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Emperical Analysis on Statiatical Study 1

Job Description:

Using the last 30 years of data replicate the study of Fama and Macbeth (1973, JPE) using all NYSE stocks.

How well does the CAPM perform?

Examine how the results arrived at are different from those in the original study.

Data will be provided

Ideal Candidate will be someone who has done similar research and with a statistics major degree.

You are basically required to replicate the study with the data provided and write a 2500 word literature review.

- Cite quotes from past literatures throughout the report.

- Maintain a list of at least 15 academic references


Added 12 MAY 2010, 12:39 PM EDT

Although data will be provided, demonstration of understanding of the topic is desired.

If possible, it would be nice if the candidate can extract the data themselves through Wharton WRDS (CRSP) or Bloomberg and the likes.

This way the candidate can work towards the end with full comprehension.

Kindly please refer to the paper attached.


Added 18 MAY 2010, 17:40 PM EDT

Amendment/Clarification on the description:

-You do not HAVE to do a literature review and you do not HAVE to do anything more than the question asks.

-We want you to tell us what data you have collected, what technique you will use to answer the question, to perform and report the statistical analysis, and to tell us what it means.

-Do the simple approach to the question.

-If you WANT to, you may add some value to your report by doing a review or by performing additional statistical analysis. But this must not be at the expense of the basic analysis required in the question.

-You must analyse you statistical results, not simply report them.

-Tell me what your regressions etc mean for the financial issue you are looking at.

Attached Files: [url removed, login to view]

Beceriler: Matematik, Matlab ve Mathematica , İstatistik

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İşveren Hakkında:
( 0 değerlendirme ) Dhaka, Bangladesh

Proje NO: #688307