stock-performance-spin-off-subsidiaries-parents-etf

Paris-Dauphine University project for the course API Bloomberg. The aim is to replicate the research paper : "The Stock Price Performance of Spin-Off Subsidiaries, Their Parents, and the Spin-Off ETF, 2001-2013" by JOHN J. MCCONNELL, STEVEN E. SIBLEY, AND WEI XU.

https://github.com/baptistezloch/stock-performance-spin-off-subsidiaries-parents-etf

Science Score: 44.0%

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CITATION.cff file
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Scientific vocabulary similarity
Low similarity (4.3%) to scientific vocabulary

Keywords

etf portfolio stock-market

Last synced: 10 months ago · JSON representation ·

Repository

Basic Info

Host: GitHub
Owner: BaptisteZloch
License: mit
Language: Jupyter Notebook
Default Branch: master
Homepage:
Size: 11.2 MB

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Topics

etf portfolio stock-market

Created over 2 years ago · Last pushed about 2 years ago

Metadata Files

Readme Citation

README.md

Replication of the research paper : The Stock Price Performance of Spin-Off Subsidiaries, Their Parents, and the Spin-Off ETF, 2001-2013 by JOHN J. MCCONNELL, STEVEN E. SIBLEY, AND WEI XU.

Setting up the project

Run the file install_for_windows.bat, it will install dependencies and create a virtual environment for the project.

All the code is in the src folder. The research paper and the project guidelines are in the static folder.

Execute the script

python .\src\execute_strategy.py --index "SXXP Index" -p "long" -s "2020-01-01" -e "2020-12-31"

python .\src\execute_strategy.py --index "SX5E Index" -p "short" -s "2015-01-01" -e "2020-12-31"

python .\src\execute_strategy.py --index "RTY Index" -p "short" -s "2015-01-01" -e "2020-12-31" --backtest_type "parents"

python .\src\execute_strategy.py --index "SPX Index" -p "long" -s "2015-01-01" -e "2020-12-31" --backtest_type "subsidiaries"

python .\src\execute_strategy.py --index "SX5E Index" -p "short" -s "2015-01-01" -e "2020-12-31" --transaction_cost 0.1

Owner

Name: Baptiste ZLOCH
Login: BaptisteZloch
Kind: user
Location: Gif-sur-Yvette
Company: CentraleSupelec

Website: www.zlochteamastro.com
Repositories: 2
Profile: https://github.com/BaptisteZloch

I'm currently student at CentraleSupelec with Computer Science specialization and a huge interest in Quantative Trading.

Citation (CITATION.CFF)

cff-version: 1.2.0
message: If you use this software, please cite it using the following DOI.
title: Replicating research paper "The Stock Price Performance of Spin-Off Subsidiaries, Their Parents, and the Spin-Off ETF, 2001-2013"
version: 0.2.1
authors:
  - name: Flavie BICKERT
    email: flavie.bickert@dauphine.eu
  - name: Baptiste ZLOCH
    email: baptiste.zloch@dauphine.eu
license: MIT

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