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I would like to point out a recent paper by Lewellen, Nagel and Shaken which has changed a little bit the way factor models are tested. The standard procedure was to run time series regression of a factor model on Fama&French 25 size and BE/ME sorted portfolios to obtain factor loadings, and then cross sectional regressions using $R^2$ as a good measure ...


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For calculating the AIC for factor models, I calculate the likelihood based on the multivariate distribution of the factor model. I try to make any assumptions as explicit as possible. Bayesians typically do not use the (so-called) BIC. WAIC (Watanabe-Akaike Information Criteria) is becoming more common among Bayesians. When thinking about the AIC, you ...


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They are correlated because they share a common factor, namely expectations of future economic growth. Using the framework of a discounted cash flow valuation approach; the higher cash flows resulting from higher expected growth, more than compensates for the increase in the discount rate, hence a positive correlation. Periods of high inflation or ...


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That is true. Utility would not be concave anymore under prospect theory (only for gains), but convex for losses, which is evidence against CAPM. CAPM is valid either : -if the utility function is quadratic (which is nonsense in terms of economic interpretation, and in general, Von Neumann- Morgenstern utility describes poorly reality and should be ...


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This is a good question. There are various views to this. I will share some thoughts: Higher interest rates mean lower bond prices for bonds already emmitted. Investors switchting between bonds and stocks could sell bonds and buy stocks in times of rising yields (fearing that his developement will last) which increases demand for stocks Why do interest ...


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You used the Bloomberg tag so I will assume that you have access to a Bloomberg terminal. Let's say your ISIN is FR0011671296. In the terminal, you can type: ID <Go> then type the ISIN and the security's page will open. You can then type DES <Go> to see the details. If you are in Excel, you can use the API. For example to get the underlying ...


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As you've mentioned, it depends on the trading venue and the exact market data product that you're subscribed to. Unless otherwise stated, the data is usually updated at every occurrence of an event (explains the irregualr intervals), and often, the data is not disseminated immediately and multiple events may be batched in a single message informing you of ...


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As @Louis said, from Finviz's stock screener you can filter by exchange and sort column by sector. >>> import urllib2 >>> url = "http://www.finviz.com/export.ashx?v=111&f=exch_nyse&o=sector" >>> file = open("tickers.txt",'wb') >>> data = urllib2.urlopen(url).readlines() >>> for l in data: ... ...


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The adopting release of Reg NMS http://www.sec.gov/rules/final/34-51808.pdf discusses the problem(s) they were looking to solve. That will provide the SEC's thought process.



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