FIN 6123 Investment Management and Analysis
Individual Project Guideline
You are going to work on this project individually. The deliverables will be a written report answering the following questions and a compiled code or Excel spreadsheet that you use for Step 3:
1. Select a stock or mutual fund whose value you believe may be influenced by the development of generative AI. In the written report, provide a brief explanation of how and why generative AI could impact the value of this stock or fund.
2. Pick an event date to study the impact of AI development on your stock/fund. For example, if you choose a U.S. stock/fund, you can choose the release date of ChatGPT, November 30, 2022, as the event date. If you choose a Chinese stock/fund, you can choose the release date of DeepSeek, January 10, 2025, as the event date. You can also choose other dates based on your own judgement. In the written report, briefly justify your choice of the event date.
3. Conduct an event study on the return of the stock/fund around the event date you choose. Choose a stock market index of the market that your stock/fund is traded on and use the CAPM model to estimate the abnormal returns. Use (-300, -60) as the pre-event estimation window and (-30, 30) as the event window. Plot the cumulative abnormal return of the stock/fund during the event window (you can ignore risk-free rate and compounding since we focus on a relatively short window). In the written report, discuss whether the return pattern is consistent with your prediction on the impact of AI development on the value of the stock/fund.
The deliverables are due at 10pm on November 30th.
Grading:
Written report 5%
Code/Excel spreadsheet 5%