-1
votes
0answers
19 views

Long Return - of a Long/Short Equity Fund

How do I calculate the return of only my long portfolio? The fund holds both long and short positions (and I can calculate total fund return) however, I need to figure out the return of only the long ...
6
votes
2answers
248 views

Why are we obsessed over normalizing financial data?

I have recently began work on some high frequency financial tick data. I have been told to 'normalize' the data as much as possible and run linear regressions through them. In fact, the data doesn't ...
6
votes
2answers
234 views

Why do I have a statistically significant slope regressing R(t) on R(t-1)

I am reading Cochrane's lecture note here He mentioned that when you regress annual return on time t on that of time t-1, you will have neither statistically significant nor economically significant ...
2
votes
1answer
148 views

How to compare different volatility measures?

I read the Euan Sinclair's book (Volatility trading) in which he suggests different volatility estimators (Close-to-close, Parkinson, Garman-Klass, ...). I am inquiring about what is the best stock ...
0
votes
2answers
145 views

Use of geometric mean for average return of several indices

Can anyone give any reference for using the geometric mean to average the returns from several indices? Note, this question is not about the usual use of geometric mean to obtain the average return ...
5
votes
2answers
626 views

What are the econometric assumptions in the Fama-Macbeth procedure (1973)?

Fama-Macbeth (1973) introduce a two stage cross-sectional regression method (http://en.wikipedia.org/wiki/Fama%E2%80%93MacBeth_regression). 1) If I was to regress stock prices (or returns) on a ...
0
votes
1answer
120 views

Calculating the Sum of Squared Deviations between two Normalized Price Series

How can I calculate the sum of square deviations between two normalized price series according to (Gatev et. co 2006)? My normalized price series of stocks $X$ and $Y$ consist of the cumulative total ...
3
votes
3answers
282 views

Measuring historical earnings surprises, their frequency and severity

This is my first post to Quantitative Finance, so I hope my question is formatted the right way. I am starting to research the effects of earnings surprises on certain equity indices. Is there a ...
-1
votes
1answer
129 views

Calculate the total returns from the total return index [closed]

I have the Total Return Index(RI) for several companies. I know that I can calculate the log retunrs with $ln(RI_t/RI_{t-1})$. Therefore my first guess would be to ...
4
votes
1answer
161 views

Statistical Power and Active Management

I was reading an article recently that pointed out the dangers of using statistical inference in evaluating active managers as the power of statistical tests diminishes with the variance of the ...
7
votes
3answers
308 views

How to improve the consistency of explained variance statistics in a linear equity model?

I have an intraday equity returns linear model that, overall, shows good values in terms of $R^2$, p-value and other explained variance statistics. Around 70% of the stocks show consistent R-squared ...
9
votes
1answer
407 views

How to estimate the covariance of an index with a basket of stocks?

What would be an ideal way to estimate the covariance of an index with a basket of stocks? For example, should I use one-tail ANOVA test or an individual stock & index F-test?
6
votes
1answer
2k views

How do I reproduce the cross-sectional regression in “Intraday Patterns in the Cross-section of Stock Returns”?

Recently I was trying to reproduce the results of "Intraday Patterns in the Cross-section of Stock Returns". The authors used cross-sectional regression to determine which intraday lags have ...