Shares of stock traded in a stock market. Equities represent the residual claim or interest of the most junior class of investors in assets, after all liabilities are paid.

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8 views

Calculating Weighted Average Cost of Capital (WACC)

Trying to answer a question from an textbook but struggling a bit to use the formula. I am trying to calculate the WACC on this particular set of data: So I have that: Re = 20.69 Rd = 1842 ...
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1answer
47 views

How is this financial product called?

I have only basic limited knowledge about financial derivatives and I did not find exactly what I was searching for. I found open end turbo call, knock outs, but I am searching for this: Underlying ...
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0answers
14 views

Is it possible to download stock-data countrywise with quantmod package for R?

Is it possible to download stock-data countrywise with quantmod package for R ? Hi, I'm wondering if it's possible to download equities countrywise. Let's say i want all data from the Finnish ...
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1answer
118 views

Conversion stock symbols Google Finance vs. Reuters

I'm working on a project that will fetch data from Google Finance and Reuters. In order to avoid keeping two separate lists of stock symbols, I'm looking for some kind of conversion or database or API ...
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0answers
37 views

Simulating stock price with Monte Carlo under uncertainity

I'm trying to perform Monte Carlo simulation in order to check to what extent target price derived from Discounted Cash Flow(DCF) model may be influenced by changes in variables which are: EUR ...
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1answer
42 views

Stock valuation/stock pitch and CAPM

If you were valuing a stock (say to pitch a stock for the buy side), you are looking for stocks that the market has mispriced. Your aim is to have a profitable long or short strategy. Can you use the ...
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1answer
42 views

Metastock end of day data to Python

I'm thinking of getting End of Day stock prices from Metastock, but was wondering if it would be possible to have Python to automatically extract the stock prices and store it in a SQL. Would that be ...
9
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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" (published in the Journal of Finance 2010). The authors used cross-sectional regression to ...
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1answer
83 views

Normalizing SPY ETF time series data with its sector ETFs?

I am looking to compare the returns of a sector rotation strategy between the various SPDR sector ETFs XLY, XLP, XLE, XLF, XLV, XLI, XLB, XLK, XLU vs. ...
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2answers
87 views

Price of an equity

An equity has a value of 100 Euros, and pay a dividend of 5 Euros in 6 months. The interest rate of 6 months is 5% and the interest rate for 1 year is 6%. I would like to compute the value of the ...
3
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1answer
117 views

Execution quality for illiquid securities

The SEC's execution quality statistics measurements (Rule 605) arguably does a poor job at measuring the execution quality of ...
4
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2answers
146 views

Nasdaq trading under the scenes: market makers, ECNs, brokers. Who buys from and sells to whom?

U. S. Securities and Exchange Commission (SEC) defines market maker as: "A market maker is a firm that stands ready to buy and sell a particular stock on a regular and continuous basis at a publicly ...
2
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0answers
90 views

Equity Index Announcement Data

Does anyone know of a data source that provides announcements of future index events (adds/drops/re-balances), specifically for equity indexes? I know these are mostly available somewhere on each ...
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2answers
136 views

Difference between Closing Price, Last traded price and Settlement Price for option contracts?

What is the difference between Closing price, Last traded price and settlement price ? I got the difference between Closing Price and Settlement price from previous post : The difference between ...
2
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0answers
58 views

Liquidity Adjusted Asset Pricing Model

I have a data set with 4000 companies and I have calculated a liquidity measure of each of the company in the dataset as Where, Turnover is the monthly average ratio of daily volume to shares ...
7
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4answers
429 views

How google finance calculates beta of a stock

How google finance calculates beta of a stock - What is the proxy for the market? - What is the time period it uses for regression?
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0answers
33 views

Min. Spanning Trees, Planar Maximally Filtered Graph US equities?

