Here is Yu Kangqi's Assignment 5 of FIN3080 in CUHKsz.
The report decribes how I use the eps data to constuct an indicator called SUE, which is used to measure how well a firm have done last semi-annual. Then, I use abnormal return (compare with market) to derive the abnormal cumulative return in an 241 days event window. Then, I find a universal drift down phenomenon in all portfolios, which is a strong envidence that the Chinese stock market is not semi-strong.
To run the code of me smoothly. You need to install numpy, pandas, matplotlib seaborn first.
There is three jupyter notebook files, one assignment and one report.
I do not upload the data for it is so huge that I can not upload it.
You can contact me through LinkedIn: https://www.linkedin.com/in/kangqi-kyle-yu-339266220/
Author: Yu Kangqi (余康齐)
Acknowledgment: The original data from CSMAR (http://cndata1.csmar.com/csmar.html?v=1634558712806#/index)
For academic integrity, I choose the following license.
Shield:
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
