Construct regression model(s) to examine the effect of different factors on share performance, i.e. CAPM, Fama and French three factors model and five factors model, or other models you develop.

Financial investment analysis

Assignment task:

As a trainee analyst in a London investment company, you are tasked to conduct stock market performance analyses and produce a report to the investment manager to identify some key factors that affect share performance. The investment manager is keen to make significant investment in companies and industries that thrive in the current COVID-19 market environment and ask you to do some research in this area.

You are to identify two companies in one industry that perform well under COVID-19 investment environment. In your report, please include the following:

Identify two or three good performance companies and justify the investment motivation for the industry and the companies (suggested words: 200 words)

Through research and review, identify key factors that could affect share performance for the companies in that industry (suggested words: 800 words)

Construct regression model(s) to examine the effect of different factors on share performance, i.e. CAPM, Fama and French three factors model and five factors model, or other models you develop. See some journals listed in the Assignment Support folder under Module (suggested words: 600 words)

Data introduction and sample statistics covering the most five recent years using daily data (suggested words: 200 words)

Discuss findings, including the following regression analysis areas: (suggested words: 1000 words)

Regression results and the economic meaning of key coefficients

Compare and contrast the two companies, i.e. performance and key factors
Examine multicollinearity
Examine heteroscedasticity
Examine autocorrelation
Examine model specification errors
Examine stationary/nonstationary
Examine cointegration
Discuss volatility

Conclusion and make recommendation to the investment manager (suggested words: 200 words)

Additional information:

Financial information can be obtained from the OSIRIS(Links to an external site.) (Links to an external site.) database accessible through the Anglia Ruskin University Library to an external site or via Stock Exchange, annual reports, official company website or other professional resources.

Data can be collected from finance.yahoo.com, i.e. book-to-market ratio, price-earnings ratio, market capitalization, P/E ratio, and any other criterion that interests you.

You can find this information by choosing a company and then clicking on Statistics.

CAPM, Fama and French 3 factors and 5 factors data can be downloaded from Kenneth R. French – Data Library
https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html (Links to an external site.)

Bank of England website provides statistical releases in the UK
https://www.bankofengland.co.uk/news/statistics

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