ICM 142 - Programming for Finance                                                                                             © ICMA Centre 2021

Final Project

You are required to investigate stock indicator(s) on dates of significant corporate events. You can choose which stock indicator(s) is the subject of the investigations. For example, one may choose to investigate stock prices and/or stock volatility and/or liquidity/trading volume. You also can decide the types of corporate events that are deemed to be significant e.g. insider trading and/or IPOs and/or CEO compensations and/or mergers and acquisitions, ect. The following subtasks are set for a guidance:

1)   Download a type(s) of filings during a period (e.g. 2020) from the U.S Securities and Exchange Commission Electronic Data Gathering, Analysis and Retrieval system (SEC EDGAR). Different types of the filings represent different events/information. Dates of the filing can be assumed dates of corporate events (See topic 4 lecture for more details). There are merits for discussions of your choices of significant corporate events in linkages to prior finance literature. [20 marks]

2)   Download stock prices of the companies that had significant events. Note that you should carry out investigations based on a sufficient sample size e.g. larger than 30 data points. [10 marks]

3)   Merge/combine the data of significant corporate event dates and data of stock indicators. [10 marks]

4)   Produce and discuss the summary statistics of the stock indicator(s) during non-event and event days. [20 marks]

5)   Conduct an econometric procedure to examine the stock indicator(s) during significant event dates. There are merits for discussions of the linkages to related literature in this question. You may choose t-tests and/or regression analyses with a dummy variable representing event days for this task. [20 marks]

Note

➢  This final project accounts for 70% of the assessment in this module.

➢  The project should be submitted at [Blackboard > Assessment].

➢  This final project is different to the previous assessment in this module. You should produce a report with an appendix in a Microsoft docx file. Please do not submit a file in other formats (e.g. .pdf)

➢  The reportshould be non-technical and contain only analyses in English, graphs, figures and tables.

➢  There is a reserve of 20 marks for sound structure, presentation, clear, coherent analyses, evidence of wider reading and linkages to prior literature in the report.

➢  The appendix should contain the Python codes. The appendix should be put in at the end of the report in the Microsoft docx file.

➢  The Python codes should be separated from the report i.e. the report should NOT include Python codes.

➢  Codes should be for Anaconda Spyder Python 3.6+. Please double check your codes to make sure that they can be executed in Spyder, not other platforms e.g. Jupyter Notebook.

➢  The mark will be awarded based on both the report and the Python codes (in the appendix).

➢  The deadline for this assignment is Friday 7^th May 2021.