• April 17th, 2016

Applied Statistics for Finance and Economics Project Report maximum 2000 words including graphs, tables and references. All data analysis should be undertaken in STATA.

Paper, Order, or Assignment Requirements

The dataset contains four variables. These are the end-of-week share price for a particular stock (y), the end-of-week value for the Standard & Poor 500 index (sap), a binary variable (‘time_dum’) equal to 1 if the data relate to the last half of observations in the series and zero otherwise, and a variable (newt) that denotes the frequency of the data.

Prior to undertaking any analysis you should carry out the following set of commands in STATA:
tsset newt
gen ly=ln(y)
gen lsap=ln(sap)
gen dly=D.ly
gen dlsap=D.lsap
Thus, ‘dly’ now represents the log returns for stock y and ‘dlsap’ the log returns for the Standard & Poor 500 index. All the analysis you conduct should focus around these two log return series.

Imagine you are working for a company or economic consultancy and are asked to provide a short report summarising the performance of stock y. The recipient wants a report that is concise, clear and covers the main issues accurately. The project should be treated as much as an exercise in report writing as a statistical exercise. The ability to distil the information into plain and simple language, accessible to a layman with limited knowledge of statistical techniques, will be rewarded. You should pay a good deal of attention to structure and to ensuring that the main results from the exercise are clearly reported. A report that neglects the issues and just goes through statistical techniques in a mechanical manner will be penalised. You therefore need to think clearly about the issues that you are examining and layout your hypotheses and findings carefully. It is up to you to decide what the data tell you, the specific research questions to address, and what the report should contain.

– Please focus on the contents that have been attached. The writer only can use the STATA command based on these files. The client has advised that the best way is if the researcher can use most of the relevant command from these files to this project paper analysis.
– All of the documents attached are very important, please really careful to read all files, because these files are highly relevant this paper.

1. All data analysis should be undertaken in STATA. The client has uploaded the STATA datasets, the file name is “STT”.
2. The writer needs to copy and paste the STATA command and relevant tables or graphs to the word. Using the results, analyse and write the report.
3. One of the files attached which is “For the project command”, in this file the writer will find some commands that need to be used in this report. These commands are the only advice from the tutor. The commands can be used in this assignment.
4. One of the files is the “Project documentation” and it explains what the project is about, please read this carefully.

Suggested structure of the report
You do not have to follow this structure precisely, it provides a guideline and you may decide to adopt another structure more suited to your analysis.
1. Descriptive analysis of the data over time, between the two time periods and between stock y and sap.
2. Hypothesis tests, interpretation of results and a discussion of the implications of findings.
3. Estimation of Capital Asset Pricing Model using regression analysis and testing of relevant propositions.
4. Conclusions and Limitation (if any).

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