“Regarding the message just sent, either python or R can be used in sorting the data and constructing the mimicking portfolios, although this can be done on excel, but it will take a lot of time if excel is used.Please be informed that I would like to use R instead. I would also add that I would need a very qualified and dedicated write because I fully understand the dissertation, and I have read several research papers on it and I can easily tell if the work is up to the standard I requested for which is a master distinction standard.”
Masters dissertation: (It is important to show a good understanding of your work in clear and concise English language).
MSc Dissertation Topic: testing Fama-french five-factor model in an emerging market: A case of Brazil
PLEASE follow the methodology adopted by Fama-french: 1. Eugene Fama, and, Kenneth French. 2015. A Five-Factor Asset Pricing Model.Journal of Financial Economics 116 (-): 1-22.
Introduction and literature review
regressions as the case may be.
Make use of the relevant papers, showing proper critical analysis, comparison of papers and what many researchers have spoken about the asset pricing model.
Also, show a proper understanding of the research work and you should make use of various relevant research papers.
Justify your use of Brazil as your emerging market from various papers(This should be in the Introduction) and give an overview of the Fama and french model in the Introduction stage. You are to show a good understanding of the evolution of asset pricing model and how the five-factor model emerged, backing them up with various papers. Also, talk about the zero intercept (Literature Review).The Literature review should show critical analysis, on how various authors criticized the various models introduced( Critics of EMH,CAPM,3 factor model), and how the 5factor model has emerged. Also speak on the various authors that introduced the size,value,profitability and investment effect and how fama and french tested on the efficacy of the model to conclude that they were solid. Speak briefly on the empirical research carried out by the major authors e.g Banz, Rosenburg, Fama and French, Bhandri,Novy- Marx, Basu and Titman.
Information for data analysis.
Follow the procedure used by Fama-French FIVE-FACTOR MODEL PAPER in their empirical analysis. For the empirical analysis, Python programming language should be used for the creation of the portfolios and sorting of data into the relevant mimicking portfolios and also statistical package like e-views should be used to run This dissertation should be structured like a proper research paper.
RESEARCH QUESTION(S):
1)How are the patterns in average stock returns in relation to the other factors in the Brazilain stock market(BOVESPA) similar to those documented in the US market?
2) Do Fama and French five factor model explain patterns in cross section average returns quoted in the Brazil stock market( BM&F BOVESPA) compared to the three-factor model? (more research questions can be included.) ( Please help restructure the research questions to be professional and acceptable)
Sample: I intend to make use secondary data on companies in the Brazilian stock market (BOVESPA). The data intend to make use of in this research is market capitalization to measure for size, Total value of asset for investment, book value of equity for value(B/M), Earning before interest and tax or EBITDA for operating profit, Stock prices or index and finally the Brazil government r risk free rate. My sample period is from the year 1998-2014(monthly data) which will depend on data availability, for a group of firms listed on the Brazil stock market.( discretion can be used in this part due to data availability).
Also, extract data for monthly T-bills to account for the risk-free rate. Also get data to account for returns( either monthly stock prices or adjusted stock prices). Some of the data required have been provided.
Follow the empirical process adopted in the Fama-French five-factor model paper extensively.
the link below is Fama-French website. This can be useful or useless.
https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html.