Does anyone know of any free source of recent or preferably regularly updated Minimum Spanning Trees, PMFGs or other similar maps for US equities? (S&P 500 will do.)
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1answer
66 views

Log daily returns of multiple securities for multiple time period in R

I have dataset containing daily closing prices of 5413 companies from 2000 to 2014. I want to calculate daily log returns for the stocks as according to dates as log(Price today/Price yesterday). I ...
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1answer
55 views

Computing the expected stock growth rate

I need to compute the expected growth rate of a stock given the data: financial leverage 2.0 return on assets 16% dividend payout ratio 60% I don't know how to compute it nor where to start, could ...
34
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9answers
3k views

Lévy alpha-stable distribution and modelling of stock prices.

Since Mandelbrot, Fama and others have performed seminal work on the topic, it has been suspected that stock price fluctuations can be more appropriately modeled using Lévy alpha-stable distrbutions ...
2
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1answer
76 views

Determining maximum strategy capacity and optimal order size for low frequency equity strategy

I have developed a low frequency equity trading strategy that seems to work well with stocks in the S&P 500. Someone asked me about the maximum capacity of the strategy (how much AUM I could ...
2
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1answer
122 views

Clever ways of “summarising” the equity fund universe

I am trying to get some advice or direction (brainstorm) as to the best way to summarise/cluster/etc. the equity fund universe (which for my purposes consists of about 150 funds). Some of my ideas at ...
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0answers
46 views

Looking for most current Financial API that is fast and accurate for NYSE NASDAQ AMEX OTC and PINKs

Looking to build a real time data feed, stock monitor window. Pretty much the same as equityfeed.com market viewer window, just with a few addedfeatures and or different filter columns with more up ...
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4answers
536 views

Thesis using Momentum strategies in R, tips on good books, guidelines etc on how to do the programming?

I am quite new to R and will be doing an empirical analysis of momentum strategies in R using a dataset from the index OSEAX from 1980 to 2014. The momentum strategy will for the most part resemble ...
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2answers
56 views

How can I find stocks that have had a X% price swing within Y days, sorted by recency of said swing? [closed]

Let's say that I want to find stocks that have moved +-20% within a 10 day period. ABC would match if at t, ...
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2answers
127 views

Stock Symbols: ETFs vs Real Companies

I built a trading strategy that is based on a pool of all the symbols available on NYSE, Nasdaq, and AMEX. I don't like the idea of trading symbols that are ETFs. For example, the symbol TVIX, which ...
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1answer
94 views

How to get list of large intraday movers for that day?

Is there a source (preferably free :) that provides a list of large intraday (versus pre market) movers for the day you look? I don't mind getting the list on market close. I don't need historical ...
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0answers
24 views

Is NYSE Arca an exchange or an ECN?

the US Equities / stocks market seems to be the very complicated one. And I'm trying to understand what market participants it consists of, what their roles and functions are. Also, what I'm trying to ...
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0answers
28 views

How to form Decile Portfolios based on Liquidity measure with missing data in R

I have a dataframe with over 4000 companies data (as column) and have calculted their daily Quoted spread measure ( measures liquidity for each stock) for 15 years. And then from the daily have ...
2
votes
1answer
48 views

Estimating volatility from high frequency price volume data of multiple stocks

I have price volume data of five stocks, sampled at 1 minute interval for six months. The data is quite noisy, lots of missing data and also some weired spikes. Can someone suggest me how to clean ...
3
votes
1answer
71 views

VAR of portfolio containing options, equities and forwards

If we want to calculate VAR of a portfolio using variance covariance matrix (delta normal method), containing equities, forwards and options, how do we treat each asset class for making the variance ...
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1answer
81 views

How to calculate daily risk free interest rates

I'm working on an assignment in which I need to calculate excess return for six stocks plus the S&P 500. I have computed daily logarithmic returns for every stock and for the market, I now need to ...
2
votes
2answers
92 views

Augmented Dickey-Fuller Test/ Unit Root test on multiple time series dataframe in R

I have a dataset/dataframe in which I have calculated the daily log returns of five thousand companies and these companies are as column as well. I want carry out ADF test on this dataframe. I have ...
7
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2answers
267 views

