David Kane taught ECON 18: Quantitative Equity Analysis at Williams College during January, 2009.
This class will introduce students to applied quantitative equity research. We will briefly review the history and approach of academic research in equity pricing via a reading of selected papers. Students will then learn the best software tools and data sources for conducting such research. Students will work as teams to replicate the results of a published academic paper and then extend those results in a non-trivial manner. This course is designed for two types of students: first, those interested in applied economic research, and second, those curious about how that research is used and evaluated by finance professionals.
Here is the syllabus. Judge the success of the course as follows:
If you had tried to conduct a similar piece of financial research before taking this class, you would have done X well. Now that you have taken the class, you will do Y well, both with your actual paper and with any future financial research you choose to undertake. The success (or failure) of the class can be measured by comparing Y with X.
There were 4 students in the class, working in two teams. Below are their papers and the R code needed to reproduce their results.
  1. "52 Week High and Momentum Investing: A Partial Replication of George and Hwang's Results" by Bill Jannen '09 and Vincent Pham '11. (Paper and code)
  2. "Do Industries Explain Momentum? - A Replication of Moskowitz and Grinblatt (2004)" by Paul Fraulo '10 and Jimmy Nguyen '10. (Paper and code)
The students did an excellent job. Full comments on both papers are here. The students presented their results to the Williams community from 4-5pm in Bronfman 106 on Friday, February 20.

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