You are expected to consult academic journal articles and professional journal articles, where appropriate. Please remember to reference your sources using an appropriate citation system (such as Harvard style). Essays will lose marks for poor referencing. Guidance for referencing styles can be found in the library and online:
DATA数据
There are two parts to the assignment, which test your understanding of quantitative research methods. The first part is a test of the Capital Asset Pricing Model (CAPM) using stock returns of a particular industry portfolio and the second part is an examination of firm characteristics that may affect audit fees using a unique sample of UK firms. 分配有两个部分，测试你的定量研究方法的理解。第一部分是资本资产定价模型（CAPM），使用一个特定的行业组合和股票回报第二部分是检查企业特征，可能影响审计费用，采用了独特的英国企业样本测试。
The data for the assignment can be found at S:/Teaching/Research Methods. For Part 1, you are allocated a specific industry portfolio to investigate. For part 2, you are allocated a random sample of 5000 firms. The data allocation can be found in the file S:/Teaching/Research Methods/Assignment Data Allocation.xls. The industry portfolio returns are found in the spreadsheet S:/Teaching/Research Methods/Industry Portfolios.xls. Your specific data set for investigating audit fees in part 2 can be found at S:/Teaching/Research Methods. The data allocation spreadsheet shows you precisely which data you should use for your assignment.
PART 1: TEST OF CAPM第1部分：试验CAPM
The spreadsheet S:/Teaching/Research Methods/FF Data 10-11.xls contains the market (mkt-rf), growth (smb), value (hml) and momentum (umd) asset pricing factors for US stocks.
REQUIRED
Use these asset pricing factors to test the validity of the Capital Asset Pricing Model (CAPM) for your industry portfolio returns. Write a commentary to explain the methods that you use and interpret your findings. Your commentary should include the following:
(a) an explanation of the theory that is being tested,
(b) a statement of coefficient values under null hypotheses,
(c) presentation of regression analysis,
(d) interpretation of hypotheses tests on coefficients,
(e) analysis of diagnostic tests to verify the validity of your regression model,
(f) any other information or tests that you feel are relevant.
PART 2: AUDIT FEES第2部分：审计费
Your spreadsheet (KEVINX.csv) contains a sample of 5,000 UK firms. For each firm you have been provided with the following variables:
