15 Feb Investment Management and Machine Learning Week 3 Project Please copy your code and figures to a Word file and submit the Word file to Canvas- Assignments-Week 3 Project. 1. Finan
Investment Management and Machine Learning
Week 3 Project
Please copy your code and figures to a Word file and submit the Word file to Canvas-
Assignments-Week 3 Project.
1. Financial Market Data
a. Download data from Compustat -Security Monthly from 2015 to 2022. Please include all the
variables in our week 3-stock return data.
b. Select U.S. stocks
c. Calculate share turnover (trading volume/shares outstanding), select observations with share
turnover > 0.5, and report the number of stocks with share turnover>0.5 in each year-month
2. Data from Yahoo Finance
a. Read adjusted close price data for Apple (Ticker: AAPL) and Walmart (Ticker: WMT) from
1990 to 2022
b. Calculate the annual return for these two stocks
[Hint: we can use daily returns to calculate annual returns based on the following equations.
(1+r1)*(1+r2)*(1+r3)*…*(1+ri)=(1+R_annual); R_annual=(1+r1)*(1+r2)*(1+r3)*…*(1+ri)-1]
c. Plot these two stocks’ annual returns in one graph
3. Financial Statement Data and Merge Data
a. Download Dividends per Share (DVPSPQ) from Compustat-Fundamentals Quarterly from 2014
to 2022. Please at least download variables: gvkey, datadate, curncdq, dvpspq
b. Merge the Dividend data with the financial market data downloaded in question 1
c. Calculate dividend yield (dividend per share (DVPSPQ) / price per share (PRCCM)) for each
stock-datadate observation
d. Find the average dividend yield in each year-month and plot the average dividend yield over
time.
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