Emperical methods in accounting and finance
1. Discuss the theoretical underpinnings in (i) Yu and Yuan (2011) and Wang (2018a), and (ii) Wang (2018b) and Wang and Duxbury (2021)
[20 marks]
2. Critically review literature, and summarise and evaluate approaches to construct proxies for investor sentiment.
[12 marks]
3. Suppose that you decide to extend the US evidence from Wang (2021) to an emerging market. Select the market and justify your selection.
[8 marks]
4. For the selected market, present and interpret descriptive statistics of (i) overnight returns, (ii) intraday returns, and (iii) total returns.
[15 marks]
5. Select one method to filter conditional volatility. Present and interpret descriptive statistics of conditional volatility of (i) overnight returns, (ii) intraday returns, and (iii) total returns.
[20 marks]
6. Examine the mean-variance relation for (i) overnight returns, (ii) intraday returns, and (iii) total returns. Interpret.