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Empirical Finance: Spring 2024
发布时间：2024-06-08
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Empirical Finance: Spring 2024
Due Date: Last day of class (May 16-17, 2024)
Possible Project Topics: Empirical Finance
1. Asset Pricing (Fama-French etc)
a. Look at the Pollution Premium paper on Canvas. The data can be downloaded
from the Journal of Finance website and looking at the supporting information tab at the bottom. (https://onlinelibrary.wiley.com/doi/full/10.1111/jofi.13217) Form a pollution portfolio and replicate tables I-V of the paper for a period of your choice.
2. Event study prediction
a. Look at the event list (on bankruptcy, CEO resignation etc.) that I provided on canvas.
b. Merge the event dataset with their fundamentals from Compustat database in WRDS.
c. Can you predict the events and its CAR (Cumulative abnormal return) with the firm fundamentals of previous years?
d. Download the 10k and 10q and 8ks of the firms for two years before the events. Use ChatGPT and Finbert to do the sentiment analysis from the texts of 10k/10Q etc. (you can choose only the MD&A and risk factors section). Do any of these sentiments predict the probability of the events (do a logit regression) or its CAR (use simple regression)?
3. Clinical trial event study
a. Look at the outcome of clinical trials of biotech companies and analyze their stock return performance
b. (more like what we did for the earnings announcement drift)
c. More details to follow after lecture 4.
Clinical trials list: https://www.clinicaltrials.gov/
https://www.nih.gov/health-information/nih-clinical-research-trials-you/finding-clinical-trial
4. Stock Returns over the FOMC Cycle
a. Check for the announcement dates:
https://www.federalreserve.gov/monetarypolicy/fomccalendars.htm
b. Reproduce the figure 1 and table 1 of the paper Stock Returns over the FOMC Cycle (https://onlinelibrary.wiley.com/doi/full/10.1111/jofi.12818) for the period 1994-2022. (Data from 1994-2016 are available, email me).
c. Do you see a different pattern since 2022? Why?
d. Check out the papers:
i. https://libertystreeteconomics.newyorkfed.org/2018/11/the-pre-fomc- announcement-drift-more-recent-evidence/
ii. https://onlinelibrary.wiley.com/doi/abs/10.1111/jofi.12818
iii. https://onlinelibrary.wiley.com/doi/full/10.1111/jofi.12196
5. Event study after FOMC announcements
a. Check for the announcement dates:
https://www.federalreserve.gov/monetarypolicy/fomccalendars.htm
b. Short term or intra-day analysis
c. Check on impact on market index and industry ETFs and individual stocks
d. Is there a differential impact on one industry sector versus other? e. More details to follow after lecture 4.
f. Check out the papers:
i. https://libertystreeteconomics.newyorkfed.org/2018/11/the-pre-fomc- announcement-drift-more-recent-evidence/
ii. https://onlinelibrary.wiley.com/doi/abs/10.1111/jofi.12818
iii. https://onlinelibrary.wiley.com/doi/full/10.1111/jofi.12196
6. Algorithmic Trading
a. Look at the TRADE AND QUOTE (TAQ) PROJECT details file on Canvas
7. Any other topics of your interest on topics done in class
WRITE-UP
Your write-up should be double-spaced, and should not exceed 5 pages. Include a brief executive summary in which you describe your major assumptions and your estimate of the firm’s stock price. Your report must be clear and succinct. In addition to the text, you may add up to 5 pages of exhibits like graphs, tables etc., You also have to submit all your data and all the codes written in Python.
APPENDIX A: DATA RESOURCES
A) Fama French Risk Factors:
http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html
B) INFLATION
Monthly CPI data can be obtained from the St. Louis Federal Reserve’s web site http://research.stlouisfed.org/. This is a valuable tool in doing financial analysis. We’ll be using the Consumer Price Index (CPI) For All Urban Consumers – not seasonally adjusted.
C) BASIC FIRM SPECIFIC INFORMATION
All public information is here. Start with the current stock price and ticker.
http://moneycentral.msn.com/ http:///finance.google.com
You should go to your firm’s website to obtain the annual financial reports. Usually “investor relations” link will provide the annual reports. Read them and you will learn a lot about your firm.
D) BALANCE SHEET AND INCOME STATEMENTS
Past statements older than 3 years are not publicly available. You may use Yahoo Finance or Google finance or the SEC Edgar website to find the past financial statements of the firm.
E) INTEREST RATES AND ECONOMIC DATA
Current Treasury and corporate bond yields are available in http://bonds.yahoo.com. For historical corporate and treasury yields check the Board of Governor’s website http://www.federalreserve.gov/releases/h15/data.htm.
You can also find economic indicator data from World Bank or IMF websites.
F) JOURNALS AND OTHER DATABASES
Additional information on your firm is available from Wall Street Journal, the Standard.Com, CorporateInformation.com and several library resources.
G)WRDS
H) FOMC Data: https://www.federalreserve.gov/monetarypolicy/fomccalendars.htm
I) SEC EDGAR for company filings: https://www.sec.gov/edgar/searchedgar/companysearch
