Answer ALL questions
a) Download monthly data series from Datastream for the 20-year period of January
1998 to December 2017 for the following:
the share price from a company that has been randomly assigned to you,
the S&P 500 Index (proxy for the market portfolio), and
the interest rate on a 3-month U.S. Treasury bill (proxy for the risk free rate).
Note: You will be provided with the name of the company assigned to you in the
Upload the data into PcGive and calculate the monthly log returns for your
company and for the S&P 500 index. Explain clearly the method you used.
Provide graphs and descriptive statistics for the log returns. Discuss your results.
b) Carry out an appropriate test to determine whether each log return series is
stationary. Explain the testing procedure and the importance of the test results.
c) Identify an appropriate univariate model for the estimation of your company return
series. Comment on the procedure adopted and pay particular attention to the
identification, estimation and diagnostic stages of the modelling process.
d) Estimate the beta value for your share using a ‘market model’ specification and
check the adequacy of the model using appropriate diagnostic tests. Formally test
whether your company can be classed as defensive, neutral or aggressive.
e) Briefly explain what you understand by the term ‘Global Financial Crisis (GFC)’.
Using an appropriate econometric technique, test whether the beta value of your
share is statistically different during the period between September 2007 and
February 2009. Comment on your results.
All results should be properly tabulated in the main body of the assignment along
with any diagrams you deem appropriate. You should not include the raw PcGive or
EXCEL output. This should be reformulated into your own tables. Keep your answers
as precise and concise as possible. You should properly reference any relevant
econometric literature (theoretical and applied) referred to in the text.
You should include the raw data and return series for the first and last years in the
sample (i.e. 1998 AND 2017) in an appendix. Please do not include the full data set.
Overall word limit: 1500 words
Assignments should be typed, using 1.5 spacing and an easy-to-read 12-point font.
You should use double-sided printing, and ensure that assignments are securely
bound. Written assignments and dissertations/business projects must not exceed the
word count indicated in the module handbook/assessment brief.
The word count should:
Include all the text, including title, preface, introduction, in-text citations,
quotations, footnotes and any other items not specifically excluded below.
Exclude diagrams, tables (including tables/lists of contents and figures),
equations, executive summary/abstract, acknowledgements, declaration,
bibliography/list of references and appendices. However, it is not appropriate to
use diagrams or tables merely as a way of circumventing the word limit. If a
student uses a table or figure as a means of presenting his/her own words, then
this is included in the word count.
Examiners will stop reading once the word limit has been reached, and work beyond
this point will not be assessed. Checks of word counts will be carried out on
submitted work, including any assignments or dissertations/business projects that
appear to be clearly over-length. Checks may take place manually and/or with the
aid of the word count provided via an electronic submission. Where a student has
intentionally misrepresented their word count, the School may treat this as an
offence under Section IV of the General Regulations of the University. Extreme
cases may be viewed as dishonest practice under Section IV, 5 (a) (x) of the General
Very occasionally it may be appropriate to present, in an appendix, material which
does not properly belong in the main body of the assessment but which some
students wish to provide for the sake of completeness. Any appendices will not have
a role in the assessment – examiners are under no obligation to read appendices and
they do not form part of the word count. Material that students wish to be assessed
should always be included in the main body of the text.
Guidance on referencing can be found in the programme handbook and on DUO.
Performance in the summative assessment for this module is judged against the
Relevance to question(s)
Organisation, structure and presentation
Depth of understanding
Analysis and discussion
Use of sources and referencing
PLAGIARISM AND COLLUSION
Students suspected of plagiarism, either of published work or the work of other
students, or of collusion will be dealt with according to School and University
END OF ASSESSMENT