Questions tagged [equities]

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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1answer
34 views

Is AAPL on both NYSE and NASDAQ?

https://www.nyse.com/listings_directory/stock I can find AAPL on the above page. But I can also see it on NASDAQ. https://www.nasdaq.com/market-activity/stocks/aapl https://finance.yahoo.com/quote/...
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12 views

Fama-French 5 factors and Carhart Momentum in the UK

I would like to model the five factors in the Fama-French model in the UK, and then compare it with a six-factor one including the momentum factor. Unfortunately, I do not know where to find the data ...
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1answer
72 views

Bloomberg API / Excel Add In - Delisted Stocks

So I am using the Bloomberg Excel add in but can also use the API. My dilemma is I have a list of tickers containing SP500 historical constituents and I have retrieved 600 of them from an alternative ...
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20 views

How to get the most accurate number of float shares?

I am trying to check the number of float shares for an example of PGEN. https://www.floatchecker.com/stock?float=PGEN yahoo: 78.65M finviz: 178.03M TD Ameritrade: 178.0M Morningstar: 93.98 Mil WSJ: ...
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48 views

What aspects of fundamental, technical, and market factors apply to a cryptocurrency like Bitcoin?

The price of a stock is driven by fundamental factors, technical factors, and market sentiment. If we were to list this combination of drivers it might look like this: ...
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1answer
187 views

How to model stock price for a monte carlo simulation with fat tails and asymmetric risk

I'd like to create a monte carlo simulation to determine the future price of a stock or index with a certain confidence level. I've seen examples of this described using lognormal returns but I'd like ...
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1answer
47 views

Sources for historical financial ratios?

I wanted to know if there are any sources for historical financial ratios for Indian equities? If yes please share. Thank you.
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1answer
72 views

FCFF of a stock and its derivatives

This is the table I have: I want to use the $FCFF$ to calculate the stock price, when I did this using the $DDM$ I got $£16$ as the stock price. I've never used FCFF before but I know there are a few ...
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65 views

Inaccurate data from quantmod

For some reason getSymbols is returning inaccurate data for the below symbol. Example for this data in the high column the price went from 35 to 3515 between 2021 feb and 2021 march 16th. ...
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1answer
73 views

How to get Adj.Open, High and Low prices?

I am trying to get adj.Open , adj.High and adj.Low prices. Most data sources like yahoo and google finance provide only adj.close price. Is it possible to derive other adj. prices using close and adj....
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2answers
49 views

Find current and historic (15 years) delistings in the US stock market

I wonder if there is any source for the following information concerning stock delistings in the US stock market: date and stock symbol of the delisting (required) covers at least 15 years history (...
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26 views

Theoretical reasons for the difference in share price when estimated with DCF-Analysis and DDM

I saw that when estimating the share price with DCF-Analysis (Discounted Cashflow Analysis) and with DDM (Dividend Discount Model) the estimated share price happens to be different sometimes when ...
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1answer
24 views

Reason for difference in share price between DDM and ERM? [closed]

I've calculated the Share Price of a fictional company both using the Dividend Discount Model (DDM) and the Earnings Recapitaliazation Model (ERM). However, the share prices differ significantly ...
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32 views

How to build Fama-French model factors SMB and HML to compare sustainable index to conventional benchmark?

My goal is to analyze and compare the performance between socially responsible indices and conventional ones. I am comparing for each region (Europe, UK, World, US) a sustainable index to a ...
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2answers
220 views

Is it a problem that there are so few stocks in the generalized Black Scholes market? [duplicate]

In the standard Black Scholes market there is only one stock. In the generealized market there can be a finite amount, but my impression is that there are few stocks in the market. The real world ...
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25 views

Adjusted close time series: Frequency of historical updates

When working with stock market data for strategy / analysis purposes, I am well aware that I have to distinguish between unadjusted and adjusted prices. I understand that historical adjusted prices ...
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22 views

