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ECON47815 – ECONOMETRIC METHODS 2019/2020 Masters Programmes
SUMMATIVE ASSIGNMENT
For this assignment you must complete either Project A or Project B.
Project A:
Use the Dataset_#mutual.xls corresponding to your Z#####.
To complete this assignment, you will need the returns of the mutual fund # and the factors
in the Dataset_#mutual.xls. The variable names and the descriptions of the variables are
as follows:
Variable Names Descriptions
MutualFund1_#_ret Returns of the mutual fund 1
MutualFund2_#_ret Returns of the mutual fund 2
CRSP index Market Index
1-month T-Bill Risk free rate
ExRm CRSP index minus 1-month T-Bill
SMB Small (market capitalization) minus big factor
HML High (book-to-market ratio) minus low factor
MoM Momentum factor (long prior-month winners and short prior-month
losers)
TradedLIQ Traded liquidity factor
Question: (a). Estimate an appropriate CAPM model describing the return of the mutual
funds as a function of some or all factors above: CRSP index, 1-month T-Bill , ExRm ,
SMB , HML , MoM and TradedLIQ. Carry out and report the necessary statistical tests to
justify the choice of your specification. Discuss any found issues with respect to omitted
variable bias.
(b). Compare the performances of the two funds and the exposure of the portfolios to
different risk factors by comparing relevant coefficients (such as the intercept and slopes) of
the models through appropriate tests.
The following references will be useful when you interpret and compare the coefficients.
Fama, Eugene F.; French, Kenneth R. (1993). “Common Risk Factors in the Returns on
Stocks and Bonds”. Journal of Financial Economics 33 (1): 3–56
ECON47815 – ECONOMETRIC METHODS 2019/2020 Masters Programmes
2019/2020 Masters
Programmes
© 2019
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Fama, Eugene F.; French, Kenneth R. (1992). “The Cross-Section of Expected Stock
Returns”. Journal of 47 (2)
Pastor, Lubos & Stambaugh, Robert F., 2003. “Liquidity Risk and Expected Stock Returns,”
Journal of Political Economy, University of Chicago Press, vol. 111(3)
End of Project A
Project B:
Use the Dataset_#fish.xls corresponding to your Z#####.
In this project you will estimate the demand for Cod (a saltwater fish). To complete this
assignment, you will use the 300 weekly observations on the quantity of Cod purchased, the
price of Cod, the price of Chicken, the price of Beef, Weekly Income, the average body mass
index (BMI), and the average water temperature in the North Atlantic Ocean (where Cod are
cultivated). You will find these 300 observations in the Dataset_#fish.xls file.
Question:
(a) Produce a scatterplot of price and quantity demanded of Cod. Set aside the
variable “average water temperature.” Estimate the household demand function
for Cod as a function of the price of Cod, Weekly Income, the price of Beef, and
some or all of the other provided variables. Carry out and report the necessary
statistical tests to choose your specification. Report the estimated own price
elasticity, estimated income elasticity of demand, and the cross-price elasticity of
demand with Beef. Discuss any found issues with respect to omitted variable
bias.
(b) Suppose the price of Cod is determined by simultaneous solution of the market
supply and demand of Cod. Discuss how this is problematic for your estimate of
the own price of elasticity for Cod. Use the variable “average water temperature”
to obtain a new estimate of the own price elasticity of Cod. Evaluate whether
“average water temperature” is an appropriate instrument.
End of Project B
Overall word limit, 1000 words maximum.
The word count should:
Include all the text, including title, preface, introduction, in-text citations, quotations,
footnotes and any other item not specifically excluded below.
Exclude diagrams, tables (including tables/lists of contents and figures), equations,
executive summary/abstract, acknowledgements, declaration, bibliography/list of
ECON47815 – ECONOMETRIC METHODS 2019/2020 Masters Programmes
2019/2020 Masters
Programmes
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references and appendices. However, it is not appropriate to use diagrams or tables
merely as a way of circumventing the word limit. If a student uses a table or figure as
a means of presenting his/her own words, then this is included in the word count.
Examiners will stop reading once the word limit has been reached, and work beyond this
point will not be assessed. Checks of word counts will be carried out on submitted work,
including any assignments or dissertations/business projects that appear to be clearly over-
length. Checks may take place manually and/or with the aid of the word count provided via
an electronic submission. Where a student has intentionally misrepresented their word
count, the School may treat this as an offence under Section IV of the General Regulations
of the University. Extreme cases may be viewed as dishonest practice under Section IV, 5
(a) (x) of the General Regulations.
Very occasionally it may be appropriate to present, in an appendix, material which does not
properly belong in the main body of the assessment but which some students wish to
provide for the sake of completeness. Any appendices will not have a role in the assessment
– examiners are under no obligation to read appendices and they do not form part of the
word count. Material that students wish to be assessed should always be included in the
main body of the text.
YOUR COMPLETED ASSIGNMENT MUST BE SUBMITTED TO DUO NO LATER THAN
11.59AM ON 13 DECEMBER 2019.
MARKING GUIDELINES
Performance in the summative assessment for this module is judged against the following
criteria:
Relevance to question
Organisation, structure and presentation
Depth of understanding
Analysis and discussion
Use of sources and referencing
Overall conclusions
ECON47815 – ECONOMETRIC METHODS 2019/2020 Masters Programmes
2019/2020 Masters
Programmes
© 2019
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Students should use the template on DUO for their assignments.
The word count should include all the text (plus endnotes and footnotes), but exclude
diagrams, tables, bibliography, references and appendices. Guidance on referencing can be
found in your Assessment handbook under ‘Things you Need to Know’ on DUO.
The assignment which you submit on-line should INCLUDE all appendices
PLAGIARISM and COLLUSION
Students suspected of plagiarism, either of published work or work from unpublished
sources, including the work of other students, or of collusion will be dealt with according to
School and University guidelines.
Your assignment will be put through the plagiarism detection service.
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