英国财务Essay范文格式参考：财务研究方法 FINANCIAL RESEARCH METHODS - ABF303

评估标准 ASSESSMENT 3 (TERM 2)

本课程是占40％的整体模块的标记，并应提交库克值得大厦的学生支持办公室，时间是在2012年3月7日（星期三）（午前）。这是一个个人的工作（而不是组的工作）。

This coursework is worth 40% of the overall module mark, and should be submitted to the student support office in Cookworthy Building by Wednesday 7th March 2012 (before midday). It is an individual piece of work (not group work).

SECTION A

The aim of this analysis is to determine the firm specific factors that influence the profitability of firms listed on the FTSE350 index (if using CW Data 1 UK) or S&P500 firms (if using CW Data 1 US). The FTSE350 index includes the FTSE100 and the FTSE250, and represents approximately 90% of the UK equity market by market capitalisation. The S&P500 is also weighted by market capitalisation and comprises of 500 firms from all the major US industries.

The cross-sectional data for the FTSE350 and S&P500 firms were obtained from the Thomson Reuters DataStream International Database. The initial sample consisted of 356 UK non-financial and financial firms and 500 US non-financial and financial firms respectively. However firms with missing data for any of the independent or dependent variables were excluded from both data sets leaving a final sample of 175 firms each. There are 10 sheets for each workbook (CW Data 1 UK and CW Data 1 US) labelled yearly i.e 2001, 2002 etc corresponding to the year which the data relates to. All the variables have a yearly frequency with year end 31st December.

For the analysis, measures of financial performance are:

(a) Operating Profit Margin represented by PROFMARG. This is calculated as:

operating income divided by net sales and multiplied by 100.

(b) Cash Flow as a percentage of sales denoted by CF%S. This is derived from:

funds from operations divided by net sales.

(c) Earnings Before Interest Taxation Depreciation and Amortisation signified by EBITDA This is calculated by taking the pre-tax income and adding back interest expense on debt and depreciation, depletion and amortization and subtracting interest capitalized.

The proxies used as the determinants of profitability are:

(a) Firm Size (SIZE) represented by the natural logarithm of the firm’s total assets.

(b) LEV which denotes LEVERAGE is the firm’s long-term debt to total equity and reserves.

(c) LIQ symbolises LIQUIDITY which is the quick ratio and measured using the current assets less stock divided by current liabilities.

(d) MTBV is MARKET TO BOOK VALUE which represents the firm’s growth opportunity is derived by the ratio of market value to book value of equity.

(e) CATAR is the firm’s current asset to total assets ratio and is used as a component of working capital.

(f) CLTAR is the firm’s current liabilities to total asset ratio also included as a component of working capital.

*FIRM MNEM refers to the mnemonic (code) of the firm. This is generated by DataStream.

Required:

(1) Produce a correlation matrix of all the independent variables and explain your results using all levels of significance. (5 Marks)

(2) Would there be a possibility of multicollinearity if all the variables were used as independents in the same regression? Justify the choice of your answer. (3 Marks)

(3) Prepare a table of descriptive statistics to include mean, minimum, median, maximum and standard deviation. Explain the results from the table. (5 Marks)

(4) Estimate 3 cross-sectional regression models using each of the financial performance measures as a function of the determinants.

(a) Write out a mathematical representation of each model, labelling all the constituent factors (do not use the estimated coefficients for this). (3 Marks)

(b) Produce the table of your results to include the constant, parameter estimates, Adj R2 , F-Statistics and the Durbin-Watson statistic. (6 Marks)

(c) Applying the 1%, 5% and 10% percent levels of significance, explain the results of your analysis. Your explanation must include at least four of the explanatory variables (including significant parameters) and all the relevant parameter estimates from the analysis. (8 Marks)

(5) Explain briefly which of the dependents in the estimated regression models is the preferred measure of firm performance? (5 Marks)

(6) Identify possible limitations of the methodology employed for the analyses and suggestions on how these can be resolved. (8 Marks)

