Empirical Methods in Accounting and Finance

Individual Assesses coursework brief

The work should not exceed 3,500 words. Excessive assignments will be penalized according to section 9.13 of Regulation 9 Regulation Governing Postgraduate Taught Awards: “Assessed work which exceeds a specified maximum permitted length will be a subject to a penalty deduction of marks equivalent to the percentage of additional words over the limit the limit excludes bibliography, diagrams and tables, footnotes, tables of content and appendices of data.”

A wide range of theories are proposed to explain the weak risk-return tradeoff, such as investor sentiment and differences in overnight and intraday returns .

In line with the above, answer the following requirements:

Required:

1. Discuss the empirical designs in (i) Yu and Yuan and Wang , and (ii)Wang and Wang and Duxbury

2. Critically review literature, and summarize and evaluate approaches to construct proxies for the investors sentiment.

3. Suppose that you decide to extend Wang to another developed market. Select the market and justify your selection .

4. For the selected market, show present and interpret descriptive statistics of stocks returns for the whole sample period, along with high- and low-sentiment periods.
5. Use the rolling window method to filter conditional volatility. Present and interpret descriptive statistics of conditional volatility for the whole sample period, along with high- and low-sentiment period.
6. Examine the mean-variance relation for the whole sample period, along with high-and low-sentiment periods interpret.