ECON240 Financial Modelling
Spring 2013
Tutorial 1 Answers
Tutorial Due: In week 2 prior to the commencement of the assigned tutorial class
Questions 1
The following table presents the monthly time series data for excess stock returns of ABC
Company (yt)
Item
Wages paid to labour
Consumption expenditure
Profit, interest and rents
Investment
Government expenditure
Net exports
Billions of dollars
800
1,000
340
150
290
34
Quantities
Apples
Oranges
2011
60
80
2012
160
220
Prices
Apples
Oranges
2011
$0.50
$0.2
Tutorial 3
Multiple Regression
Tutorial assignment: What are the assumptions of classical linear regression
which give rise to the BLUE for ordinary least squares?
(a) E(u)=0
(b) Vay(u)=2 Homoskedasticity
(c) E(ui uj)=0 No autocorrelation
(d) E(xu)=0 exog
Tutorial 4
Multiple Regression
Tutorial assignment: Submit your answers for Q2 and Q3.
Objective: Testing and correcting for Heteroskedasticity, weighted least squares
and feasible generalised least squares
There are 6660 observations of data on houses so
Tutorial 5
Assumptions and Diagnostics
Tutorial assignment: Submit your answers for Q1 part 4, that is using the weighted least squares
where t =SFLAt2).
Objectives:
1)
Estimate a multiple regression model with heteroskedastic errors using weighted least
Tutorial 7
Simultaneous Equations Models
Tutorial assignment: Explain the order condition. Use the order condition to
show that the Y2 equation is exactly identified and the Y1
equation is not identified.
Y1=a+bY2+cX1+u1
Y2=d+eY1+u2
Objective: 1. Using or
Tutorial 6
Assumptions and Diagnostics
Tutorial assignment: What might Ramseys RESET test be used for? What
could be done if it were found that the RESET test failed?
Objective: 1. Identifying multicollinearity and possible solutions to the problem
2. Per
Econometrics is the application of statistical and mathematical techniques to problems in
finance. It literal meaning is measurement in economics. It is the purpose of testing hypotheses
and forecasting future trends and takes economic models, tests them
Tutorial week 5. Nicole Yew Mae Ching (5171568)
Summarise your understanding of financial modelling up until this point.
Outline the main hypothesis tests you need to conduct when estimating an
econometric model and their purpose.
Econometrics is the appl
Week 9 Tutorial Prep Assessment Task
Read the article The efficient market hypothesis and its critics by Burton Malkiel (2003). Answer the
following questions:
1. What is meant by an efficient security market? There are various views that are put forward
Week 11 Tutorial
Read the article on The international transmission of bond market movements by
Mills and Mills
1. What is the research question?
The purpose of this paper is to investigate the relationships that for government bonds in
a third internatio
Linear regression in finance is constructed by fitting a line through a scatter plot of paired
observations between two variables. The sketch below illustrates an example of a linear
regression line drawn through a series of (X, Y) observations. Where: Y
Tutorial 8
Vector Auto-Regressive (VAR) Models
Tutorial assignment: (a) Why is the Choleski decomposition required when
generating the impulse response function.
(b) Why is the impulse response function sensitive to the
ordering of the endogenous variable
Tutorial 10
Cointegration and Error Correction Model
Tutorial Assignment:
Read the article by Brooks, Rew and Ritson (2001). In a single A4 page, explain the
cost of carry relationship between spot and futures prices. How do the authors show
that the best
Tutorial 9
Unit Root Tests
Tutorial Assignment: Show that when =1 that the series Yt is made up of its
past shocks et, et-1 , for the following process:
Yt = Yt-1 + et
[Hint: Use recursive substitution to express Yt in terms of its past shocks et, et-1, F
ECON240 Tutorial 9 Work
Describe the steps to be taken prior to modelling any time series data.
Prior to modelling any time series data, several concepts and conditions must be tested in order
to determine the correct model to be used. Some of these inclu
Part II
1. Beta is a measure of the volatility, or systematic risk, of a security or a portfolio in comparison
to the market as a whole (Investopedia,2016).A stock with higher beta value has more
systematic risk compared to a tock with lower beta value. B
ECON240 Financial Modelling
Spring Session 2014
Week 3 Tutorial Questions
1. What are the assumptions made on the distribution of the error term underlying the
classical linear regression model?
2. Discuss the main concepts and rational behind hypothesis
ECON240 Financial Modelling
Spring Session 2014
Week 6 Tutorial Questions
1. What is autocorrelation? How do we test for it?
Random process, the autocorrelation function is two state at any time of the second order
moment of mixed origin, For example, X (
ECON240 Financial Modelling
Spring Session 2014
Week 4 Tutorial Questions
1. Explain the rationale of a F test in the context of multiple regression analysis
If we want to test more than one coefficient simultaneously can using the F-test, the F-test
invo
ECON240 Financial Modelling
Spring Session 2014
Week 5 Tutorial Questions
Question 1
The following output is based on estimating the CAPM model where (yt) is the
monthly time series data for excess stock returns of Company A and (xt) is the excess
on mark
Tutorial 2
Basic Regression and Hypothesis Testing
Tutorial assignment: Submit Q2* and Q3* to your tutor at the start of the
tutorial
Objectives:
1. Be able to read data in EViews, produce summary statistics, plot graphs, and run simple
linear regressions
ECON240 (Tutorial Week 2)
Name: Puah Yong Le
Find a newspaper article from sometime over the last week that covers a contemporary
economics or finance issue. Briefly discuss how you might use econometrics (or financial
modelling) to analyse this issue.
Th
Week 9 Tutorial Prep Assessment Task Read the article The efficient market hypothesis and
its critics by Burton Malkiel (2003).
Answer the following questions:
1. What is meant by an efficient security market? There are various views that are put
forward
Tutorial preparation question - week 5
Summarise your understanding of financial modelling up until this point. Outline the main
hypothesis tests you need to conduct when estimating an econometric model and their
purpose.
The first step is to specify the
ECON240 Financial Modelling
Spring Session 2014
Week 2 Tutorial 1 Activity
Tutor introduction (10 mins)
Briefly discuss some concepts of the simple regression model (10 mins)
and the equation for the fitted line
(i)
(ii)
How are the appropriate values of
Chapter 1
Introduction
Introductory Econometrics for Finance Chris Brooks 2014 1
The Nature and Purpose of Econometrics
What is Econometrics?
Literal meaning is measurement in economics.
Definition of financial econometrics:
The application of statistical
Chapter 4
Further development and analysis of the
classical linear regression model
Introductory Econometrics for Finance Chris Brooks 2013
1
Generalising the Simple Model to
Multiple Linear Regression
Before, we have used the model
yt xt ut t = 1,2,.,T
ECON 240
Please prepare prior to class and hand in to your tutor at the beginning of class. Make sure your
name and student number is clearly stated on your submission. The submission may be typed or
(neatly) hand written.
Tutorial preparation question -
Annual Report
2015
Contents
1 Message from the Chairman
2 Our Global Management Team
3 Message from the Managing
Director and Chief Executive Officer
6 Operating and Financial Review
26 Board of Directors
and Company Secretary
29 Directors Report
54 Audit
Total Sales
Gross Profit
Profit Before Tax
Income Tax in P/L
Profit After Tax
Net Profit Margin
Effective Tax Rate
Current Asset
Current Liabilities
Inventories
Net Working Capital
Working Capital Ratio
Current Ratio
Quick Ratio
Gearing Ratio
Net Gearing