bradleyboyuyang / Empirical-Finance

Fama-French models, idiosyncratic volatility, event study

Empirical Finance Projects

A series of quantitative and empirical studies in China A-share market. Perfect for beginners to learn about empirical finance and investment analysis. Check respective folders to learn about detailed instructions.

Preliminary: Numerical Monte Carlo - Efficient Frontier, Capital Market Line, and Sharpe Ratios

Project 1: CAPM Applicability and Factor Testing Framework

• Test CAPM applicability using time series and Fama-MacBeth Regression
• Backtest effectiveness of market value, PB ratio, momentum, and contrarian factor by constructing portfolios

Project 2: Empirical Study on Arbitrage Pricing Theory

• Replicate size (SMB) and value (HML) factor in Fama-French three factor model in Chinese stock market
• Explore the effect of idiosyncratic volatility on stock returns by examining long-short arbitrage significance

Project 3: Verification of Efficient Market Hypothesis Using Event-Study

• Analyze market reaction to private placements (the most typical type of Seasoned Equity Offering) using event study methdology
• Further explore characteristics of stocks with high cumulative abnormal return including industry, ROE, PB and PE ratio, and market value