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sin-stocks

Final Year Project for NTU Economics: How do sin and stimulant stocks perform relative to the business cycle?

https://github.com/statistactics/sin-stocks

Science Score: 44.0%

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Repository

Final Year Project for NTU Economics: How do sin and stimulant stocks perform relative to the business cycle?

Basic Info
  • Host: GitHub
  • Owner: statistactics
  • Language: Jupyter Notebook
  • Default Branch: master
  • Homepage:
  • Size: 9.53 MB
Statistics
  • Stars: 1
  • Watchers: 1
  • Forks: 0
  • Open Issues: 0
  • Releases: 0
Created almost 4 years ago · Last pushed over 3 years ago
Metadata Files
Readme Citation

README.md

Important Note Before Running the Code

  • The code is dependent on Stock_Universe.csv to filter for relevant sin and stimulant stocks using NAICS and SIC codes.
    • Please see Instructions.docx (Step 3 in particular) for details on how to retrieve the data from Compustat using WRDS. Thank you, Tilden!

Details on Code Files

  • 1STOCKFILTERING.ipynb: Relevant sin and stimulant stocks are selected based on previous literature. Exploratory Data Analysis is also conducted with boxplots, histograms, and descriptive statistics. Outliers are addressed and removed in this notebook.
  • 2PORTFOLIOAND_REGRESSIONS.ipynb: A long-only, equally weighted Sin and Stimulant portfolios are generated. Regressions are conducted based on Formula 1 and 3 from Salaber, 2009. Additional steps are taken to include the US Recession Indicator from FRED/NBER.
  • 3CORRELATIONANALYSIS.ipynb: Correlation analysis for portfolio performance against GDP Growth Rate and ExRm (Fama-French) in recessionary vs non-recessionary periods are conducted.

Hypotheses

  1. Sin stocks exhibit a counter-cyclical pattern of returns relative to the business cycle.
  2. Stimulant stocks exhibit a pro-cyclical pattern of returns relative to the business cycle.

Owner

  • Name: Caleb Mah
  • Login: statistactics
  • Kind: user

I thrive amidst confusion; enjoying the struggle while striving for that coveted eureka moment.

Citation (CITATION.cff) 

# This CITATION.cff file was generated with cffinit.
# Visit https://bit.ly/cffinit to generate yours today!

cff-version: 1.2.0
title: The Cyclical Dynamics of Sin and Stimulant Stocks
message: >-
  This notebook outlines the data analysis and
  regression process for The Cyclical Dynamics of Sin
  and Stimulant Stocks
type: software
authors:
  - given-names: Caleb Mah
    email: MAH0009@e.ntu.edu.sg
  - given-names: Tilden Tan
    email: tild0001@e.ntu.edu.sg
repository-code: 'https://github.com/sansanity/sin-stocks'
keywords:
  - >-
    sin stocks, stimulant stocks, business cycle,
    counter-cyclic

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