| Research ID: | RS000036 |
| Research Title: | Testing for monotone behaviour in means of asset returns |
| Description: | Finance theory often times implies that the mean of returns on assets show increasing/decreasing behaviour with respect to some sorting variable. For example, stocks with higher betas should have higher mean returns. This project will require you to do the following: a) Read a paper in a Finance academic journal (Journal of Financial Economics) on testing for such monotone behaviour b) Replicate the analysis in the paper using their data set c) Run simulations on a new test procedure and compare the results to the procedure in the paper You should have some basic understanding of Statistics and things such as t-tests. It is important that you have a little experience (or at the very least, the willingness to learn) to run some basic code in Matlab or R. |
| Relevant Areas of Study: |
Finance Statistics |
| Pre-requisites: | Statistics core course, Foundations of Finance, some finance elective and smoe Stats elective |
| Start Semester: | Fall 2012 |
| Credits Per Semester: | 2.0 |
| Faculty Member: | Rohit Deo (rdeo@stern.nyu.edu) |
| Contact: | Rohit Deo (rdeo@stern.nyu.edu) |
| Expired On: | 12-31-2012 |
Stern Program for Undergraduate Research
