4) Check the presence

Company Name: Electronic Arts (EA) Bloomberg Ticker: EA:US Currency: USD
Presentation Part: Not Needed (We will do on our own) Tasks:
1) Check the presence of the stylized facts about financial data for your sample and illustrate the results by using appropriate graphs. Interpret your results.
 2) Fit a conditional variance model to the time series of your choice. By referring to your results from Task 1), justify your choice of the model considered (ARCH, GARCH, EGARCH, GJR-GARCH, etc.). Create a plot illustrating the estimated conditional variance (volatility) and observed returns. Interpret the estimation results (coefficients), derive the value of the unconditional variance (volatility) and comment on the plot.
3) CAPM & Multi-Factor Model a. Run the CAPM regression for your chosen asset and estimate the beta factor using a reasonable proxy for the market portfolio. Use subperiods to check the stability of your estimate over time. b. Extend the regression model to a multi-factor model like Fama/French (1993) and estimate the factor loadings of the market factor as well as the SMB and the HML factors. Briefly characterize your chosen asset (e.g., growth vs. value). c. Interpret and discuss your regression results.
 4) Run an event study for an event of your interest and test whether this event generated statistically significant abnormal returns. Interpret your results.
5) Replicate the tests about market efficiency from the lecture for your sample. Interpret your results (also by referring to your results from Task 1) You need to be able to organize your analysis such that it provides fruitful insights into the time series of your interest. You want to include table(s) and/or figure(s) reporting the main empirical findings and comment on them with respect to your expectations and knowledge from your studies and financial experience. You can use Excel and MATLAB to implement the analysis


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