FIN 321 ADVANCED CORPORATE FINANCE ASSIGNMENT- University of Illinois at Urbana-Champaign
1. In class, we learned that we can assess the impact of a macro indicator by running a regression of the appropriate measure of stock market returns on the appropriate measure of the surprise contained in the announcement of the macroindicator.
a. Using the posted spreadsheet, how exactly would you measure a surprise in nonfarm payrolls? State your answer by copying and pasting the corresponding Excel formula with cell referencesbelow.
b. Using the posted spreadsheet, how exactly would you measure the stock return associated with the nonfarm payroll announcement? State your answer by copying and pasting the corresponding Excel formula with cell referencesbelow.
2. Using your answer to question 1, estimate a regression of announcement returns on nonfarm payroll surprises. Copy and paste the regression statistics below. Based on your results, are nonfarm payroll surprises a statistically significant determinant of stock market returns? How does the economic magnitude of their effect compare to that of ISM surprises (put differently, which macro indicator has been a more powerful driver of stock returns during the past 3years
Format your assignment according to the following formatting requirements:
1. The answer should be typed, double spaced, using Times New Roman font (size 12), with one-inch margins on all sides.
2. The response also includes a cover page containing the title of the assignment, the student's name, the course title, and the date. The cover page is not included in the required page length.
3. Also include a reference page. The Citations and references should follow APA format. The reference page is not included in the required page length.