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Research assignment
FINM4106 / 8006 Advanced Investments The purpose of this research assignment is to write a referee (critique) report on the two following papers: A. Craig MacKinlay, 1995. “Multifactor models do not explain deviations from the CAPM,” Journal of Financial Economics 38, 3-28. Fama Eugene F. and Kenneth R. French, 1996. “Multifactor explanations of asset pricing anomalies,” Journal of Finance 51, 55-84. The papers are posted on Wattle. The referee report should be written as if you were the reviewer for the article’s potential publication in a top finance journal. Please keep in mind that rejection rates in the leading journals in finance, such as the Journal of Finance, Journal of Financial Economics, and Review of Financial Studies, are between 90% and 95%, so that, on average, you will give a revise and resubmit at most on every tenth paper you review. So do not be too positive! Your report should clearly state the paper’s important contribution in the best possible light; critique any shortcomings thoughtfully; suggest improvements, if any. Please ignore that the posted papers have been published in top finance journals (JF and JFE). Instead, suppose the papers are still working (unpublished) drafts, and you must assess them critically. Please refer to the following web resources to gain more understanding of how to write an effective referee report: The referee report should be double-spaced and no more than ten pages (12 font). The number of words is not required. Submit referee reports (word or pdf) through the Turnitin link on the Wattle web page. The due date is 10 am on Monday, 29 April 2024. Submissions must be made on time to be 2 accepted. Students will receive a zero mark for the assignment if submitted after the due date and time.