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# DAT 537 - Final Project : Processing and analyzing real finance data

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DAT 537: Final Project

Siddhartha Chib December 14, 2022

Project Instructions

These questions aim to help you gain some hands-on experience in processing and analyzing real finance data. Project parameters are as follows.

1. The report is due by 23:59 pm on December 5, 2022.

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).

3. BOTH the knitted output file and the Rmd file used to generate the report have to be submitted.

4. The Rmd file should be such that all results are fully reproducible.

Finance Project: Pricing performance of factors

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.

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.

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.

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).

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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