Project #64976 - Finance Project

I will provide all the data from CRSP and WRDS.

I. Introduction

What is the project about? Why is this interesting? To whom is this useful? Are there any similar issues or topics in finance? What is the history or background of this topic?

II. Hypothesis

What is the objective of your study? What question(s) does the project address?

For example, if your objective is to demonstrate that there is a direct relationship between employment and GNP, then following the scientific method, the null hypothesis is that there is no relationship between employment and GNP.

III. Related Literature

Are there prior studies related to your project? How do they relate?

The NU library catalog allows you to search for finance journal articles by subject.

IV. Data

Describe the data you will employ in considerable detail. These details should include the source of the data (and any other information you employ) and the motivation for any data “editing” you may use. “Editing” refers to the need to eliminate outliers or other observations that are suspect. If you do this, you must do it gently and without bias.

V. Methodology

Explain your research design. Why have you chosen the tests you employ?

VI. Results

What are the results of your tests? Is it appropriate to conduct subsequent tests based on your initial results?

VII. Conclusion

Do your results support your hypothesis? Why or why not? Is there a bias built into your design? How generalizable are your results? What suggestions can you make regarding further research in this area? What have you learned about your topic based on your analysis?

VIII. References

You need to fully cite all sources.


Project 2


According to the 2012 Report on Socially Responsible Investment Trends in the United States, published by the Social Investment Forum, an estimated $3.74 trillion is invested in socially responsible mutual funds. This is 11.3% of all professionally managed assets. Why would an investor choose such a fund? It's likely this investor feels strongly that corporations choosing to act in a socially responsible manner are worth investing in. Alternatively, this investor may choose to omit corporations engaging in particular activities from his or her portfolio. In the end, many investors want to feel good about the activities undertaken by companies they hold in their portfolio. But the question remains, if social screening of the universe of investment choices diminishes alternatives, does a portfolio built around these screens generate returns that are distinctly superior or inferior on a risk-adjusted basis?

This is the central question addressed by Project 2. If you choose this project,

  1. You will need to motivate the relevance of this topic by expanding on the discussion in the introduction above.
  2. Search for prior research in the area of socially responsible investing. (This is your week 4 deliverable.)
  3. Collect return data for 9 socially responsible funds from the CRSP Mutual Fund database.


The funds to be examined are:

CRSP Fund Identifier

Fund Name



Ariel Appreciation Fund



Calvert Small Cap Fund; Class A Shares



Domini Social Equity Fund; Investor Shares



Dreyfus Premier Third Century Fund; Class A Shares



Green Century Equity Fund



Neuberger Berman Socially Responsive Fund; Investor Class Shares



Parnassus Fund



Pax World Growth Fund; Individual Investor Class



Appleseed Fund


Find and download 60 monthly returns for each of these funds. The period for analysis is January 2009 through December 2013. You will obtain this data using the WRDS portal. You want to choose CRSP, then Mutual Funds (Under Quarterly Update), then Monthly Returns. When asked for the format of your mutual fund codes, you should choose either Fund Identifier or NASDAQ Ticker. (Use one or the other, not both!) Input the nine codes in the box provided within the data request template. You will need two data items, Return per Share and Total Net Asset Value. We suggest you request your output file in comma-delimited text, or csv, format. Files in this format will open automatically in Excel. If you have requested data properly, your output file should have 540 total observations (9 funds times 60 months).

You will also need to download risk factors for the same 60-month period. At the top left portion of the page where you designed your data request, you will see "Select an available dataset." From the pull-down list, select Fama-French Portfolios and Factors, then Factors-Monthly Frequency. Again, you need monthly factors from January 2009 through December 2013. You will need to download all 5 factors to complete the analysis.

3. Once you have downloaded and organized your data, you will analyze your sample of 9 socially responsible mutual funds using the performance evaluation methodologies from week 3. This includes the calculation of alpha, beta, and other coefficients derived by estimating:

  • the 1- factor model (CAPM, or Jensen's alpha),

    Ri – Rf = αi + βi (RM – Rf)
  • the 3-factor model (Fama-French alpha),

    Ri – Rf = αi + βi (RM – Rf) + siSMB + hiHML
  • and the 4-factor model (FF plus Carhart),

    Ri – Rf = αi + βi (RM – Rf) + siSMB + hiHML + uiUMD

You must estimate a total of 33 regressions, three for each of the nine firms, three for the set of equal weighted average monthly returns for your entire sample and three for the set of value weighted average monthly returns for your entire sample.

4. Add any additional analysis you think will enhance the insight of the project at this point. The analysis described in step 3 is mandatory and provides a base for evaluation and discussion. This is your opportunity to provide unique quantitative analysis to further address the major research question of the study.

5. Consolidate your results into a section of your report and draw conclusions based on your analysis.


I need a draft also...


You must complete and submit a draft of sections I, II, and III of the Outline of a Research Project. This encompasses the introduction (I), hypotheses (II), and related literature (III). The most time consuming of the three elements will be your literature review. The literature review need not be extraordinarily long, perhaps 2-3 pages (double spaced). But it should provide a comprehensive and up-to-date assessment of prior research related to the topic you have suggested.

If you wish to go further, you can pull data (IV), describe the methodology you will employ to test your hypotheses (V), and even generate some results (VI).

Subject Business
Due By (Pacific Time) 04/17/2015 12:00 am
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