AF7004 Financial Econometrics and Forecasting Assignment.

AF7004 Financial Econometrics and Forecasting Assignment - Northumbria University, UK

There are two sections in this coursework assignment and you are required to answer all questions.

Section A -

Construct a portfolio of stocks from the UK market and using EViews analyse its performance based on the estimates from the Fama - French (1992, 1993) and Carhart (1997) models.

You are required to answer the two questions listed below. Please follow the instructions in these questions.

Requirements -

1) Select 10 stocks listed on the UK market and explain your choice. You may apply such selection criteria as market indicators (P/E, P/BV, DY ratios etc.) or any other selection rule, which you can reasonably justify. The period of analysis should be the last full 10 calendar years from January 2008 to December 2017 and the data frequency should be monthly. Download the stock price data from Bloomberg and construct a portfolio from your stocks. Calculate the monthly returns of this portfolio in the entire 10-year period: 2008-2017.

Draft Assessment Brief - Postgraduate

Using Eviews perform estimation of parameters of Fama - French and Carhart models in the entire sample (10 years) covering 120 monthly observations. The data for the Fama - French and Carhart models factors for the UK market can be found at the following Xfi Centre for Finance and Investment website.

Divide the whole sample into 10 annual periods and investigate how the estimation results change in these sub-samples in case of your portfolio.

Discuss the econometric issues, which are related to your estimations.