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I'm doing my undergraduate thesis on firm-level contagion. Specifically I look at a measure of performance over a financial crisis (e.g. raw stock returns), then run cross-sectional regressions with this response variable upon some regressors that we hypothesise will "explain" this performance.

I have about 5000 words left and I am looking for some additional analysis to do. Any suggestions are much appreciated.

I can handle all the programming and econometrics.

I'm looking for something really original that I can test. All papers seem to stick on this standard question "what explains individual stocks' crisis performance".

This post may be against Quant.SE's rules but I wasn't sure, so feel free to delete if it is!

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    $\begingroup$ You should ask this question to your advisor since he's actually familiar with the work you've done so far. Strangers on the Internet aren't going to be nearly as effective. $\endgroup$ – chrisaycock Sep 30 '12 at 15:50
  • $\begingroup$ Strangers on the internet helped me far more than my advisor. $\endgroup$ – Akavall Sep 30 '12 at 23:32
  • $\begingroup$ My supervisor is great but he's busy and crowdsourcing interesting questions is likely to be fruitful (especially from a crowd of finance professionals/academics!). I believe 'brown bag' sessions are held for this reason. $\endgroup$ – user2921 Oct 1 '12 at 2:46
  • $\begingroup$ I saw a really good graph not too long ago that had scores between the largest banks/insurance agencies during the financial crisis that the Fed used to help determine contagion should one fail. It was sort of a "web graphic" - I can't remember where I saw it, but maybe someone else here saw it as well. $\endgroup$ – jeff m Oct 1 '12 at 14:34
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What could be interesting would be to try and categorize what type of stocks react most to your indicators (small/large cap, country-specific).

You can also see across asset classes what the reaction was. How did equities do compared to commodities or bonds or hedge funds (who are supposed to benefit from falling markets).

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  • $\begingroup$ Hi SRKX. Useful comment! I've already done your first paragraph (good one!) and the second is a bit too much for 4000-5000 words. Also it's a bit too divorced from the current theme of the thesis (i.e. stocks only) and might be perceived as an unnecessary tangent when there was way more we could do on the original theme. If it was a PhD thesis, then I would go for it because I have more room to branch out. $\endgroup$ – user2921 Sep 30 '12 at 16:16
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How do securities of companies with outsized margins as compared to competitors fare in financial crisis? This would be the best way, in my opinion, to quantify the largest portion of decrease in stocks in crisis. Risk is generally exacerbated (or that's my hypothesis). Good luck!

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