项目详情

• 项目名称：用excel做ipo抑价，需要建模
• 分类：论文实证
• 发布者： hg***r
• 点击量：448
• 发布时间：2017-3-9 18:11
• 项目关键词：
• 项目描述：项目描述：Congratulations! You have recently landed a job as a hedge fund manager and your first task is to invest in Initial Public Offerings (IPOs) of companies operating in the same or different industries/sectors. The hedge fund’s investment policy states that the allocation of available capital should be based on an empirical model, rather than on personal opinion/judgment. To that end, you are required to build a model for estimating the probability of IPOs being underpriced. The model should be based on a sample of 35 IPOs (25 for the group of
  three members) that took place during the period 2004-2013 (in-sample period) and the
  following data/information: (I) overhang; (II) price update; (III) stock market
  sentiment; (IV) industry specific sentiment; (V) underwriter’s ranking; (VI) total assets
  turnover; and (VII) gearing.
  To test the model’s underpricing prediction ability, you are required to perform
  an out-of-sample evaluation on 8 (7 for the group of three members) IPOs that hit the
  market during 2014-2016.
  Next, you are required to construct two portfolios of US$10 million total value
  respectively, and present their first trading day return. Each portfolio should be based
  on the 8 (7 for the group of three members) out-of-sample IPOs and the ultimate goal
  in the construction process is to maximise the probability of underpricing. The first
  portfolio should be an equal-weight portfolio. The second portfolio should be based on
  the hedge fund’s capital allocation policy: “individual IPO allocations should not
  exceed 35% of the available capital and a minimum of 5% of the available capital
  should be allocated to each IPO under consideration”.
  Write a report that does not exceed 2,500 words (excl. graphs, tables, footnotes,
  references and appendices) and submit it to the senior management team for approva
  对承接人的要求：
  所需技术：excel
  完成时间： 一周
  完成标准：excel+中文报告
  
  
• 项目附件： 承接人可见
• 项目预算： ￥ 500-1000 元（ 未托管 ）
• 分享：

竞标详情

参与竞标