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.
0
votes
1answer
24 views
How to adjust local currency returns to US$/EUR return?
Iam doing research on return characteristics. As of today the scope of the research has changed from a local investor point of view to an international investor point of view. This basically means ...
1
vote
1answer
2k views
How to calculate equally weighted market portfolio
There's two studies that test the same thing in different markets (i.e. they apply the identical methodology). They state:
1) "$R_{mt}$ is the equally weighted average stock return in the dual-listed ...
-3
votes
0answers
63 views
Calculating Earnings Per Stock from Financial Statements [closed]
Given the Earnings Per Share formula:
EPS = Profit – preference share dividends / weighted average of ordinary stocks outstanding
How does one calculate the ...
2
votes
1answer
136 views
What exactly is an ISO order?
I have been looking this up and I feel like I keep running into different definitions. My understanding is that an ISO order is one which will get filled with the displayed quantity in a particular ...
2
votes
2answers
163 views
Calculating Geometric mean
I need to annualize daily returns for about 120 firms for over a period of 10 years. I chose to calculate the geometric return because 1) it is the actual return 2) to avoid the asymmetric effect of ...
-1
votes
0answers
14 views
What does it mean when someone says “FTSE closed at xxx today” [migrated]
I'm a complete "noob" in the field of finance/economics. However, I have been advised to learn the basics so I have sat down and started reading about various stuff.
Now, I always hear on the TV or ...
3
votes
1answer
54 views
Can Central Index Keys (CIKs) issued by the SEC be reassigned?
Suppose company A has CIK 0000012345 and ceases to exist. At some later time, company B registers with the SEC to submit filings.
Is it possible that company B will be assigned the same CIK ...
1
vote
0answers
56 views
Modelling long run relationship between dividend and earnings
I am working on a paper where I have to model the long run relationship between earnings and dividends. I have downloaded the raw data from shillers website. I have converted the series to ...
1
vote
1answer
86 views
How to deal with different amount of td's in computing Sharpe Ratio
In calculating the Sharpe Ratio, should I take into account the days were I have 0 return due to non-trading day? Another user posted a similar question but this was related to trading days with no ...
3
votes
3answers
950 views
Why does the adjusted closing price take into account dividends?
I'm trying to get an intuition as to why the adjusted closing price includes a dividend adjustment:
\begin{equation}
1 - \frac{dividend}{close}
\end{equation}
I understand why the adjusted closing ...
2
votes
1answer
100 views
OTC Equity Options' Dynamics
This only applies to options that do not have marketable equivalents since margin can be marked to them.
I've never been able to find this on my goog.
How is margin typically calculated for OTC ...
6
votes
3answers
266 views
Scanning a stock database for errors/flaws
I'm currently working on some matlab code that is supposed to check a stock database for any errors (missing values, wrong values, etc.). The reason for this is that after reading this post I came to ...
11
votes
4answers
2k views
data on historical stock price of bankrupt companies
does anybody know a site where I can download historical data on stocks including companies that have gone bankrupt such as lehman brothers?
it appears that bankrupt companies no longer appear in the ...
2
votes
3answers
171 views
Leveraged and inverse leveraged ETFs - what is the exact defintion?
I just had a quick look at the daily returns for a few pairs of leveraged ETFs - it appears that the percent daily returns do not match perfectly. For instance, looking at FAS/FAZ, the returns for the ...
1
vote
3answers
120 views
Quick way to check what 'tape' a stock belongs to?
For the SIP feeds, there is the CTA and the UTP plan and they cover Tapes A,B and Tape C respectively. Is there an easy way to check on google what tape a stock would belong to? Particularly when it ...
1
vote
1answer
127 views
Regression giving the return on a stock
I have this regression equation:
$$
R_{stock} = 3,28\% + 1,65*R_{market}
$$
Where $R_{stock}$ is the expected return on a stock and $R_{market}$ being the market risk premium.
I have a one-year ...
16
votes
7answers
1k views
How to design a custom equity backtester?
I was thinking about writing my own backtester and I realize I have to make some assumptions. So I was hoping I could post what I am planning on doing and hopefully some of you can give me some ideas ...
8
votes
2answers
483 views
Why do low standard deviation stocks tend to have superior future returns?
I've recently stumbled on something that really surprised me. These papers (1, 2) find that past standard deviation of returns is inversely related to future returns. That is, portfolio of low ...
12
votes
5answers
2k views
Is the stock price process a martingale or a Markov process?
Some people claim that the data-generating process for stocks is a "martingale" and that is has the "Markov property".
Are they unrelated? Is it that the Markov property implies some sort of ...
4
votes
2answers
408 views
Cointegration trading: Ignoring pairs that aren't economically related
Cointegration trading question
What's the state of the art when it comes to choosing proper subsets of stocks/assets where cointegrating relationships aren't ignored as (likely to be) spurious?
For ...
10
votes
2answers
557 views
Missing step in stock price movement equations
Assuming a naive stochastic process for modelling movements in stock prices we have:
$dS = \mu S dt + \sigma S \sqrt{dt}$
where S = Stock Price, t = time, mu is a drift constant and sigma is a ...
1
vote
1answer
87 views
Pricing forward contract on a stock
Please tell me where I've gone wrong (if I did in fact make a mistake). I'm pricing a long forward on a stock. The usual setup applies:
This has payoff $S(T) - K$ at time $T$.
We are at $t$ now.
...
4
votes
1answer
1k views
How to simulate stock prices with a Geometric Brownian Motion?
I want to simulate stock price paths with different stochastic processes. I started with the famous geometric brownian motion. I simulated the values with the following formula:
...
0
votes
0answers
136 views
End of Day Market Data (One Minute Interval) for Commercial Purpose [closed]
I am developing a website and looking to use end-of-day data to calculate technical indicators and display them on it.
Please provide any financial data vendor that provides above mentioned data for ...
6
votes
3answers
471 views
How to calculate compound returns of leveraged ETFs?
Forewarning: this is a complete newbie question :-)
I am starting to learn about ETFs by trying to do the numbers. When learning about the compounding effect in leveraged ETFs, I wanted to simulate ...
3
votes
0answers
60 views
Individual/casual investors and the bias towards blue-chip stocks?
There's quite a bit of research (example, [1]) teasing out the fact that home/casual/individual investors prefer stocks with large positive skewness. It surprised me, as I was reading a bunch of these ...
8
votes
1answer
534 views
Forward Adjusting Stock Prices?
How should one correctly forward adjust historical prices given a time series of Open, High, Low, Close, Return?
Suppose that the data series is given below ('1' is the oldest interval; '5' is the ...
6
votes
1answer
168 views
Alternative liquidity measures
I'm going to write the MSc thesis on flight-to-liquidity phenomenon in stock markets and I'm interested in liquidity measures other than Amihud or bid-ask spread.
What are some other popular measures ...
3
votes
1answer
199 views
How to calculate probability of touching a take-profit without touching a stop-loss?
How to calculate probability of touching a take-profit without touching a stop-loss (no-dividend stock, infinite time)?
1
vote
1answer
183 views
equity linked notes (bull/bear equity performance bonds)
I have to price what my lecturer calls "Bull and Bear Equity Performance Bonds". Basically there's dates $t_i \in [0,T]$, where $t_i - t_{i-1}$ is the same for all choice of $i$. On each date the bull ...
2
votes
1answer
99 views
Historical data on short rates
I would like to backtest a short-equity strategy. I'm looking for historical data on the availability of shares and cost to short certain stocks. Does anyone know of such data being available ...
3
votes
2answers
120 views
Can money technically flow in and out of stocks or asset classes?
For every buyer, there is a seller. Money can't 'flow' in and out of a stock, only the price changes. Is this applicable in the context of asset classes, for example, money market funds versus stocks? ...
