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AcF 602 Coursework

This document provides an overview of the coursework assignment for the AcF 602/622 Advanced Investment Management course. It includes two tasks. Task 1 involves performing Fama-French five-factor and Stambaugh-Yuan mispricing factor regressions on returns of two US equity mutual funds from 2010-2019 and interpreting the results. Task 2 requires constructing post-earnings-announcement drift strategies within size groups from 1975-2019 and explaining how the strategies are constructed and interpreting performance. The assignment is due on March 30th, 2020 and groups of up to three students should submit SAS code, reports, and a hard copy following the specified formatting and submission guidelines.

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Shihab Hasan
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161 views

AcF 602 Coursework

This document provides an overview of the coursework assignment for the AcF 602/622 Advanced Investment Management course. It includes two tasks. Task 1 involves performing Fama-French five-factor and Stambaugh-Yuan mispricing factor regressions on returns of two US equity mutual funds from 2010-2019 and interpreting the results. Task 2 requires constructing post-earnings-announcement drift strategies within size groups from 1975-2019 and explaining how the strategies are constructed and interpreting performance. The assignment is due on March 30th, 2020 and groups of up to three students should submit SAS code, reports, and a hard copy following the specified formatting and submission guidelines.

Uploaded by

Shihab Hasan
Copyright
© © All Rights Reserved
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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AcF 602/622 Advanced Investment Management

Lent term 2019/2020

Overview
Students enrolled to AcF 602/622 are compulsory to complete the following
coursework assessment as a part of fulfilment. The coursework contributes 20% toward
the overall mark for the module. The assignment includes 2 tasks.

Group Allocation
Each group should include no more than three group members. Group registration
should be completed via Moodle.

Assignment Deadline
12:00 (noon) on Monday 30th March 2020

Submission Requirement
All groups should submit SAS codes and reports before the deadline. And all groups
also need to submit a hardcopy version of reports in AcF base room (C3a).

Cover Sheet:
You should include your group details on the first page of your report. Following details
should be included: Full names and student IDs of group members

Style Requirement
Times New Roman, font size 12, 1.5-spaced. The main text must be consistently
formatted, i.e avoid modifying the font, size and colour. Use page numbers.

Word limit
The word limit for report is 2,000 word (excluding tables). Your reports should be well
structured and easy to read.
Coursework Assignment
Task 1 [60 marks]
Each group should obtain monthly returns for two US equity mutual funds from the
CRSP (including one large value and one small growth) from January 2010 to
December 2019. You may find fund categories from website such as ‘US News Money’.
Perform the Fama-French five-factor regression for each of the return series and address
the questions (1)-(4) as below.

(1) Construct five factors by yourself and include detailed explanations in coding that
you submit. 1 [20 marks]
(2) Interpret your regression results [10 marks]
(3) What does efficient market hypothesis imply for performance of two mutual funds?
[10 marks]
(4) What is the aim of active investing and do you think mutual fund managers can beat
the market? [10 marks]

Download the mispricing factors from Professor Robert Stambaugh webpage.2 Apply
the Stambaugh and Yuan (2017) mispricing-factor model to each of the return series
during the sample period of 2010-2016 to answer question (5):

(5) Interpret your regression results [10 marks]

Task 2 [40 marks]


Task 2 is related to the post-earnings-announcement drift (PEAD) effect. First split
NYSE, Amex and Nasdaq stocks into three size groups each month. Second, within
each size group, construct ten PEAD decile portfolios based on standardized
unexpected earnings. The sample period is January 1975 to December 2019.

(1) Explain how you construct the PEAD strategies within each size group by including
detailed explanations in coding that you submit. [20 marks]
(2) Interpret your empirical results by evaluating the performance of the PEAD
strategies within three size groups. [20 marks]

Good Luck!

1
https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html
2
http://finance.wharton.upenn.edu/~stambaug/

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