ACFIM0011

Dissertations (MSc F&I)

March 2025

Overview

•   Your summative coursework represents 25% of the final mark for the unit.

•   The coursework is in the form of an essay.

•   Penalties will apply if the coursework is submitted late.

•   The coursework is an individual piece of work - you should work on this yourself and not as a

group. You will be required to make a plagiarism statement, and your submission will be tested for originality.

•   The strict maximum word allowance is 2,000 words (excluding tables, figures and references). You must include a word count at the start of your essay.

•   Please keep a record of the code and data that you use to generate your results.

Coursework requirement

Introduction: Your task is to write a short research paper on one of the following two topics:

•   Cross-border M&As using event studies.

•   Evaluating the performance of large cap equity funds in the market of your choice.

A description of each topic is provided below. You are required to download appropriate data, do relevant calculations and present and discuss your results in a written report. Throughout the exercise you will enhance your understanding of finance and develop your analytical and research skills.

Assistance: If you have questions related to the assignment, please post them on the relevant Blackboard Discussion Forum or ask them during the clinic sessions during the weeks commencing 17/03 dedicated to this coursework. This provides a transparent way of communication, which guarantees that  everyone has access to the same guidance. Questions about the assignment sent by email will not be answered.

Structure: Your essay should have the following structure:

-    Title page – your student ID number, a title, the Abstract (see below) and word count; your name should not appear anywhere in the document;

-    Abstract – this is a short summary of the problem considered, main results and conclusions; check abstracts in papers published in good journals for examples; it must be short – maximum 100 words; make sure you explicitly state your main results in the Abstract, e.g., “we find that active funds have an average alpha of -20bp per month”

-    Introduction – this section will motivate and introduce your research question, give a theoretical context, briefly outline your results and place them in the context of the academic literature; aim for between 400-700 words.

-    Data – this  section  will  explain how you  selected your sample, and what your data sources are; the description of your data and what you do with it should be detailed enough that the reader can reproduce your analysis; if possible, show how various restrictions affect your sample. Aim for between 150-350 words.

-    Results – in this section you will present all your empirical results; you should carefully interpret and discuss your results and critically present how they answer your research question(s); make relevant references to the literature and compare previous findings with yours; aim for between 600-1100 words.

-    Conclusions – this section will briefly summarise the report, repeat your main findings; you should also briefly comment on limitations of your study and present how it could be extended in future research; aim for 200-300 words.

-    References – this section will provide a list of sources you refer to in the text; it should be in alphabetical order by author surname, it should be complete and there should be a 1 to 1 mapping between the list and the citations in the text.

-    Table(s) and Figure(s) – in this part you will present tables and figures (if relevant) with all your empirical results; make them easy to read and understand; make sure they are all properly numbered and titled; make sure they are self-explanatory (the main text is not needed to interpret their content) and there is a short description (also known as caption) under each table and figure of what they present (see published papers for examples); do not use pointless decimal precision; edit your tables appropriately and do not include any ‘raw’ outputs copied directly from Stata’s output window; avoid too big tables, i.e., tables should not exceed the size of a page. To make counting words easier I suggest you place the tables and figures after your References.

Format: the strict word limit on the main text of the report (excluding list of references, tables and figures and their captions) is 2,000 words. Remember to add the word count on the title page. If you exceed the word limit, only the first 2,000 words of your report will be read and marked with the rest assumed missing (please note that the markers will be able to check the length using Turnitin — see below). Use a font not smaller than 11-point and line spacing not smaller than 1.5 lines.

Data files and codes: Please keep all data files and codes. You are not required to submit them but may be asked to do so by the markers if they find it necessary to fully judge the quality of your work.

Checklist before submission:

1.   Does the Abstract state the research question?

2.   Does the Abstract state the main results, including the most important estimates (numbers)?

3.   Does the Introduction provide motivation for the research question? I.e. does it convince the reader that is it relevant to study this research question?

4.   Does the Introduction state the main results and their economic/statistical significance?

5.   Does the essay clearly apply the principles of academic writing? Does it apply paragraphing

effectively? (For resources on academic writing, visit: https://www.bristol.ac.uk/students/your- studies/study-support/study-skills/)

6.   Would an interested reader be able to reproduce the main test results? I.e. are the sources of data, sample selection and applied methods discussed in sufficient detail?

7.   Are all important results tabulated in Tables (including important test statistics)? I.e. if a reader only  reads the Abstract and Tables/Figures with their captions, can the reader understand all the important results?

8.   Does the essay address the research question with at least one statistical test?

9.   Are Tables self-explanatory? Can they be interpreted without the help of the main text? Do they have informative captions that explain the table contents?

