FACULTY OF BUSINESS AND LAW

ACADEMIC YEAR 2020/21

Coursework Assessment Brief

Module Code: UMADBK-15-M

Module Title: Quantitative Research Methods

Submission Deadline: 13 January 2022

Assessment Component: CW1 (Component B)
Assessment Weighting: 60 per cent of total module mark
Marking and feedback deadline (20 working days after end of grace period): 10 Feb. 2022
N.B. all times are 24-hour clock, current local time (at time of submission) in the UK

Assessment Instructions

This assignment requires you to produce a quantitative report covering TWO tasks from four
topics listed below:
1. Multiple regression
2. Stationary and non-stationary time series analysis
3. Volatility modelling
4. Panel data analysis
The full report should not exceed 2000 words excluding references and appendix. The
questions start at page 7 of this document.

Assessment aims:

This assessment requires students to use financial data and carry out relevant quantitative
analyses and discuss the outputs in the quantitative analysis report (2000 words).

In particular the following learning outcomes are tested in this assessment:

 Appreciate and apply key techniques in quantitative analysis

 Understand and critically evaluate quantitative methods for research in finance
 Apply and evaluate a range of statistical and econometric techniques using standard
statistical and econometric packages
 Analyse financial data and critically interpret the results

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Marking Criteria

The following criteria will be used in evaluating this assessment:

Element weight mark comment

Econometric model: statement of 15%
the econometric model(s) in
formulae and brief explanation of
the variables
Hypothesis construction: statement 10%
of the hypotheses in analytical
terms
Descriptive statistics: calculations 10%
of main descriptive statistics with
short description
Relevant quantitative analysis: this 60%
includes quantitative analysis and
discussion of results (including the
unit root test and cointegration test
for the non stationary / stationary
time series question and including
the diagnostic checks)
Conclusions and layout: a short 5%
conclusion
Total mark Overall comment to insert here

The above weighting will be applied to each of the two questions answered. The final mark will
be the average of the two individual marks. A short feedback will be provided.

Grading criteria:

A+ (85-100%) Outstanding Pass; An outstanding piece of work that exceeds by far the
requirements and shows a deep understanding of the subject and
discussion ability
A (70-84%) Distinctive Pass; Excellent work that exceeds the requirement of the
module learning outcomes in all important dimensions
B (60-69%) Meritorious Pass; Very good work at M level – satisfied all important
requirements of assessment task and module learning outcomes
C (50-59%) Pass; Good work at M level – student demonstrates achievement against
all learning outcomes but with some limitations
D (45-49%) Marginal fail; Does not meet the required overall standard – may have
some good qualities but some learning outcomes not met. Incorrect
analysis or lack of discussion.
E (0-44%) Fail; Contains significant flaws, few of the learning outcomes for the
module have been demonstrated

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Formative feedback and support during the module

Students will be given a detailed written report on their essay. The report would highlight the
points of strength and relevant contributions, but will also indicate the weaker points and
propose suggestions as to how to improve the discussion and/or argument.

Further information about this assessment is available on the Blackboard site

for this module and includes:

 Guidance documents
 Module handbook
 Required Data sets in Excel format

Formatting

Please use the following file format(s): Word and PDF. We cannot ensure that other formats are
compatible with markers’ software and cannot guarantee to mark incorrect formats.

All work should be word processed in 12-point font Times New Roman or Arial and single
spaced.

The first page of your coursework must include:

 Your student number
 The module name and number
 Your word count
 The coursework question

Word Limit

The maximum word limit for this coursework is 2000 words.

 There is no +/- 10% on word count and anything after the maximum word count will not be
marked, in line with UWE Bristol’s Word Count Policy.
 In line with UWE policy, this word count includes everything in the main body of the text
(including headings, tables, citations, quotes, lists, etc.).
 The references, bibliography and footnotes (provided footnotes only include references) are
NOT included in this word count.

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Referencing and Assessment Offences

Please ensure you reference all sources used when developing your assessment, using the UWE
Harvard system. Failure to properly reference your work to original source material can be
grounds for the assessment offence of plagiarism and may result in failure of the assessment or
more serious implications. Further guidance on correct referencing is available on UWE’s Study
Skills referencing pages.

