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The third assignment for this module is based on the following two questions pertaining to quantitative financial research. It is individual work not a group project.此任务是基于以下两个问题有关的定量金融研究的第三次分配。这是个人的工作，而不是一组项目。
Question A: 77 marks问题A：77分
You are provided with a spreadsheet (see Portal for ‘Third Assignment Data File’) of data www.ukassignment.org on firms some of which have gone bankrupt. In the spreadsheet the bankrupt firms are identified by 1 and the rest by 0. Entries are also given for leverage, market to book value, return on capital employed, beta and firm size (but not its natural log value).为您提供了一个电子表格（见门户网站“第三次分配数据文件”），其中一些已经破产的公司的数据。在电子表格中的破产公司的确定1，其余为0。文章的杠杆作用，市场也给予账面价值，回报资本，β和企业规模（而不是它的自然对数的值）。
A1. Using Statgraphics or SPSS, and examining how return on capital employed (ROCE) varies between the two categories of firms, print out the following:A1。使用STATGRAPHICS SPSS，研究如何动用资本回报率（ROCE）两类公司之间的变化，打印出以下：
• One-way ANOVA
• Cochran’s Test
• Kruskal-Wallis Median Test
• Summary Statistics of Means, Skewness and Kurtosis
•单因素方差分析
•科克伦的测试
•秩和检验中位数检验
•汇总统计数据的手段，偏度和峰度 (4 marks)
A2. Is there evidence to suggest that the mean ROCE of bankrupt firms differs from that of the others? Explain. (10 marks)
A3. Is there evidence to suggest that the median ROCE of bankrupt firms differs from that of the others? Explain. (10 marks)
A4. Is there evidence to suggest that the standard deviation of the ROCE of bankrupt firms differs from that of the others? Explain. (10 marks)
A5. In the light of your results so far, is the ANOVA test result in A1 still a valid test? Explain. (10 marks)
A6. Bearing in mind skewness and kurtosis, are the profitability figures normally distributed? Explain. (10 marks)
A7. After converting size to a natural logarithm, run a multiple regression analysis, selecting ROCE as the dependent variable and leverage, market to book value, beta, firm size and the bankruptcy dummy as independent variables, and print out your results. (3 marks)
A8. By removing the two worst variables, re-run the multiple regression, and print out your results, together with a printout of unusual residuals and influential points. State appropriate null and alternative hypotheses for the coefficients of the three independent variables in the model, and test them. Discuss the overall results. . (20 marks)
Question B: 23 marks
B1. Choose a piece of published work on a finance related topic which uses multiple regression analysis with two or more independent variables. You are required to:
• state the object of the study
• provide the full reference of the publication (using proper referencing)
• produce a list of all the independent variables used together with definitions of how they are measured, and
• define the dependent variable. (3 marks)
B2. Choosing one of these independent variables, state whether it is hypothesised to be positively or negatively associated with the dependent variable, with supporting reasons for the positive or negative relationship. If the published research does not mention this then you must provide your own explanation. In any event your own words must be used in the explanation. Compare and contrast the hypothesized relationship with the actual results, noting levels of significance.#p#分页标题#e#
(10 marks)
B3. Choose another independent variable that could have been used in the study, but was not, stating why you have chosen this variable, and justifying why it is hypothesized to be positively or negatively related to the dependent variable.
(10 marks)
(Total 100 marks)
Notes:
• Hand-in date for Assignment 3: by Wednesday 10th March 2010 at 12 noon, Student Support Reception, Cookworthy Building, Third floor.
• The standard university rules on plagiarism apply as stated in the module guide.
• Use appropriate referencing, if you draw on any material from published sources.
• This assignment represents 40% of the overall marks available for the module.
We hope you have every success!
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