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SUMMATIVE ASSIGNMENT

1.
a.Provide a brief explanation of the pre-FOMC announcement drift as documented by Lucca and Monech (2015).
b.Explain the Carhart four-factor model.
c.Download the ten (10) industry portfolio returns and pricing factors from French’s data library and investigate in which industry the four-factor model exhibits the greatest explanatory power on FOMC announcement days, over September 1994 to March 2011.
(Hints: Dates of FOMC meeting days can be found in the appendix (Table IA.I) of Lucca and Monech (2015), which is available from Learn Ultra. French’s data library is: https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/index.html.To enhance your discussions, you may include graphs.)

Reference
Lucca, D.O. and Moench, E. (2015), The Pre-FOMC Announcement Drift. The Journal of Finance, 70: 329-371.

2. ‘The intervention of central banks towards eliminating asset-price bubbles is not always a good idea’.
To what extent do you agree or disagree with the above statement

Overall word limit: 3,000 words
SUBMISSION INSTRUCTIONS

Your completed assignment must be uploaded to Ultra
no later than 12:00 midday on 22 April 2024

The assignment should be submitting using one of the following file types: .doc, docx or .pdf
AVI, MP4, MPG, WMV, MOV, QT, ASF, 3GP, WMA, MP3 or M4V

A penalty will be applied for work uploaded after 12:00 midday as detailed in the Student Information Hub. You must leave sufficient time to fully complete the upload process before the deadline and check that you have received a receipt. At peak periods, it can take up to 30 minutes for a receipt to be generated.

Assignments should be typed, using 1.5 spacing and an easy-to-read 12-point font. Assignments and dissertations/business projects must not exceed the word count indicated in the module handbook/assessment brief.

The word count should:
Include all the text, including title, preface, introduction, in-text citations, quotations, footnotes and any other items not specifically excluded below.
Exclude diagrams, tables (including tables/lists of contents and figures), equations, executive summary/abstract, acknowledgements, declaration, bibliography/list of references and appendices. However, it is not appropriate to use diagrams or tables merely as a way of circumventing the word limit. If a student uses a table or figure as a means of presenting his/her own words, then this is included in the word count.
Examiners will stop reading once the word limit has been reached, and work beyond this point will not be assessed. Checks of word counts will be carried out on submitted work, including any assignments or dissertations/business projects that appear to be clearly over-length. Checks may take place manually and/or with the aid of the word count provided via an electronic submission. Where a student has intentionally misrepresented their word count, the School may treat this as an offence under Section IV of the General Regulations of the University. Extreme cases may be viewed as dishonest practice under Section IV, 5 (a) (x) of the General Regulations.
Very occasionally it may be appropriate to present, in an appendix, material which does not properly belong in the main body of the assessment but which some students wish to provide for the sake of completeness. Any appendices will not have a role in the assessment – examiners are under no obligation to read appendices and they do not form part of the word count. Material that students wish to be assessed should always be included in the main body of the text.
Guidance on referencing can be found on Durham University website and in the Student Information Hub.

MARKING GUIDELINES
Performance in the summative assessment for this module is judged against the following criteria:
Relevance to question(s)
Organisation, structure and presentation
Depth of understanding
Analysis and discussion
Use of sources and referencing
Overall conclusions

PLAGIARISM AND COLLUSION
Students suspected of plagiarism, either of published work or the work of other students, or of collusion will be dealt with according to School and University guidelines.
END OF ASSESSMENT