UWE’s Assessment Offences Policy outlines potential offences and it is your responsibility to
understand this policy and avoid potential offences. Details of what constitutes plagiarism and
how to avoid it can be found on UWE’s Study Skills pages about avoiding plagiarism.

Text-matching software (e.g. SafeAssign) is used to check every submission against other
submissions made at the same time, previous submissions to UWE and other universities, and
internet sources. We may also manually search for matches. When submitting your work, you
will be required to confirm that the work is your own.

It is an assessment offence to:

- copy work from any source, including your own previous assessments, and present it as
your own work for this assessment, or to provide your own work to others
- to work with others on the assessment in any way, or for anyone to make amends on
your work (including proof-readers, who may highlight issues but not edit the work)
- change individual words but keep, essentially, the same sentences and/or structures
from other sources: this will be detected by text-matching software. Please write in your
own words and style to convey your own learning.

Instructions for submission

You must submit your assignment before the stated deadline by electronic submission
through Blackboard. Notification that the electronic submission portal is open for your
assignment is displayed (usually two weeks before the submission date) in the Coursework tab
in myUWE, the Coursework tab in Blackboard and via an announcement in the Blackboard
course.

Please allow sufficient time to upload your assignment, as the system becomes busier and
slower as the deadline approaches. Only your final upload will be counted. Ensure all your
information is submitted at one attempt to avoid overwriting your intended submission. Always
check and retain your receipts.

For full guidance on online submission through Blackboard, see UWE’s Academic Advice pages
on Assignments.

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Submissions of coursework by any other method (including a paper copy, on disk or by email)
are NOT permissible for this module unless specifically agreed in advance of the submission
date.

Before submitting your work, please ensure that:

 You have proof-read you work thoroughly to ensure your work is presented
appropriately

 You have addressed all the required elements of the assessment

 You have referenced in accordance with the guidance provided

 You have addressed each of the marking criterion

 The submission is in the correct format

 This assessment has a three day grace period in which students can submit their work
without penalty. While students are expected to plan their work so that they are not
impacted by minor illness or delay, if you experiencedifficulties which affect your ability
to submit your work at the published deadline the University allows a three day grace
period in which you can submit your work without penalty for this type of assessment.
Please note that the submission deadline at the conclusion of the three day grace period
is absolute and based on UWE server time, therefore you are strongly advised to submit
work well ahead of the deadline dates to avoid your work not being accepted for
marking. For full information please see; Assessment support options - Academic
information | UWE Bristol

Final feedback and marks release

Students will normally receive marks and feedback on their submission within 20 working days
of the submission deadline (not including public holidays or university closure days). Any delay
in returning students’ work will be communicated by the module leader via Blackboard.

Feedback on this module is not limited to the written comments you will receive on individual
written assessment submissions.

Feedback and marks for this module will be available by ????? 2021. For further guidance on
feedback, please refer to the module handbook.

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Further guidance and support

There are a number of sources of support to improve your study skills, including:
 The UWE Library Study Skills pages – for online support and bookable workshops
 The Faculty of Business and Law’s Academic Success Centre for bookable workshops
 Guidance on using UWE’s Library.

Specific study skills pages relating to this module include:

 How to plan and structure your writing
 Writing skills
 Research skills / techniques
 Report writing
 Reflective writing
 How to write critically
 English language support

For further guidance on UWE assessment regulations and terminology see UWE’s Academic
Advice pages.

Personal Circumstances

If you are experiencing difficulties in completing a piece of assessment on time due to

unexpected circumstances (for example illness, accident, bereavement), seek advice from a
Student Support Adviser at the earliest opportunity. Appointments can be made via an
Information Point or online via the Student Support Pages.

Student Support Advisers can advise as to whether you should submit an application for
‘Personal Circumstances (PCs)’, how to do so and what evidence is required to support the
application. Further details on PCs can be found on the Student Support Pages.

The module leader cannot grant personal circumstances or extensions.

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 PLEASE ANSWER TWO QUESTIONS ONLY

Q1. Multiple regression: Determinants of wages

Use multiple regression model to determine which factors explain wages. Preliminary study
finds that age is a factor that determines wage. The other three variables considered are years
of education (EDUC), years of apprentice trainings in firms (training1) and a different measure
for the apprentice trainings (training2).

