Undergraduate Programme
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SUMMATIVE ASSESSMENT (Resit)
Module title:
Financial Econometrics 1
Module code:
FINN2031
Assessment type:
Assignment
Word limit:
2,000 words maximum
Section A (60%):
In the Assessment / Summative Assessment folder on the module’s Blackboard site, you will find
a spreadsheet ‘section a_data_re.xlsx’ containing the daily data for the share price for Pfizer Inc.
(PFE), the U.S. one-month treasury bill rate (RF), and the three risk factors in the Fama-French
3-factor model (MKTRF, SMB, and HML) for the period between 02/01/2018 and 30/12/2022.
a) Compute the daily returns for Pfizer Inc., providing a clear explanation of the method you use.
Graph the stock returns, provide descriptive statistics, and discuss your results.
(20 marks)
b) The Fama-French 3-factor model states that excess return on a stock or portfolio depends on
its sensitivity to i) the excess return on the market portfolio, ii) the size premium, and iii) the
value premium.
c) Provide an explanation from the literature for why the relationship between stock market
returns and inflation can be simultaneous.
(20 marks)
d) Consider the following model:
(2)
Given the evidence of simultaneous relationship discussed in part (c), explain why it is not
appropriate to estimate the model by applying OLS separately to equations (1) and (2).
Estimate the model using 2SLS method and comment on your results.
(20 marks)
For further guidance on how to conduct the relevant research and analysis, please refer to the
Assessment / Summative Assessment folder on the module’s Blackboard site. Undergraduate Programme
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Submission instructions
Your completed assignment must be uploaded to Blackboard no later than 12:00 midday (UK
time) on 8
th August, 2025.
The submission title for this assessment should follow this format FINN1234_Z0****** (using
the FINN-Code of your module and where Z0****** is your Anonymous Candidate Code).
It is your responsibility to back up your work. IT issues are not a valid reason for a late submission.
You should back up your work on more than one device.
A penalty will be applied for work uploaded after 11:59am as detailed in the Late submission
policy. You must leave sufficient time to fully complete the upload process before the deadline
and check that you have received a receipt. At peak periods, it can take up to 30 minutes for a
receipt to be generated.
Word limit
Written assignments must not exceed the word count indicated above.
The word count should:
- Include all the text, including title, introduction, in-text citations, quotations,footnotes and
any other item not specifically excluded below.
- Exclude diagrams, tables (including tables/lists of contents and figures), equations, executive
summary/abstract, acknowledgements, declaration, bibliography/list of references and
appendices. However, it is not appropriate to use diagrams or tables merely as a way of
circumventing the word limit. If a student uses a table or figure as a means of presenting
his/her own words, then this is included in the word count.
Examiners will stop reading once the word limit has been reached, and work beyond this point
will not be assessed. Checks of word counts will be carried out on submitted work, including any
assignments or dissertations/business projects that appear to be over-length. Checks may take
place manually and/or with the aid of the word count provided via an electronic submission.
Where a student has intentionally misrepresented their word count, the School may treat this
as an offence under Section IV of the General Regulations of the University. Extreme cases may
be viewed as dishonest practice under Section IV, 5 (a) - (x) of the General Regulations.
Format
Assignments should be typed, using 1.5 spacing and an easy-to-read 12-point font. All results
should be properly tabulated in the main body of the assignment along with any diagrams you
find useful. You should not include the *raw* Stata output. This should be re-formulated into
proper result tables containing only the most relevant information. Please refer to the
published journal articles for further reference.Undergraduate Programme
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Marking guidelines
Performance in the summative assessment for this module is judged against the following
criteria:
• Relevance to question(s)
• Organisation, structure and presentation
• Depth of understanding
• Analysis and discussion
• Use of sources and referencing
• Overall conclusions
Your assignment should be well organised and structured, using headings and sub-headings as
appropriate to indicate topics discussed. You should follow any instructions, for example, to
describe or to analyse. You should demonstrate an understanding of theory and literature and
should show interpretation and application of this. All references must be clearly indicated, and
a complete bibliography of all sources used must be included.
Please use the Harvard style referencing, as described in cite them right online. Further guidance
on referencing can be found on Durham University website and in the Student Information Hub
Very occasionally it may be appropriate to present, in an appendix, material which does not
properly belong in the main body of the assessment but which some students wish to provide
for the sake of completeness. Any appendices will not have a role in the assessment – the
examiners are under no obligation to read appendices, and they do not form part of the word
count. Please note that your assignment and any appendices must all form part of the same
electronic document, since only one file can be submitted using Blackboard.
Plagiarism and collusion
Students suspected of plagiarism, either of published work or work from unpublished sources,
including the work of students in other groups, or of collusion will be dealt withaccording to
Business School and University guidelines.
End of Assessment