Assignment Requirements
Please read attached document, and choose ONE topic. This is an excel project, you should use excel to show the data. Answer any questions in the topic you chose. you can use Both Word and Excel.
TOPICS FOR EXCEL PROJECT
The aim of the project is to develop your Excel skills as well as generally develop your skills at managing data and delivering a clear report based on data analysis. Please choose ONE of the topics below. Use finance.yahoo.com to get data of whichever company you want to work on for this project.
Topics:
Post Earnings Announcement Drift
o Studies indicate that both positive and negative earnings “surprises” are followed by upward/downward drift in the stock returns (see Figure 8.5 of the textbook: Essentials of Investments, Bodie, Kane and Marcus (2013), 9th edition, McGraw Hill-Irwin). The goal of this topic would be to replicate this study and see if the results still hold for recent history using the IBES database of corporate earnings estimates from the WRDS database.
Event Study: performance of stock market around FED meetings
o Studies indicate that a substantial amount of volatility occurs in the days around the meetings of the Federal Open Market Committee (FOMC), as the market eagerly awaits news regarding federal funds rates and other comments. For this topic, I would provide you with the dates of all FOMC meetings for the last 20 years and you would study the stock market behavior in the days around these meetings compared to other days in the stock market.
Are prices more volatile in non-dividend months than months dividends are paid out?
o For this topic, you would compile a sample of dividend-paying stocks and study their price behavior around dividend payments compared to other days when dividends are not forthcoming. The goals would be to determine if stock prices are more volatile in non-dividend paying periods, and if there is any general price behavior as we near dividend payments on stocks.
Replicate B/M result
o Studies indicate that stocks with high book-to-market ratios (B/M) earn higher returns on average than stocks with low B/M (see Figure 8.4 in the textbook). The goal of this study would be to replicate this result and see how strong it is in recent history.
Replicate momentum result
o Studies indicate that recent strong-performing stocks (“winners”) earn higher returns on average than recent weak-performing stocks (“losers”). The goal of this study would be to replicate this result and see how strong it is in recent history.
Does beta predict future returns?
o Beta is widely viewed as a strong measure of risk, suggesting that high-beta stocks would generally have higher average returns than low-beta stocks. The goal of this study would be to test this by constructing samples of high-beta stocks and samples of low-beta stocks and comparing the general performance of the two groups.
Do term spread and credit spread have any predictive power for the stock market?
o Studies indicate that macroeconomic factors related to interest rates may have value for forecasting the near future of the stock market. The goal of this study would be to test if the term spread (difference in yields between short-dated and long-dated bonds) and credit spread (difference in yields between low-risk and high-risk bonds) have predictive value for future stock market returns.
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