You are tasked with investigations of empirical asset pricing models during the current
COVID outbreak period. In particular, the CAPM or Fama-French asset pricing
model(s) are the subject of the investigations. You can decide the sample of stocks
and the sample period. The sample should include at least 10 stocks. The following
subtasks are set for a guidance:
1) Download stock prices and Fama-French 3 factors using Python codes.
[10 marks] 2) Merge/combine the datasets.
[10 marks] 3) Produce and discuss the summary statistics of stock returns during the sample
[15 marks] 4) Estimate the empirical asset pricing models for a single stock. What is the
stock’s beta? Visualise the results i.e., plot the data points and the estimated
regression line on a figure(s) and discuss your results.
[15 marks] 5) Estimate the empirical asset pricing models for the entire sample, visualise the
results i.e., plot the data points and the estimated regression line on figures and
discuss your results.
[20 marks] 6) Conduct relevant hypothesis tests for the validity of the asset pricing models
and discuss your results.
[20 marks] Note
➢ This assignment accounts for 60% of the assessment in this module.
➢ You need to produce a report of no more than 2,000 words and a jupyter
notebook which contains python code used to complete the above tasks.
➢ There is a reserve of 10 marks for sound structure, presentation, clear, coherent
analyses, evidence of wider reading and linkages to prior literature in the report.
➢ Deadline to submit is 3pm on Friday 10/12/2021 via Turnitin
Key Marking criteria will include:
For the report
• Initiative: originality, innovativeness of answer
• Assignment Structure: clarity of aims, objective, structure and presentation
• Quality of Writing: Readability and ability to convey key message(s) concisely
• Quality and Suitability of Literature: Use of suitable sources
• Insightfulness of Analysis: Interest and usefulness of findings, conclusions drawn.
• Understanding: Assignment demonstrates students have understood key topics
• Overall Quality of Assignment
• Correctness: Correct output is obtained after running the code
• Readability and documentation: codes need to be readable, well-structured and
• Efficiency: adequate number of code lines and time to execute