Measuring information Asymmetry
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£155(approx. $194)
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Description
Experience Level: Entry
I need a python or R data scientist/analyst with a very good statistical and financial background to help me calculate the following variables:
1. Effective spread (using ask, bid, high and low closing prices)
2. Idiosyncratic risk (using the Fama French 3 factor model)
3. Amihud 2002 Illiquidity/lambda
4. Proportional spread
5. Quoted and the relative bid-ask spread
6. The return-volume coefficient (Using the Fama French 3 factor model)
7. The liquidity ratio
8. The Return reversal coefficient.
9. Extract the PCA of the above factors.
In all cases, I would like to return the daily, monthly and annual calculated values for each stock from 02/01/2000 to 30/06/2020. I would also like to analyse the results per industry and year. I would also like to run some tests to ascertain the errors in estimating the information asymmetry.
The data is for 230 non-financial stocks listed on the JSE (South Africa) from 2000 to 2020. The main purpose of calculating this is to measure the degree and level of information asymmetry of these firms. The sample data for the project is attached. The larger file with all other companies will be shared through google drive once the terms are agreeable.
1. Effective spread (using ask, bid, high and low closing prices)
2. Idiosyncratic risk (using the Fama French 3 factor model)
3. Amihud 2002 Illiquidity/lambda
4. Proportional spread
5. Quoted and the relative bid-ask spread
6. The return-volume coefficient (Using the Fama French 3 factor model)
7. The liquidity ratio
8. The Return reversal coefficient.
9. Extract the PCA of the above factors.
In all cases, I would like to return the daily, monthly and annual calculated values for each stock from 02/01/2000 to 30/06/2020. I would also like to analyse the results per industry and year. I would also like to run some tests to ascertain the errors in estimating the information asymmetry.
The data is for 230 non-financial stocks listed on the JSE (South Africa) from 2000 to 2020. The main purpose of calculating this is to measure the degree and level of information asymmetry of these firms. The sample data for the project is attached. The larger file with all other companies will be shared through google drive once the terms are agreeable.
Douglas M.
100% (5)Projects Completed
4
Freelancers worked with
4
Projects awarded
71%
Last project
22 Aug 2021
United Kingdom
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