Testing for stock market herding over short periods

The literature has well established methods for testing stock market herding over a decent time window. Are there any ways that have appeared in the literature to test for stock market herding over ...
3
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2answers
137 views

Data exported from Capital IQ, FactSet, Bloomberg, Compustat

I'm looking for reliable data on US equity fundamentals, but not sure which vendor provides these features: Unlimited data export Coverage of disbanded entities (bankruptcies, M&A) Financial ...
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1answer
80 views

Portfolio of sum of two Bachelier processes

Suppose you construct a portfolio of two stocks, whose values $A$ and $B$ are modelled as a Bachelier process: $$dA = \sigma_A dW_A(t) \text{ and } dB = \sigma_B d W_B(t).$$ Each of the stock prices ...
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1answer
44 views

What is the source of the money in a leverage transaction?

An example: I have 1000 dollars, the leverage is 10x, and one stock is 10$. In casual situation I could buy 100 stocks, because I have 1000 dollars, but if I use the leverage I can buy 1000 stocks. I ...
2
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4answers
76 views

Do stocks move up and down in value or in proportion to how much they cost?

Do stocks change in value or in proportion to how much they cost? If a stock costs 100 dollar will it generally change value at the same rate as a 700 dollar stock (IE: both will move about 2 dollars ...
3
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0answers
38 views

Estimating factor returns with linearly dependent loadings

Given an $n\times 1$ vector of asset returns $r$, and a $n\times k$ matrix of factor loadings $X$, we can express the asset returns in terms of as-yet-unknown factors $f$ using $$ r = Xf + \epsilon ...
2
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0answers
72 views

Daily Hurst Exponent

I am trying to estimate daily Hurst exponent values of a stock returns (e.g. for each day to have also Hurst exponent - something like that: ...
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1answer
51 views

Notional Value in Equity Options

I have calculated the NPV of an Equity option and need to account the notional for it and have issues understanding the NPV <-> notional relation. Example: Strike price 100 Spot rate: 107.41 NPV ...
1
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2answers
77 views

How does stock buy back increase RoA of a company?

In one of the videos in Youtube which explained about stock buy backs, it was told that companies can achieve higher Return on Assets by doing stock buy backs. The explanation went like this :- When a ...
1
vote
1answer
69 views

How to calculate weight of two stocks without knowing their correlation?

I have difficulty to solve attached question. The question asks me to find new weight of stocks by just changing standard deviation of the portfolio. I really do not have any idea how to solve it. ...
3
votes
0answers
83 views

Is Low-Volatility expensive these days? How can we analyze this?

Low volatility investing became somewhat fashionable in recent years. In general there are two approaches to this Ranking stocks of a certain universe by either stand-alone volatility or by beta and ...
0
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1answer
85 views

Price of a Stock: What is it?

My limited understanding of stock prices is that according to theoretical arguments, the price of an asset is generally given as:$$P_{A}=E_{0}\,\sum_{t=0}^{\infty}\frac{C_{t}}{(1+r)^{t}}$$ whereby ...
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1answer
67 views

PPPN: premium with real market data

A few days ago, I posted a question about PPPN's (partially principal protected notes), which can be found here:PPPN: participation rate, stocks and premium. A PPPN in short is a structured product ...
0
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1answer
66 views

PPPN: participation rate, stocks and premium

I'm a student of financial engineering and am very new to all of this stuff. Now, I'm trying to make an "example of a beginners exercise", but alas, I don't have any clue on how to solve or even on ...
1
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1answer
37 views

Drivers of equity returns: dividend yield, change in P/E and dividend (or earnings) growth

In an NBIM paper I read the following: "... one can break down the total equity return into the dividend yield (the starting valuation), the change in the P/E ratio (the change in valuation) ...
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0answers
24 views

Why is preferred stock not always preferred

I was wondering why is it not the case that preferred stocks are not preferred to common stock? The reasoning is as follows: it seems that the disadvantage of holding preferred stocks is that one ...