Quantitative Research Methods for Finance(Statistics)

You have been asked by your manager to prepare a report for the board examining the stock returns for Bank Osborne. You know a number of important facts about the bank. Firstly they lend heavily to the oil sector and their chairman resigned half way through the last period. The manager needs from you a report explaining the importance of the various factors included in the data provided on the stock return of Bank Osborne. You need to demonstrate the good econometric technique and explain the steps you take in proposing your final model (and any adjustments you make on the way to creating the final model). The manager would like to know if the resignation had any significant impact on the stock. The manager studied for a degree in econometric a long time ago and so will understand some technical language but explain the tests as he needs reminding of the details! The data (identified by the group number/name): You have the following data: 1. Return on Bank Osborne (Dependent variable) 2. The excess return of the market (Rm-Rf) 3. The return of the oil futures contracts (i.e. oil price movements) 4. Dummy variable which takes the value 1 after the chairman resigned and 0 before The data runs for 101 weeks, starting on 2012-01-02 (2nd Jan 2012) There is no further information available to you. You need to explain the impact of each variable on the return of the stock and explain fully the impact that the chairman’s resignation has had on the bank’s returns. c. The word limit is set at 4000 words as the manager is needs a concise piece of work to prepare his report for his chairman. d. Your report should include: i. any references that you have used in the report. ii. All tables containing your estimates iii. details of tests you have used including the hypotheses iv. the full log of all the commands that you run via the Command Log. e. Use the method you think most applicable in your presentation of your results. The learning outcomes tested in this work are learning outcomes 1-4, i.e. basic statistics, linear regression, hypothesis testing and specification & diagnostic tests. data is provided in files