Research assignment
FINM4106 / 8006 Advanced Investments
Semester 1, 2024
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Instead, suppose the papers are still working (unpublished) drafts, and you must assess them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:
https://afajof.org/wp-content/uploads/files/policies-and-
guidelines/JF_Referee_Guidelines.pdf
https://pubs.aeaweb.org/doi/pdf/10.1257/jep.31.1.231
https://www.aeaweb.org/content/file?id=222
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
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accepted. Students will receive a zero mark for the assignment if submitted after the due date
and time.
Good luck!
Alexander