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Short Assignment Requirements
Choose anyone of the problems to solve. Based on the paper or theory provided, use Matlab to analyze. Then write a brief paper to summarize your analyze.
1. Estimating beta on individual stocks and various size portfolios. Replication of results in Blume, Marchall. "Portfolio Theory: A Step Towards Its Practical Application." Journal of Business, April 1970.
2. Estimating fundamental beta and it's predictive power versus historical beta. Replication and extension of Beaver, W, Kettler, P. and Myron Scholes. "The Assocation between Market Determined and Accounting Determined Risk Measures." The Accounting Review, October 1970.
3. Estimating Blume's beta. Replication of results in Blume, Marchall. "Betas and their Regression Tendencies," Journal of Finance, June 1975.
4. Strategy of buying low beta and shorting low beta stocks to create beta=0 portfolio.
Replicate and extend the results of Black, Jensen, and Scholes. "The Capital Asset Pricing Model: Some Empirical Tests," in Jensen, Studies in the Theory of Capital Markets. (New York, 1972).
5. Create the Fama-MacBeth procedure for testing the CAPM. Extend the test by testing for the CAPM adjusted for taxes. Fama, Eugene and MacBeth, J. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, May/June 1973. Litzenberger, R.H. and Ramaswamy K. "The Effect of Personal Taxes and Dividends on Capital Asset Prices: Theory and Empirical Evidence," Journal of Financial Economics, June 1979.