The returns tag has no wiki summary.
2
votes
3answers
409 views
How to annualize dividends paid at varying intervals?
I am attempting to write a function that will calculate the annualized rate of return for individual dividends made by illiquid investments. These dividends are paid at varying intervals and the ...
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 ...
6
votes
0answers
125 views
How to estimate the following model?
Suppose I have the following model:
$$r_t=\sigma_t * \epsilon_t$$
where $r_t$ is the return at time t, $\sigma_t$ is the volatility, the model used to model this volatility is an exponentially ...
4
votes
0answers
115 views
Is it more accurate to analyze returns on a calendar day basis than a trading day basis?
I'm rather new to the actual practice of this kind of analysis, but it just seems wrong to me to throw Mondays' returns in with the rest without accounting for the passage of time on the weekend when ...
2
votes
0answers
49 views
Event studies using revenue data vs. measuring abnormal returns
This may be a silly question, but does there exist a methodology for examining the impact of "events" on companies that are not publicly traded? I suppose it would look at abnormal revenues rather ...
2
votes
0answers
77 views
Probability Density of Returns of Bonus Certificates
Could anyone please help me with the following?
I need to generate a histogram (resp. probability density) of returns of a bonus-certificate.
A bonus-certificate can be replicated by an underlying ...
0
votes
0answers
63 views
Volatility of a rolling window strategy
What methods can be applied to determine the volatility of strategy using a rolling window? Using normal standard deviation would bias the results as the returns will be highly correlated. Although, ...
