Statistical analysis of real data on a company’s stock returns

This is a paper that focuses on the statistical analysis of real data on a company’s stock returns. The paper also provides the activities to follow in writing the paper analysis.

Statistical analysis of real data on a company’s stock returns

1. Objective of the assignment:

To examine, using statistical analysis of real data, the impact of firm-specific information on a company’s stock returns. (Note that this assignment constitutes 100% of the assessment for the NBS8002 module.)

2. Three activities:

a) Selecting a public company for analysis, collecting relevant data, and also reviewing literature. (Proportion of Marks Allocated to this Activity: 10%)

You must select a single public company satisfying the following criteria:

Ø  The nature and dates of at least four significant (preferably related) information events occurring over a relatively short period of time (not more than eight months) can be identified.
Ø  Three years of continuous daily stock price data, beginning at least two years before the first information event and ending not less than three months after the final information event, are available for analysis.

Statistical analysis of real data on a company’s stock returns

Note:
1)      Firstly, each student must choose a different company and have their choice approved by me.

2)      Secondly, there are a variety of sources (e.g. public web information such as yahoo finance, financial times, London Stock Exchange, and university facilities: Bloomberg/Datastream at room 4.03 NUBS) from which you can collect the data (e.g. daily price and market index) you need for the assignment
b) Performing appropriate analysis of the impact of multiple information events on the stock returns of a public company

In order to focus solely on the impact of firm-specific information on stock returns, a control is needed to model daily returns conditionally expected from contemporaneous non-firm-specific information. The market model should be used as the control.

Suitable tests for coefficient stability, and for the validity of the Ordinary Least Squares assumptions, should in conduction, and also appropriate modifications to the estimation model as necessary.

The report should describe the nature of the information events for your chosen company, the hypotheses you test, any problematic data issues you encounter. (such as treatment of capitalisation changes, rights issues, dividends, suspension of trading etc). Also, how they were handle, your research design, interpretation of results and your conclusions.