ICM289 Advanced Finance Theory with Empirical Application
1. What is the Purpose of This Assessment?
The following table shows which of the module learning outcomes are being assessed in this assignment. Use this table to help you see the connection between this assessment and your learning on the module.
Module Learning Outcomes Being Assessed
• Explain advanced asset pricing models
• Command advanced tools for quality empirical research.
• Critically discuss and evaluate empirical research papers.
2. What is the Task for This Assessment?
Task (attach a separate briefing document if required)
This project constitutes 80% of the assessment for this module. It is an individual assignment, not a group project. Choose ONE of the projects presented below. Do not write more than 2,500 words in total (including footnotes and tables but excluding list of references) and please note that this is a maximum and not a target number of words. Exceeding this maximum will be penalised. Please provide a word count on the title page of your project.
The project must be submitted electronically to Turnitin, the University’s electronic plagiarism checker. To submit, log onto Blackboard, find the ICM289 module, then click on the Assignments tab and follow the instructions from there. The deadline for the submission is noon on 24 July 2024.
Please do not e-mail your project to me (or to anyone else) – this will not constitute submission of the work and it will not be read. The University has a standard penalty structure for late submissions that will be applied.
Extensions to the deadline will only be given in very exceptional circumstances. Any such requests for an extension must be agreed by the ICMA Centre’s Senior Tutor, Dr Gita Persand, and must be accompanied by a completed extenuating circumstances form. available from http://www.reading.ac.uk/internal/exams/student/exa-circumstances.aspx.
There is no reading list for the project – each task is different and therefore likely to require a different set of reading. It is part of the exercise for you to select your own materials.
Please note that I want to see your work and ideas and not my own - so I will not comment upon interim drafts.
Note: Student coursework must adhere to the University of Reading policy on Academic Misconduct.
Further information is available at: https://www.reading.ac.uk/exa-misconduct.aspx
Choose one of the following two projects:
1. Fama and French (1993) have included a Value factor in their 3-factor model. First, survey the most recent literature and discuss whether the Value factor is still present in financial markets. Second, discuss possible economic reasons why Value should be a priced factor. Third, conduct your own empirical analysis using the methodology discussed in class.
2. Carhart (1997) advocated momentum as another factor. First, survey the most recent literature and discuss whether the Momentum factor is still present in financial markets. Second, discuss possible economic reasons why Momentum should be a priced factor. Third, conduct your own empirical analysis using the methodology discussed in class.
Marking Criteria
There are no unique correct answers so I am looking for a careful discussion of the issues in each case. Please see the marking criteria rubric at the end of this document.
3. What is Required of Me in this Assessment?
Guidelines/Details of How to Prepare Your Submission
See task above
The Assessment Criteria to be Used for Marking This Piece of Work
Refer to the marking criteria rubric at the end of this document.
Self-Regulation: Make sure That You…
Three Key Pieces of Advice Based on the Feedback Given to the Previous Cohort who Completed This Assignment
• Ensure you include relevant literature and discuss economic rationales
• Carefully conduct and explain your empirical analysis and properly interpret/discuss the results
• Make sure your essay is properly structured, e.g. it contains an introduction, a main body (possibly partitioned into subsections) and a conclusion
For Group Work Only:
Elements of Group Working:
☐ Classroom Briefing by Module Convenor
☐ Regular Meetings of All Team Members
☐ Record and Keep Evidence of Meetings (agenda/minutes)
☐ Record Attendance and Member Contributions
☐ Team Reflection Document
☐ Submit Peer Assessment Required
Formatting Guidelines
Please submit your work as a pdf document; ensure your student number is at top of the front page.
Word Limit/Guidance and Penalty Applied
See task above
4. What Resources Might I Use to Prepare My Work?
Referencing Style
Please adhere to the Harvard referencing style. For further guidance on how to cite sources and generate a reference list please refer to the relevant guidance provided by the University of Reading Library via: Citing references - Education - LibGuides at University of Reading
Guidance on Academic Misconduct (including using Turnitin practice area)
The work you produce must be your own.
You should ensure that the work you produce adheres to the University’s statement on academic integrity and to the regulations regarding academic misconduct (such as plagiarism and cheating).
You can find information about this at:
http://www.reading.ac.uk/internal/exams/Policies/exa-misconduct.aspx