DAT 537 - Final Project : Processing and analyzing real finance data
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DAT 537: Final Project
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Siddhartha Chib December 14, 2022
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Project Instructions
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These questions aim to help you gain some hands-on experience in processing and analyzing real finance data. Project parameters are as follows.
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1. The report is due by 23:59 pm on December 5, 2022.
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2. The first page of the report have your name followed by the program track (MBA, MSCA, MSF in quantitative finance or MSF in corporate finance etc).
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3. BOTH the knitted output file and the Rmd file used to generate the report have to be submitted.
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4. The Rmd file should be such that all results are fully reproducible.
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Finance Project: Pricing performance of factors
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1. Select 30 stocks that you are interested in. Find their yahoo symbols. This website can help you find the symbols that yahoo is using http://investexcel.net/all-yahoo-finance- stock-tickers/. Remember to double check the symbols at yahoo finance.
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2. Download monthly premium data for each stock from Jan 2005 to Dec 2018 using the cbw getfinmdat() function. Remember this requires that all 30 stocks you select in step 1 should be available for this time frame.
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3. Load the package czzg and use the data(factor12) as given to find the best factor collection by the Chib, Zeng and Zhao (2020) method. Use a student-t distribution for the errors in the model scan. Run this scan on a grid of nu values and find the best factor model.
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4. Combine the data in factor12 with the data on the 30 stock premiums (this means that at this point you will remove all the rows in factor12 before January 2005).
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5. Use the factors from the best model to see how many of the 30 stocks can be priced at the 2:1 level. Also check how many of the stocks are not priced at the 2:1 level.
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