Requirements. Winter term 2015 / 2016 Master Seminar Quantitative Methods. Language: English. Participation:

Transcription

1 Winter term 2015 / 2016 Master Seminar Quantitative Methods Requirements Language: Participation: Assessment: Key parameters: Formal guidelines: English Participation on block seminar is obligatory Seminar paper (60%), presentation (35%) and active participation in block seminar (5%) Preparation of a seminar paper alone Own empirical / quantitative analysis Topics can be allocated to up to 2 students In case topics are allocated to students the presentation will be held together 30 minutes presentation + 15 minutes discussion 2 hardcopies + with pdf-file Length: 15 pages (incl. tables and figures, without cover, index and appendix) Font: 1.5-spaced, Times New Roman 12 pt. More details are distributed later Seite 2

2 Timetable and registration process To participate in the seminar and to enter your preferences please access The collection of preferences via this tool is centralized for all participating institutes. To tool is available online from October 16 th onwards. Allocation of topics: Seminars will be allocated based on preferences of students. The goal of allocation will be to best match preferences of all students with their allocated topics Announcement of allocation Binding registration of students / Start of the editing period Seite 3 Topic 1: Security Analyst Recommendations: Which analyst recommendations do have investment value and which not? Supervisor: Dimitrios Kostopoulos, kostopoulos@gif.uni-hannover.de Do analyst recommendations with disclosed analyst names better perform than recommendations with suppressed names? Which analyst recommendations add more investment value? The ones that have been generated in teams or the singe-analyst recommendations? Do recommendation teams with at least one female member better perform than other teams? In order to answer the questions above, please formulate appropriate hypotheses and try to find descriptive as well as statistical evidence. Stickel, S.E. (1995): The Anatomy of the Performance of Buy and Sell Recommendations, in: Financial Analyst Journal, Vol. 51, No. 5, pp Womack, K.L. (1996): Do Brokerage Analysts Recommendations Have Investment Value?, in: The Journal of Finance, Vol. 51, No. 1, pp Barber, B.M.; Lehavy, R.; McNichols, M.; Trueman, T. (2001): Can Investors Profit from the Prophets? Security Analysts Recommendations and Stock Returns, in: The Journal of Finance, Vol. 56, No. 2, pp Seite 4

3 Topic 2: How to best diversify internationally? Empirically comparing approaches Supervisor:, Why should international diversification create benefits for investors? What approaches are available to create internationally diversified portfolios? Which of those approaches works best, when empirically applied to data? Demiguel, V.; Garlappi, L.; Uppal, R. (2009): Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?, in: Review of Financial Studies, Vol. 22, No. 5, pp Benartzi, S.; Thaler, R. (2002): Naive Diversification Strategies in Defined Contribution Saving Plans, in: American Economic Review, Vol. 91, No. 1, pp Jacobs, H.; Müller, S.; Weber, M. (2014): How should individual investors diversify? An empirical evaluation of alternative asset allocation policies. In: Journal of Financial Markets 19, S Seite 5 Topic 3: How relevant should different forms of sentiment be for investment decisions on capital markets? Supervisor:, meyer@gif.uni-hannover.de What is meant by the term sentiment and why might it be important on financial markets? What sentiment indices are available and how are they computed? Which of sentiment indices works best, when empirically applied to data? Baker, M.; Wurgler, J. (2007): Investor Sentiment in the Stock Market, in: Journal of Economic Perspectives, Vol. 21, No. 2, pp Solt, M. E.; Statman, M. (1988): How Useful is the Sentiment Index? in: Financial Analysts Journal, Vol. 44, No. 5, pp Finter, P.; Nissen-Ruenzi, A.; Ruenzi, S. (2012): The Impact of Investor Sentiment on the German Stock Market, in: Zeitschrift für Betriebswirtschaft, Vol. 82, No. 2, pp Engelberg, J.E.; Parsons, C.A. (2011): The causal impact of media in financial markets, in: The Journal of Finance, Vol. 66, No. 1, pp Dougal, C.; Engelberg, J.; Garcia, D.; Parsons, C.A. (2012): Journalists and the stock market, in: Review of Financial Studies, Vol. 25, No. 3, pp Seite 6

4 Topic 4: Mutual fund flows and the introduction of a withholding tax Supervisor:, meyer@gif.uni-hannover.de What is a withholding tax and how should it affect investor behavior? What should happen from a portfolio management perspective? What can be inferred from previous tax law changes? Can we observe a change in mutual fund flows in Germany? Sirri, E.;Tufano P. (1998): Costly Search and Mutual Fund Flows, in: The Journal of Finance, Vol. 53, No. 5, pp Grinblatt, M.; Keloharju, M. (2004): Tax-Loss-Trading and Wash Sales, in: Journal of Financial Economics, Vol. 71, No. 1, pp Stilglitz, J. (1985): The General Theory of Tax Avoidance, in: National Tax Journal, Vol. 38, No. 3, pp Poterba, J.; Haliassos,M.; Giuso, L., Jappelli, J. (2001): Taxation and Portfolio Structure: Issues and Implications, in: Guiso, L.; Haliassos, M.; Jappelli, T. (Hrsg.) Household Portfolios, Cambridge, pp Carhart, M. M. (1997): On Persistence in Mutual Fund Performance, in: Journal of Finance, Vol. 52, No. 1, pp Gruber, M. (1996): Another Puzzle: The Growth in Actively Managed Mutual Funds, in: Journal of Finance, Vol. 51, No. 3, pp Seite 7 Topic 5: Does transparency alter behavior? Mutual fund flows and the introduction of key investor document (KID) Supervisor:, meyer@gif.uni-hannover.de What is the key investor document and how should it affect investor behavior? What should happen from a portfolio management perspective? What can be inferred from previous tax law changes? Do mutual fund flows respond to the introduction of the KID? Barber, B. M.; Odean, T.; and Zheng, L. (2005): Out of Sight, Out of Mind. The Effects of Expenses on Mutual Fund Flows, in: Journal of Business, Vol. 78, No. 6, S Beshears, J.; Choi, J. J.; Laibson, D.; Madrian, B. C. (2009): How Does Simplified Disclosure Affect Individuals' Mutual Fund Choices?, in: National Bureau of Economic Research Working Paper Series No Carhart, M. M. (1997): On Persistence in Mutual Fund Performance, in: Journal of Finance, Vol. 52, No. 1, pp Gruber, M. (1996): Another Puzzle: The Growth in Actively Managed Mutual Funds, in: Journal of Finance, Vol. 51, No. 3, pp Sirri,E. and Tufano P. (1998): Costly Search and Mutual Fund Flows, in: The Journal of Finance, Vol. 53, No. 5, pp Seite 8

5 Topic 6: The profitability of investment (strategies) in penny stocks Supervisor:, Define Penny Stocks? What are the chances and risks related to penny stocks? How profitable are a 1/N Investment-strategy a momentum/contrarian strategy a Markowitz-strategy DeMiguel, V., L. Garlappi and R. Uppal (2009): Optimal versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?, in: Review of Financial Studies, Vol. 22, No. 5, pp Jegadeesh, N. and S. Titman (1993). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency., in: The Journal of Finance, Vol. 48, No. 1, pp Petersen, M. A. (2009): Estimating standard errors in finance panel data sets: Comparing approaches." Review of Financial Studies, Vol. 22, No. 1, pp Seite 9