You will be assigned one company from the Dow-Jones Industrial Average Index, and you will get daily share prices of your assigned company and the daily index of the Dow-Jones Industrial Average Index (DJIA) between 01/01/19-31/08/20. You are required to complete the following tasks:
1.Briefly introduce your chosen company and comment on its share performance during the required period. You should include key statistics as evidence with your commentary, like average/mean share price, average/mean return, highest/lowest price and percentage changes of daily price/return. You also need to identify the biggest price change during that period and explain the reason behind that biggest change.
2.Use the DJIA index as benchmark, calculate the CAPM beta of your chosen company, show a summary of results and interpret your results.
3.Consider the US 3-month T-bill rate as the risk-free rate, use it and test the CAPM to see whether the model is valid or not. You should show a summary of your results, explain your test procedure and hypothesis, and interpret your test results.
4.Discuss the main theoretical limitations of the CAPM. You should look at the assumptions and criticisms of this model and discuss what the possible remedies or alternative models can be used.
5.Present and discuss 2-3 studies from the literature that have used the CAPM model to assess its validity with respect to UK companies. How your empirical results on the US company can be compared with those of UK companies in the literature?
All your calculations should be included in an Excel file and you should use Word for your written part. You should provide key results in tables within your written part. You should also cite and reference relevant literature in your written comments.
Both an Excel and a Word document must be submitted via Turnitin. Please, note that both files must NOT show your name. Instead, they must be named after your ID. If this process is not followed, then I will be forced to deanonymise the submission. Fail also to submit both will result in Non-Submission. Feedback is provided via turnitin within 3 weeks of the submission deadline.
Detailed guidance and further support will be given in the classes.
Feedback for your work (including individual text comments) will be also provided. To this end, all comments and questions will be shared in the Discussion Forum (in case of course you need further feedback).
Poor introduction and comment. Inaccurate calculation, little explanation about the price changes. Very basic introduction and comment, some correct calculations. Explanation is weak and lack of details about price change.
Satisfactory to good introduction and comment. A few calculation errors. e.g. reasons about big price change are provided but lack of details and critical analysis Very Good introduction and comment, accurate calculation. Reasons behind price changes are well explained and show good linkage to news/event. Excellent introduction and comment, accurate calculation. Reasons are very well explained and shows critical thinking. Excellent introduction and comment, highly effective organization. Accurate calculation, shows awareness of competitor/market performance. Reasons are critically analyzed.
Task 2 Calculation is incorrect. No interpretation is provided or is inaccurate. Some of the calculation is correct, interpretation is very basic, shows very limited understanding of the knowledge. A few errors in calculations, interpretation is reasonably good, and shows good understanding of the model. Calculation is accurate, interpretation shows very good understanding of the model. Calculation is accurate, procedure is clearly shown. Interpretation is excellent. Calculation is accurate, clearly show all the procedures. Interpretation is exceptionally good, shows extra self-study.
Task 3 Test procedure and hypothesis are not explained. Test result is incorrectly interpreted. A few errors in the test procedure and hypothesis. Results interpretation is limited and partial. Test procedure and hypothesis are fairly described. Interpretation is reasonably good, but some small errors. Test procedure and hypothesis are correctly explained. Interpretation shows very good understanding of the model. Test procedure and hypothesis are well explained. Interpretation is excellent and clear and link back to the theory. Test procedure and hypothesis are well explained. Interpretation is excellent and correct and show s extra self-study.
Task 4 Shows no depth of knowledge and poor critical thinking, arguments are very weak or irrelevant with no supporting evidence. Show inadequate effort of self-studying, and no suggestions/recommendations Shows limited knowledge and inadequate critical thinking, arguments are relevant but some maybe flawed or unclear with very little supporting evidence. Show limited effort of self-studying, and suggestions/recommendations are weak Shows satisfactory to good level of depth of knowledge and critical thinking, some arguments are reasonable with limited supporting evidence. Show reasonably good effort of self-studying, and suggestions/recommendations are very general. Shows very good depth of knowledge and critical thinking, arguments are good with appropriate supporting evidence. Show adequate effort of self-studying, and suggestions/recommendations are good. Shows excellent depth of knowledge and critical thinking, arguments are strong with good supporting evidence. Show very good effort of self-studying, and suggestions/recommendations are robust. Shows excellent depth of knowledge and critical thinking, arguments are strong with sound supporting evidence. Show excellent effort of self-study, and suggestions/recommendations are robust, may include examples.
Task 5 Shows that information is obtained from a single source. No organization, sequencing, or structure. No conclusions are made from the evidence offered. Information is not cited or is cited incorrectly (not based on Harvard style). Research question(s) were not formed and are not apparent from this brief literature review. Shows that information is weakly organized with no logical sequencing or structure. There is some indication of conclusions from the evidence offered. Research question(s) were not formed but could be formed through this brief literature review. Information is cited but has errors (away from Harvard style). It shows that some evaluation of the existing literature is done but does not seem to inform the goals of the research, since there is not a cohesive overview of the body of this brief literature review. There is no evaluation of the existing
Critical discussion is lacking depth or is misguided. Some evaluation of the existing literature done but does not seem to inform the goals of the literature review. Information is cited but has errors (away from Harvard style). Shows that information is obtained from all required research-based sources. Well organized but demonstrates illogical sequencing or structure. Conclusions are reached from the evidence offered. Research question(s) are formed through this brief literature review. Information is cited properly and in terms of Harvard format. Shows that information is obtained from all required research-based sources. Well organized, demonstrates logical sequencing and structure. Detailed conclusions are reached from the evidence offered. Research question(s) are formed through this brief literature review and clearly stated. Information is cited properly and in terms of Harvard format.