Testing alternative null hypothesis in simple linear model? - R

This might be a rookie question, but how does one test for H0 = 1 instead of H0 = 0 using the LM() function? My use case is to test whether beta is significantly different from 1 in a CAPM model in R. ...
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2answers
146 views

Select top $n$ most correlated assets in universe

I know this questions is a bit ambiguous, but I guess that's natural. To put it simply: I have a universe of around 600 stocks. How do I find the top $n$ "most correlated" assets? At the ...
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1answer
39 views

How to handle cash from financing in a DCF model? [closed]

I am building a valuation model for a public pre-revenue company (biotech). The company is going to have ~$600M in R&D and SG&A expenses over the next 4 years, which it is going to finance ...
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38 views

Convert stock symbols so that they are useful for Yahoo Finance (yfinance)

I am working on my first investment algorithm, and I am using the following list of stock symbols and company names: https://public.acho.io/embed/...
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2answers
591 views

Term structure of Equity returns

What is the meaning of term structure of equity returns. I know what term structure of interest rates means, but somehow i cant seem to relate them. Also, how would we measure them? Also in this paper ...
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35 views

Calculating performance decay of a strategy

Came across this thread which basically advises t-test for difference in means across periods to calculate whether our edge is deteriorating. The catch being that this test will probably not be ...
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24 views

GET REAL TIME CURRENCY EXCHANGE RATE [duplicate]

I need to get currency exchange rates in real time, every seconds. On websites or when using APIs, the rates are only updated every minutes, or every 30s... Is there any way I can get these datas, ...
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1answer
68 views

Bad plots in python, good plots in excel

I am wondering if you could solve the mystery about why matplotlib / seaborn give me a line plot of the IBM stock price, which is terrible as you can see below, with some vertical lines that are of ...
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1answer
80 views

Autocall- equity/funding correlation

Could someone explain how the price of an autocall changes with equity/funding correlation, please? I have sometimes heard that the trader who sells an autocall is long equity/funding correlation but ...
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1answer
56 views

High Beta, low specific risk, and no leverage?

My risk model shows a Beta of 2 for the stock APTIV (maker of car components). The model looks at the past 3 years with no decay. Total vol is high but specific vol is very low. Typically when this ...
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0answers
18 views

Where to find a list of all the operable exploration / mining companies conducting operations in Canada [closed]

Looking to create a database firstly of all the exploration / mining companies conducting research in Canada. TSX and TSX-V have very nice spreadsheets with several filtering operations, which is very ...
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0answers
57 views

How to calculate if a portfolio has diversification

I writing a paper and wanted to know the best way, method or theory to know if a portfolio is diversified. To give you some context, I wanted to know if whether putting Bitcoin into a portfolio with ...
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0answers
61 views

Inference on Stock Returns (Newey & West t-statistics)

For my project, I want to determine if the yearly returns of some decile portfolios (calculated with the monthly returns over the last 50 years) are not significantly different from my predicted ...
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1answer
93 views

Compounded returns over $n$ days

I have calculated the daily returns of a certain stock. They can be analytically described by a 3 parameter Student's $t$ distribution whose density function is $$f(x)=\frac{\left(\frac{\nu}{\nu+\left(...
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41 views

A question referring equites and beta

Let's say stock A has a beta of 1.32 and stock B has a beta of .8. Is it okay to say that, stock A moves 32% more than the market? And Stock B moves 20% less than the market?
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1answer
91 views

Error in has.Ad(x) : object 'BRK' not found

I am trying to merge a list of adjusted closes of a multitude of firms for my research on ESG, in relation to risk/reward. None of the firms seem to have a problem, except for the Berkshire Hathaway ...
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48 views

Different tickers with the same ISIN are the same - even if stock price is different?

