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FIN 3080 project 3

1. For each stock, count the number of days with daily returns exceeding 6% and the proportion of those days in total trading days for the year, and report the summary statistics of the sample regarding the number of days and proportion.

What conclusion have you drawn?

2. For each selected stock, please count the number of days when the daily return is lower than -6% and calculate the proportion of such days. Please report the summary stats of the sample regarding the number of days and proportion. What patterns have you discovered and what insights do they provide for your trading?

Problem set 2 (Long Short Portfolio)

Download data on individual stock returns and stock market capitalization for all listed Shanghai A-share stocks from January 2010 to December 2018.

(a). Construct monthly long-short portfolio based on the following indicators (the industry generally refers to them as factors in general): 

size factor: the market value on the last trading day of each month. 

volume variance: the standard deviation of daily trading volume in the past three years 

amihud’s liquidity measure: the average of absolute value (daily return)/daily trading volume over the past year

For each long-short portfolio, calculate its annualized rate of return, volatility, sharpe ratio, winning rate, and maximum drawdown.

(b). For each long-short portfolio constructed above, compute the annualized returns for the long leg and short leg separately. Among these long-short portfolios, which long leg contribute most to the annualized return of the portfolio?

(c). Draw the net value curve of each long-short portfolio. 

Problem set 3（Fama-French-3 Factor Model）

(b). Use the three-factor model constructed in problem set 3(a) to test the excess return (alpha) of each long-short combination in problem set 2 (a). Summarize your findings.

1. Find top 10 increased stocks and top 10 decreased stocks (total 20 stocks) in eachyear and their corresponding industries, from 2000 to the present. Count the number of days each stock reached the upper and lower limits (closing price equal to the upper or lower limit price) in the year, and the total number of days when the absolute value of the increase and decrease of the price in the year was less than 3%. In this question, exclude stocks with market capitalization of less than 1% percentile of the market at the beginning of the year.

b. What do you learn from the proportion of the number of days with the lower limit corresponding to the top ten decreased stocks in each year?