Finance and Accounting event study

Finance and Accounting event study

 
Project description
Conduct an event study or test a trading strategy of your choice. Be creative! It is perfectly fine if the data does not support your hypothesis. This paper does not need to exceed 10 pages. When the first draft of the paper is due, you are expected to have selected an idea. Your idea needs to be approved first by me before you can proceed with data collection and empirical analysis.

Some ideas for you to consider:
1. Within an industry, do returns of large-cap stocks lead those of small-cap stocks? (monthly data)
2. Do high volatility stocks have higher future returns?
3. Form portfolios based on some Compustat variable(s) and test for market efficiency.
4. Test the ‘Super Bowl Theory’ or some other such ‘event’.
5. Post-earnings announcement drift
6. Intermedium Momentum and long term reversal
7. Is there an illiquidity premium? (Do stocks with higher illiquidity earn higher returns?)

The paper should follow the outline below
A typical outline of an empirical paper:
I. Introduction – what is your paper about?
II. Data Description – generally describe your data, provide some summary statistics indicating number of stocks, time-period, distribution of key variables, etc.
III. Empirical Tests – describe the methodology and results of your empirical tests. Are they robust?
V. Conclude – pretty short summation

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