Financial Markets, Financial Regulation and Ethics

This is a group assignment to write a critical summary of an academic paper. Our academic journal paper must be Barroso, P., and Santa-Clara, P. 2015. Momentum has its moments. Journal of Financial Economics. The file has this paper. You need not to finish full essay, just to need write outset about The paper’s theoretical motivation and how it links to the relevant literature.

Students will have to write a critical summary of an academic paper, with emphasis on:

         
The paper’s theoretical motivation and how it links to the relevant literature

         
The paper’s key findings and how they link to the relevant literature

         
Providing possible suggestions on the limitations of the paper and

         
Suggesting possible avenues for future research based on the paper

 

The assignment shall be no longer than 3,000 words.

 

Students shall be divided by the module leader into groups of 3/4 students each. Students will be informed as to the group to which they belong; each group will be assigned to write a critical discussion of an academic journal paper related to the module’s coverage, in line with the instructions mentioned above. Groups will have the option to choose their paper from the following list; no more than two (2) groups will be allowed to have the same paper.

 

List of papers:

 

Altamuro, J., Beatty, A. 2010. How Does Internal Control Regulation Affect Financial Reporting? Journal of Accounting and Economics, Vol. 49, pp. 58-74.

Amihud, Y. 2002. Illiquidity and Stock Returns: Cross-Section and Time-Series Effects. Journal of Financial Markets, Vol. 5, pp. 31-56.

Barroso, P., and Santa-Clara, P. 2015. Momentum has its moments. Journal of Financial Economics, Vol. 116, pp. 111-120.

Bernile, G., Bhagwat, V., and Yonker, S. 2018. Board diversity, firm risk, and corporate policies. Journal of Financial Economics, Vol. 127, pp. 588-612.

Brogaard, J., Li, D., and Xia, Y. 2017. Stock liquidity and default risk. Journal of Financial Economics, Vol. 124, pp. 486-502.

Choe, H., Masulis, R. W., and Nanda, V. 1993. Common Stock Offerings across the Business Cycle. Journal of Empirical Finance, Vol 1, pp. 3-31.

Chung, K. H., and Chuwonganant, C. 2018. Market Volatility and Stock Returns: The Role of Liquidity Providers. Journal of Financial Markets, Vol. 37, pp. 17-34.

Datar, V. T., Naik, N. Y., and Radcliffe, R. 1998. Liquidity and Stock Returns: An Alternative Test. Journal of Financial Markets, Vol. 1, pp. 203-219.

Davis, J. L., Fama, E. F., and French, K. R. 2000. Characteristics, Covariances, and Average Returns: 1929 to 1997. Journal of Finance, Vol. 55, pp. 389-406.

Demirovic, A., Guermat, C., and Tucker, J. 2017. The Relationship between Equity and Bond Returns: An Empirical Investigation. Journal of Financial Markets, Vol. 35, pp. 47-64.

Ding, R., and Hou, W. 2015. Retail investor attention and stock liquidity. Journal of International Financial Markets, Institutions and Money, Vol. 37, pp. 12-26.

Fama, E. F. 1998. Market Efficiency, Long-Term Returns, and Behavioral Finance. Journal of Financial Economics, Vol. 49, pp. 283-306.

Fama, E. F., and French, K. R. 2008. Dissecting Anomalies. Journal of Finance, Vol 63, pp. 1653-1678.

Fama, E. F., and French, K. R. 2012. Size, Value, and Momentum in International Stock Returns. Journal of Financial Economics, Vol. 105, pp. 457-472.

Griffin, J. M. 2002. Are the Fama and French Factors Global or Country Specific? Review of Financial Studies, Vol. 15, pp. 783-803.

Hung, S., and Qiao, Z. 2017. Shadows in the Sun: Crash Risk behand Earnings Transparency. Journal of Banking and Finance, Vol. 83, pp. 1-18.

Jiraporn, P., Liu, Y., and Kim, Y. S. 2014. How do powerful CEOs affect analyst coverage? European Financial Management, Vol. 20, pp. 652-676.

Ke, B., Huddart, S., and Petroni, K. 2003. What Insiders Know about Future Earnings and How They Use It: Evidence from Insider Trades. Journal of Accounting and Economics, Vol. 35, pp. 315-346.

Liew, J., and Vassalou, M. 2000. Can Book-to-Market, Size and Momentum be Risk Factors That Predict Economic Growth? Journal of Financial Economics, Vol. 57, pp. 221-245.

Loughran, T. 1997. Book-To-Market across Firm Size, Exchange, and Seasonality: Is There an Effect? Journal of Financial and Quantitative Analysis, Vol. 32, pp. 249-268.

Møller, S. V., and Rangvid, J. 2015. End-of-the-Year Economic Growth and Time-Varying Expected Returns, Journal of Financial Economics, Vol. 115, pp. 136-154.

Petkova, R., and Zhang, L. 2005. Is Value Riskier than Growth? Journal of Financial Economics, Vol. 78, pp. 187-202.

Pettengill, G. N., Sundaram, S., and Mathur, I. 1995. The Conditional Relationship between Beta and Returns. Journal of Financial and Quantitative Analysis, Vol. 30, pp. 101-116.

Pontiff, J., and Woodgate, A. 2008. Share Issuance and Cross-Sectional Returns. Journal of Finance, Vol. 63, pp. 921-945.

Rouwenhorst, K. G. 1998. International Momentum Strategies. Journal of Finance, Vol. 53, pp. 267-284.

Titman, S. Wei, K. C. J. and Xie, F. 2004. Capital Investments and Stock Returns. Journal of Financial and Quantitative Analysis, Vol. 39, pp. 677-700.

Wong, M. H. F., and Zhang, X. F. 2014. CEO optimism and analyst forecast bias. Journal of Accounting, Auditing and Finance, Vol. 29, pp. 367-392.

 

The group assignment will be submitted no later than 12 noon on December 11th, 2018. The group assignment will involve a dual submission by the above prescribed deadline. Students must hand in a hard copy to the Student Support Office (put into the white submission boxes for postgraduate work). Students must also submit a soft copy via Turnitin, which is a plagiarism and collusion detection system. If students do not submit to Turnitin, their work will not be marked. Failure to submit two identical versions (one in hard copy, one via Turnitin) will attract a penalty of 10 marks.

 

To submit via Turnitin, you go to the assessment area for the module on VITAL and you will find a link for the coursework.  Click on View/Complete and then on the “submit” icon for the paper.  You are then prompted to submit a title for the paper.  Use the “browse” button to locate the file you want to submit, then click “submit”.  You will then be asked to confirm that you want to submit by clicking the “Yes, submit” button.” Note that Turnitin does not permit multiple submission attempts – your submission is accepted as first and final.

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