asset Pricing Model - Management Assignment Help

Assignment Task:

MN0491 Corporate Financial Management Management Assignment Help

Part A

Using monthly data of a stock market index of your choice (e.g. FTSE 100) over five most recent years (01/01/2014 – 31/12/2018), test the Efficient Market Hypothesis.

You are specifically required to perform the following tasks:

• Choose a financial index and convert its performance into monthly logarithmic returns.     
• Create an equally weighted portfolio of 5 companies from the chosen index and convert the performance of the portfolio into monthly logarithmic returns. The portfolio must comprise of companies with the highest beta value during the preceding 5-year period (01/01/2009-31/12/2013). You may choose any frequency of the data to estimate the beta.
• Correctly specify the hypothesis for testing weak-form market efficiency.
• Test the data representing logarithmic returns of the index and the portfolio for weak-form efficiency by means of an independent samples T-test selecting an appropriate level of significance.
• Discuss your findings in terms of the results of the test, related theories and the characteristics of the chosen index.

Part B

Select any one company from the index chosen in part A. Similarly, your analysis needs to cover the most recent 5-year period (01/01/2014 – 31/12/2018). 

• Provide an overview and comment on the key financial figures relating to that company.
• Download WACC data for the chosen company and analyse that data in terms of the Capital Asset Pricing Model and Gordon’s Growth model. 
• Download Debt to Equity ratio (D/E) data for the corresponding period.
• Calculate the correlation coefficient between the D/E and WACC variables.
• Relate the observed trends and statistics to the traditional and Modigliani and Miller theories on capital structure. 

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