(7) If you were to remove variable/variables in order to produce better models for all the 3 cross sectional regression models, which variables would these be and why? (6 Marks)

(8) Formally check for the presence of multicollinearity in your estimated models. You need to report and explain the statistics derived from this procedure (5 Marks)

SECTION B

这种实证分析的目的是探讨影响汇率波动对选定的英国非金融企业的股票回报。

The objective of this empirical analysis is to investigate the impact of fluctuating exchange rates on the stock return of selected UK non-financial firms. You have been provided with the time series data on UK non-financial firms for the period 01/01/90 – 31/12/06. This data (CW Data 2), which was also obtained from the DataStream International Database, has been divided into 16 groups i.e Group 1, Group 2 etc and there are 20 firms (A-T) in each group. Each group comprises of the raw weekly Return index (RI) for the individual firm (A-T). The return on shares encompasses all business activities and is an ideal measure of firm performance. Additionally, the raw data on exchange rates and the return on the FTSE ALL SHARE (FTALLSH) market index have also been provided on the sheet titled “ER and MKT RET” which is the spreadsheet just after Group 16 on the workbook. The FTALLSH is the measure for the overall stock market index or market portfolio. It is the main index for stocks quoted on the London Stock Exchange (LSE) in the UK. The nominal exchange rate measures provided are:

1. BOEGBPR - The trade weighted exchange rate for the British pound. It is the value of the British pound against a basket of 15 currencies.

2. BOEGBPB (Broad) – This is also a trade weighted exchange rate for the British pound, but it is the value of the British pound against a basket of 24 currencies.

3. USBRITP - bilateral exchange rate for the US$ against the pound.

4. JAPAYEN - bilateral exchange rate for the JP¥ against the pound.

All the exchange rates have been expressed using the indirect method of quotation (foreign currency to 1 pound sterling).

Required:

(1) Time series data has been known to be non-stationary. Explain briefly what steps you would take to ensure that your time series data is stationary. How would you ascertain that the time series data is stationary and what problems might arise with your OLS estimation if non-stationary time-series data were used? (6 Marks) (2) Run a multiple regression model of the stock return index as a function of the market return and the given exchange rate index (you will need to estimate a model for each firm).

(a) Write out a regression model to represent the analysis mathematically. You only need one model for this and it should not include the estimated parameters from your regression. Also provide a description of the components of the model. (5 Marks)

(b) Produce a table of your results to include the constant, parameter estimates (market return and exchange rate exposure coefficients), Adj R2, F-Statistics and the Durbin-Watson statistic. (8 Marks)

(c) Applying the 1%, 5% and 10% percent levels of significance, explain the results of your analysis. (10 Marks)

(d) Briefly explain possible reasons why some firms exhibited significant exchange rate exposure coefficients while others did not. (6 Marks)

(e) The main aim of estimating this time series regression is to determine the exchange rate exposure of a sample of UK non-financial firms. But why have most studies that have examined this research area also included the return of the market index in the model?

(5 Marks) (f) What are the causes of autocorrelation and what measures can be taken to resolve the problem? (6 marks)

Marks will be awarded for presentation, so do not copy and paste your SPSS output. Refer to the examples provided on presenting your results. Also, when interpreting/explaining your results, it is not sufficient to state that the coefficient is negative/positive. You will need to refer to studies that have examined the determinants of firm performance and exchange rate exposure. This would facilitate explaining the results of your analysis more appropriately, especially those pertaining to the estimated beta coefficients. Furthermore, the Harvard style of referencing should be used where applicable.

NOTE: The data group sheet supplied indicates against your registration number the data set that you should be using. You must state the Data Group you have used (both cross-sectional and time series) on the front cover of your report. If you use a dataset that has not been assigned to you, your work will not be marked and you will receive a mark of zero for this piece of work.

Maximum word count: 1,200 words. This should also be specified on the front cover of your work.

Plagiarism: It is standard practice to remind students to check the University regulations on plagiarism, to ensure that they are not violated.