10. Does the list of References contain all the articles cited in the main text? Do the citations follow standard styles used in journals such as the Journal of Finance?

Research topic 1: Cross-border M&As using event studies

The assignment is to perform. an event study similarly to the one found in

Moeller and Schlingemann (2005): Global diversification and bidder gains: A comparison between cross- border and domestic acquisitions, Journal of Banking and Finance, 29(3), 533-564.

Your tasks

1.    Collect relevant data using databases the School subscribes to (e.g. Workspace, WRDS).

2.    Carefully explain your sample selection procedure. You can use data from any countries. If you decide to focus on US bidders, you can perform the key part of the analysis directly on the WRDS/EVENTUS platform. Non-US samples require more work as you cannot use EVENTUS in such a case. Still, there are Stata packages that do most of the analysis for you and supporting material will be provided.

3.    Provide a few  summary statistics of your sample similarly to Table  1 of Moeller  and Schlingemann (2005).

4.    Perform an event study on the subsamples of “Cross-border” M&As and “Domestic” M&As and report your  results  in  a  table  similarly  to  Table  3  Panel  A  of  Moeller  and  Schlingemann  (2005).  Test appropriately for a “Cross-border effect”.

5.    Optionally, you can provide results for cross-sectional analysis, but make sure not to breach the word limit.

Research topic 2: Evaluating the performance of large cap equity funds in the market of your choice

The assignment is about understanding the performance of actively managed mutual funds and how it relates to the way risk is controlled for. This question is largely motivated by the following article:

Berk and Binsbergen (2015): Measuring skill in the mutual fund industry. Journal of Financial Economics, 118(1), 1-20.

Your task

1.   Select a country from which you sample funds. Ideally, this should be a country where many large market cap firms are headquartered, e.g., US, China, UK, Japan, Germany etc..

2.   Select a sample of funds. Aim for at least five years of monthly frequency data and have at least 20 actively managed equity funds that invest in the large cap firms of the given country. You can use publicly available data and/or Workspace for this.

3.   Collect data (the time-series of its values) on the stated benchmark index of the actively managed funds (e.g., the DAX index for Germany) and on one passive fund tracking that index. The passive fund can possibly be an ETF depending whether they were available on your market and during your sample period.

4.   Present summary statistics of your sample.

5.   Provide a table similarly to the Table 6 of Berk and Binsbergen (2015). For this you will have to estimate the performance (net alpha) of the actively managed funds using different benchmarks. In Berk and Binsbergen (2015) the two benchmarks are “Vanguard benchmark” and “FFC risk measure” . In your case they will be “Passive fund” and “Benchmark index”.

6.   Test the null hypothesis that the average estimated net alphas using “Passive funds” equals the average estimated net alphas using “Benchmark index”.

Marks will be awarded for:

The factors that influence your mark are:

-    Presentation of the context and reference to major published studies on the topic and research question;

-    Data collection effort;

-    The suitability and credibility of your statistical analysis;

-    Presentation, discussion and interpretation of your evidence in relation to your chosen research question;

-    Editorial preparation of your report.

The standards expected for marks in different ranges:

-    70+: An excellent piece of work. A very good attempt to develop an original piece of analysis with an outstanding ability to analyse, synthesise and apply knowledge and concepts. There is evidence of critical reflection, wider reading and research. Ideas are expressed clearly and written with authority and insight. A good attempt to apply a more complex approach and methodology as appropriate (e.g., alternative methods, robustness checks). A very clear report structure and excellent editorial preparation.

-    60-69: A good piece of work. A good attempt at analysis, synthesis and application of knowledge and concepts. There may be few gaps in the analysis leading to some errors. Some evidence of critical reflection, ideas are expressed with clarity, with some minor exceptions. The standard methodology is competently applied. Good report structure and clear exposition.

-    50-59: A fair piece of work. Grasp of major elements of the subject but with some gaps and areas of confusion.  Only  the  basic  ideas  are  covered.  The  attempt  at  analysis,  synthesis  and  application  of knowledge and concepts is superficial. Little critical reflection, some confusion and immaturity in the expression of ideas. The empirical analysis may contain some errors, and technical competence is at routine level only. Fair structure of the report and editorial preparation, with some weaknesses in the exposition.

-    <50: A poor piece of work. Little familiarity with the subject, with major gaps and serious misconceptions. There is little or no attempt at analysis, synthesis or application of knowledge, and a low level of technical competence, with many errors. Inability to reflect critically on an argument or viewpoint. Ideas are confused and poorly expressed. Poor report structure and unclear graphical exposition.

Note that it is the quality of your analysis that is marked, and not your specific results. If you find insignificant results or results against your expectations, it will not affect your mark as long as the analysis is credibly executed.