5
votes
0answers
114 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 ...
5
votes
2answers
125 views
Economic contagion to individual stocks (ideas for analysis)
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 ...
6
votes
3answers
283 views
What is an acceptable error on implied volatility?
Given an implied volatility surface (on equity indexes) and a calibrated model, what is the range of error on implied volatility a trader would accept ?
This obviously depends on the model used to ...
10
votes
3answers
1k views
Hedging stocks with VIX futures
It seems that VIX futures could be a great hedge for a long-only stock portfolio since they rise when stocks fall. But how many VIX futures should I buy to hedge my portfolio, and which futures ...
11
votes
3answers
1k views
Free intra-day equity data source
Are there any free data source for historical US equity data? Yahoo finance has daily prices but I'm looking for something more granular and goes back 2 or more years (doesn't have to be close to tick ...
4
votes
1answer
447 views
SP500 sector weights - how do they change?
The weights of the nine S&P equity sector indexes vary over time. One can find measures of them in a number of different formats:
S&P 500 Sector SPDRs - historical sector weights
Here's ...
4
votes
2answers
154 views
Indexes/stocks with flat implied volatilities
After the 1987 crash, the S&P500 index implied volatility changed from nearly flat to negatively sloped. According to Rubinstein the Black-Scholes model was not so wrong when applied to the ...
3
votes
1answer
371 views
Commerical delayed stock quote feed that is redistributable?
I'm looking for a commercial delayed quote feed that will allow us to distribute delayed US stock market quotes to the public (ie. that will allow us to display US delayed quotes on the Internet). We ...
0
votes
2answers
418 views
How do I calculate weighted mean with negative weights?
I need to display in my system the amount of stocks that I own and the average price it took me to buy them. I am having a problem doing that when I include the selling.
Lets say I bought 4 stocks ...
3
votes
3answers
612 views
How to normalize different instruments by volatility?
I'm trying to think on a way to normalize stocks to be on the same scale depending on their recent volatility.
Is there some theoretical reference on the subject or and experience you can share?
1
vote
1answer
119 views
transaction size and liquidity in simulation of US stocks
i am developing a simulation trading in US stocks.
i have 1 transaction a day per stock, assumed for simplicity to be executed at the daily closing price.
in order to determine a reasonable maximal ...
14
votes
7answers
4k views
Any known bugs with Yahoo Finance adjusted close data ?
Yahoo Finance allows you to download tables of their daily historical stock price data.
The data includes an adjusted closing price that I thought I might use to calculate daily log returns as a ...
4
votes
1answer
196 views
What is the relative performance of hard-to-borrow securities?
Is there any research on the equity return performance of hard-to-borrow securities?
Many shops will simply screen for hard-to-borrow and eliminate these names from their short book.
Anecdotally, ...
3
votes
1answer
386 views
Science behind options pricing into Earnings event
I am wondering about studies regarding the uncanny options pricing into public company's earnings reports.
The phenomenon being that the price of a straddle before earnings costs near exactly the ...
6
votes
1answer
130 views
Estimate price movement per unit of volume for daily data
I'm working on backtesting a number of stock trading strategies and need to estimate how much the execution price will likely deviate from the historical close price for that asset using daily data; ...
2
votes
3answers
277 views
Why should there be an equity risk premium?
After years of mathematical finance I am still not satisfied with the idea of a risk premium in the case of stocks.
I agree that (often) there is a premium for long dated bonds, illiquid bonds or ...
-3
votes
1answer
125 views
Methods for distributing cash into allocation
Are there any methods/techniques that cover distributing cash into a specific percent of a portfolio asset class while gaining the best average price?
As a simple example, a portfolio starts with ...
8
votes
4answers
366 views
Position management in presence of continuous forecast
Let's say we have an equity liquidity-providing model that was fitted on 1 minute bar periods. The model forecasts the 1-min next period return given the activity of the previous bars. Now, when we ...