I'm a little confused about this. Say there's a ticker I'm interested in called A ("Company Holding AG") @ \$1.2. I search for ...
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1answer
44 views

Will an options contract always be worth more than it's intrinsic value ? Also if it's very expensive, will it be hard to sell? [closed]

So I'm wanting to know if my call option will be worth more than its intrinsic value and also if lets say it ends up being worth 20k will people be buying it on the market ?
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1answer
62 views

Building a fundamental equity scoring model based on data from Bloomberg

I have identified around 20 interesting statistics for a universe of stocks, regarding metrics of size, growth, valuation, quality, risk. Think market cap, free float, average daily volume. The ...
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1answer
54 views

Where can I find the list of companies in US that have defaulted

I am trying to find a list of US companies that have defaulted in the recent past .Any link for this?
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26 views

Get a list in R or Python of all companies that trade in US & Canadian Currencies

I've come across several companies on yahoo finance that trade in USD and CAD. For instance, NVMDF and NM.CN are the same ...
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2answers
222 views

Stock borrow cost timeseries

I am looking to increase the robustness of some equity strategies that I am working on. Apart (maybe) from brokers is there anywhere online (and preferably for free) that has historic stock borrow ...
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1answer
134 views

MSCI World and MSCI World future: low correlation, how come?

Noticed today that hedging the MSCI World (NTR, div reinvested) by shorting it's very own future (same underlying index, also NTR) leaves a lot of active risk. This is explained by low correlation ...
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1answer
47 views

Why did Nifty50 close at 15557 when it was at 15582 at 3:30 pm IST? [closed]

I am a student and trader. I was recently interested in f&o trading recently, so I decided to enter with a hedge strategy. I saw the market go in my favour as the clock reached 3:30 and Nifty was ...
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0answers
52 views

Are there any APIs to retrieve stock buybacks and dividends to calculate ERP?

I'm in the process of building a Python library to value stocks using a FCF model and one of the first steps is calculating an implied equity premium. I know there a few ways of doing this, but ...
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29 views

How to calculate sales value from financial statement

I need to calculate Sales from Revenue and other metrics available in financial statements provided by publicly traded companies. Specifically I need to reproduce the metric available named Sales Q/Q ...
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2answers
188 views

Global stock market valuations

I am looking for reasonably up to date resources on global stock market valuations by country, using e.g. CAPE and PE. In the past I have used this resource: starcapital.de, but the updates have been ...
2
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1answer
228 views

Fourier transform for stock price forecasting

I am trying to forecast stock prices using Fast Fourier Transform, and plot historical, "future" (i.e. real) and forecast prices on the same chart to visually compare the accuracy of the ...
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3answers
148 views

Tech companies valuation

Usually tech companies/stocks are valued using one of the two methods: DCF (discounted cash flows) method that is sensitive to interest rates raise (if rates up value down) EBITDA or revenues ...
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1answer
74 views

Equity risk premium and the earnings yield

I am trying to understand the relationship between the risk-free rate $R_f$ and the earnings yield of equities. I have read that an increase in $R_f$ leads directly to a decrease in the equity risk ...
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1answer
187 views

Second by second stock data from Bloomberg API (or anywhere else that is free) into Pandas Dataframe

I need to compile stock price data for ADR and ORD pairs (and the currency between them) into a Pandas dataframe. My initial plan was use Python's requests library and a free Rapid API account to get ...
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1answer
395 views

What are the “sniffing” or “stalking” algorithms?

I was looking for all the sorts of trading algorithms used in stock market and I came across the so-called "sniffing" algorithms. However, the explanations of this concept I found are very ...
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39 views

Rebalancing market-cap-weighted investments

I've just (hypothetically) invested $1m in two market-cap-weighted global equities tracker funds: one large+mid-cap tracker and one small-cap tracker. Both are of an accumulation share class, and I ...
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38 views

Estimation of time series using GARCH on Eviews

Firstly I should mention that I am new to both Eviews and GARCH models. Anyway, I am conducting some research into the effect that different macroeconomic factors have had on stock index volatility ...

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