# 7000AFE Quantitative and Research Method

Coursework Brief for 7000AFE Quantitative and Research Method

Assignment Guidelines:

Assignment Number and Weighting: Coursework (10 credits)

Submission Date and Time: see Aula submission link

Expected return of feedback and marks: 14 working days from the deadline

Assessment Format: Individual coursework

Submission Procedure: Electronically via Aula (Turnitin)

Word Count: 2500

Assignment Title: Quantitative and Research Method CW

Learning Outcomes Assessed by this Assignment: MLO1-5 (See module handbook for more details)

Report: the assignment requires you to write a report (less than 2500 words) for the case study. The dataset relating to the case study will be provided in an EXCEL file posted on Aula. You are required to use it for the purpose of this assignment and to conduct a thorough analysis.

Case Study: Measuring stock market risk

One measure of the risk (volatility) of an individual stock is the standard deviation of the total return (capital appreciation plus dividends) over several periods of time. Although the standard deviation is easy to compute, it does not consider the extent to which the price of a given stock varies as a function of a standard market index, such as the S&P500 or FT350. As a result, many financial analysts prefer to use another measure of risk referred to as the beta.

Beta for individual stocks is determined by using CAPM (Capital Asset Pricing Model). The Capital Asset Pricing Model (CAPM) describes the relationship between systematic risk and expected return for assets, particularly stocks. CAPM is widely used throughout finance for pricing risky securities and generating expected returns for assets given the risk of those assets and cost of capital.

Beta: The value of beta for the stock market will always be 1; thus, stocks that tend to rise and fall with the stock market will also have a beta close to 1. Betas greater than 1 indicates that the stock is more volatile than the market and betas less than 1 indicate that the stock is less volatile than the stock market. For instance, if a stock has a beta of 1.4, it has 40 percent more volatility than the market, and if a stock has a beta of 0.4, it is 60 per cent less volatile than the market.

In general, we could use single linear regression to estimate CAPM. The dependent variable is the total excess return for the stock and the independent variable is the total excess return for the stock market (market index). For this Case Study we will use the FT350 index as the market index, and an estimated regression equation will be developed using monthly data. The beta for the stock is the slope of the estimated regression equation. The data contained in the EXCEL file provides the accumulated stock price (i.e., capital appreciation plus dividends) for four widely traded common stocks in London Stock Exchange and the FT350 index.

The report

In this case study, you are going to analyse the risk characteristics of these stocks. Prepare a report that includes but is not limited to the following items. This also suggests the structure of the report

1. Introduction. Briefly justify the importance of the topic (by using at least 2 references and citations) (10P)

2. Descriptive Statistics. Briefly introduce the dataset, and then compute descriptive statistics for each stock and the FT350 (should include tables and/or figures), and interpret your results. (20P)

3. CAPM. Estimate CAPM model to determine the value of beta for each stock, and interpret your results. Comment on how much of the return for the individual stocks is explained by the market; which stock is more volatile than others? which of these stocks would you expect to perform best in an up-ward market? which would you expect to hold their value best in a down-ward market? (20P)

4. Extended Model. Extend your CAPM model in 3) to a multivariate model by incorporating three factors introduced in classical papers such as Fama and French (1993) and Gregory et al. (2013).

• You need to justify the model extension and introduce how to extend the model (10P),
• Then estimate the extended model(s), and report, interpret and discuss the results. (20P)

5. Conclusion. Summarise the key findings and discuss the limitations of your case study. (10P)

6. Format and References. Neat and clear format, draw appropriate excel tables, charts, figures that must be labelled. APA style for references (10P)

Writing Guidelines

• Make sure that you do not include hand-drawn charts/graphs in your work

• Use the Coversheet for the first page, write down your Name and ID.

• Your Name should not appear on the other pages.

• Your student ID should be included in the Header/Footer on every page.

• Pages should be numbered.

• The page orientation should be ‘portrait’, margins on both sides of the page should be no less than 2 cm.

• 1.5 line spacing

Marking Criteria/Rubric

Please check the data EXCEL file to find the marking rubric.

References

Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3-56.

Gregory, A. Tharayan, R. & Christidis, A. (2013).  Constructing and Testing Alternative Versions of the Fama–French and Carhart Models in the UK. Journal of Business Finance & Accounting, 40(1) & (2), 172–214, January/February 2013, 172-214.

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