Data: The file “mult_reg.xlsx” available on Blackboard in the Assignment folder contains all
data required for this question.

Research Question:
1. Is age a determinant of income?
2. Is apprentice training more efficient than education in raising the level of wages?

Econometric model:
Please state your econometric model with appropriate assumptions.

Hypothesis testing
Please state the hypotheses you are testing and the rationale for these

Basic statistics:
Please provide the following information in an appropriate table and explain their implications.

Mean, standard deviation, skewness, kurtosis, Jarque-Bera normality test

Model estimates:
Run regressions and report your findings. Please put your t-stats in brackets and indicate
significance with *, **, *** for significance at 10%, 5% and 1% respectively.

Diagnostic tests:
Please discuss whether the following tests are doable in your context, and explain their
implications if relevant.

1. Auto-correlation test
2. Collinearity check

Conclusion:

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Q2. Time Series Analysis of Price and Earnings

You are given time series of price (lnP) and earnings (lnE), and you would like to analyse the
value relevance of earnings. Specifically, you are first required to determine if the time series
are stationary or integrated with order one, and in the latter case if they are co-integrated.
Then, dependent on the outcome of the above analyses, an appropriate autoregressive
distributed lag (ARDL) model or ECM is to be fitted.

Data: The file “timeseries.xlsx” available on Blackboard in the Assignment folder contains all
data required for this question.

Research Question: Can change in price be explained by earnings?

Preliminary tests:
1. Test for presence of unit root
2. Test for cointegration

Econometric model:
The econometric model will depend on the outcome of unit root tests and cointegration test.

Hypotheses testing
Test for significance of relevant coefficients, i.e. the coefficient of change in earnings and (if
appropriate) the coefficient of error from the cointegrating relationship.

Basic statistics:
Mean, standard deviation, skewness, kurtosis, Jarque-Bera normality test

Model estimates (t-stats in brackets):

Which is the best model?

Diagnostic tests:
Auto-correlation test

Conclusion:

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Q3. GARCH models

You are given a financial time series of returns on a stock (RET). You would like to use a GARCH-
in-mean model to investigate whether there exists a time-varying risk premium.

Data: The file “garch.xlsx” available on Blackboard in the Assignment folder contains all data
required for this question.

Research Question:

- Does higher volatility result in higher expected return?

- Is there a leverage effect?

Econometric model:
State your econometric model with appropriate assumptions

Hypothesis
State your hypothesis

Basic statistics:
Provide the following descriptive information in a suitable table

Mean, standard deviation, skewness, and kurtosis.

Normality test

Estimate the models and report your findings

Which is the chosen model and why?

Suggest a suitable model and justify this choice

Diagnostic test on residuals:

(1) normality;

(2) standardized residuals correlogram test;

(3) Squared standardized residuals correlogram test.

Conclusion:

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Q4: Panel data analysis on the determinants of bank profitability.

You would like to find out about the determinants of bank profitability. Where profitability is
proxied by (i) return on average asset (ROAA), and (ii) return on average equity (ROAE). The
literature suggest that profitability could be influenced by bank capital strength (CAP), credit
risk (CR), operating cost (CM), asset quality (AQ) and liquidity (LQ). You are given a panel of N
banks each with T years of the explanatory variables. Use pooled, fixed effect and random
effect models to analyse the data and undertake a Hausman test. You may wish to discuss why
net interest margin (NIM) and total assets (TA) may or may not be appropriate explanatory
variables.
Data: The file “bank-panel.xlsx” available on Blackboard in the Assignment folder contains all
data required for this question.

Research Question: What are the factors that affect bank profitability?

Econometric model:
State your econometric model with appropriate assumptions

Hypothesis
State the hypotheses you will be testing and why?

Provide the following descriptive statistics in a suitable table.

Mean, standard deviation, skewness, kurtosis, Normality test

Estimate the following models:

1. Pooled OLS

2. Panel FE Estimates

3. Panel RE Estimates

Report both standard and HAC t-stats

Do the Hausman’s test and discuss its implications.

Conclusion

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