辅导Ac.F 602、辅导Python设计、Python编程语言调试、讲解Jupyter Notebook
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Ac.F 602: Advanced Investment Management
Coursework Assignment – Lent Term 2018-19
Coursework Deadline:
12:00 (noon) on Tuesday 23 April 2019
Where to submit:
1. All groups need to submit a Jupyter Notebook document onto the Moodle. Within this
Jupyter Notebook, you are required to provide your Python codes to demonstrate the analysis
and interpret the results (see below for detailed requirements)
2. All groups also are required to submit a report document for the interpretations of results onto
the Moodle.
Cover sheet:
You should include your group details on the first page of your assignment including:
1. Full names of each group member
2. Students IDs of each group member
Format:
The hardcopy for the interpretations of results should be consistently formatted as:
1. Font, Font Size: Times New Roman, 12
2. Line Space: 1.5
3. Use page numbers
Group limit:
Coursework groups are restricted between 2 and 3 students, inclusive.
Word limit:
The coursework assignment should be kept as short and concise as possible. The word limits for the
hardcopy of the interpretations of your results are:
1. Task 1: 500 words
2. Task 2: 500 words
3. Task 3: 300 words
Marks:
This assignment counts 20% towards the final mark in this module.INSTRUCTIONS
TASK 1 [40 marks]
Choose 50 stocks from the U.S. stock markets (e.g., NYSE, Amex and Nasdaq) and download their
monthly returns of those stocks from relevant databases (e.g., WRDS). You may also like to
consider downloading the monthly returns for the corresponding risk free asset and market index
for the U.S. stock markets. The sample period covers 10 years at least. Answer the following
questions:
1. Draw/compute an efficient frontier based on your chosen stocks and then plot the capital
market line on the same graph. [20 marks]
2. Choose two stocks. What are the market betas for your stocks? Interpret. [10 marks]
3. Choose two stocks. What are the alphas for your stocks? Interpret. [10 marks]
TASK 2 [40 marks]
Construct Fama-French five-factor model (Fama and French, 2015) augmented with a momentum
factor (Mkt, SMB, HML, RMW, CMA and UMD). Analyse the styles and evaluate the
performance of your portfolio (from TASK 1) using CAPM, Fama-French three-factor model, and
the constructed six-factor model and interpret your results:
4. What are the factor loadings of your portfolio estimated from those three models? Interpret.
[20 marks]
5. What are the alphas for your portfolio estimated from those three models? Interpret. [20
marks]
TASK 3 [20 marks]
Follow Bodnaruk, Loughran and McDonald (2015) to conduct textual analysis (bag of words) on 10-K
text obtained from SEC EDGAR database. Construct an additional risk factor on financial constraints
(for instance, most financial constrained vs least financial constrained) and provide summary statistics
for this constructed factor. Add this factor to Fama-French three-factor model and the six-factor model
from TASK 2 and analyse the factors loadings and alphas from these two new model specifications. [20
marks]
References
Fama, Eugene F., and Kenneth R. French. (1993) "Common risk factors in the returns on stocks and
bonds." Journal of Financial Economics 33: 3-56.
Fama, Eugene F., and Kenneth R. French. (2015) "A five-factor asset pricing model." Journal of
Financial Economics 116: 1-22.
Bodnaruk, Andriy, Tim Loughran, and Bill McDonald. (2015) "Using 10-k text to gauge financial
constraints." Journal of Financial and Quantitative Analysis 50: 623-646.