Stern Program for Undergraduate Research

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)
Department Affilation: N/A
Contact: Rohit Deo (rdeo@stern.nyu.edu)
Expired On: 12-31-2012