Assignment 2:

Determinants of Stock Returns in different industry sectors

Time Period =10 year

Data =Monthly/Yearly

Select your industry sector. Find the excess returns of firms in the sector (Ri-Rf). Rf is the risk free rate from Ibbotson Associates.

Collect data for Fama French five factor; macroeconomic factors, sentiment factors and analyze the determinants of stock returns. Macroeconomic factors include short term interest rates, exchange rates, inflation, volatility factors etc. Sentimental factors include market wide sentiments and consumer sentimental factors.

Regression Model

Excess Returns =FF Factors+ Macroeconomic Factors+ Sentimental Factors

Database: Fama French Database; FRED Database.