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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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Type II error share price event study

I have a question regarding the type II error for a specific event study. It is a case study (i.e. one observation) with daily share prices. I want to test whether event day abnormal returns are ...
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22 views

What are the implications of the random walk hypothesis? [duplicate]

If RW hypothesis holds true for a particular market or stock, what does it mean in terms of returns and log-returns autocorrelation and predictability? For instance, if prices are RWs, then the ...
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1answer
29 views

“J” message type in Nasdaq ITCH Totalview sample file

I am trying to parse the uncompressed file 10302018.NASDAQ_ITCH50 (from ftp://emi.nasdaq.com/ITCH/10302018.NASDAQ_ITCH50.gz). There is a strange message type "J". The spec (https://www.nasdaqtrader....
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17 views

Mean model selection in GARCH modelling

I'm modelling the volatility of returns for a NASDAQ-traded stock using a GARCH approach. I chose an ARIMA(1,0,0) with drift (based purely on AIC) as the mean model for the logreturns. My question is ...
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48 views

Volatility Managed Strategies for Bond Portfolios

I tested a VMS on 2 portfolios, proxied by Equity and Bond. The Sharpe ratio for the Bond portfolio is -0.19, compared to 0.48 for Equity. I was wondering what the economic intuition is behind the ...
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1answer
48 views

Delta hedging with futures

If I trade a futures roll on S&P on two futures contract, say 100 contracts of dec vs mar roll. Do I have any residual delta to hedge? I see small residual $ delta, should I hedge this?
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57 views

Machine Learning + Financial statement reports + Stock predictions. How to deal with financial data entries?

My question may require some very specific domain knowledge. I will be absolutely thrilled if someone who possesses this knowledge/experience is here to help. Context: I am trying to use machine ...
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35 views

Time series modelling of interest rates

I am currently modelling some interest rates using standard time series methods and was wondering whether one usually takes the log differences of interest rates as one does in equity modelling. My ...
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1answer
41 views

Variance Swap : dividends and rates

In a simplified world you can assume that the var swap is replicated by a continuous set of calls and puts and interest rates are equal to zero. So your PNL is only sensitive to the volatility. But in ...
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0answers
58 views

Simulating assets of different currencies

I have a situation as follows: One year call option on a Euro stock with a Euro denominated strike. Knock in feature as follows - The option can only pay out if the growth in the Euro stock over ...
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4answers
80 views

Sending order to Forex or Stocks from Python strategy

I have my own strategy developed in Python. But I couldn't find a reliable method to send, close, and modify orders using Python. Are there any tools that help order management using Python? I also ...
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1answer
37 views

Where can I download for free the entire price history of the nasdaq composite and s&p500 indices? [duplicate]

I would like the entire price history of both these indices at an end-of-day level, not intra day. Is there an R api that I can use for such an exercise?
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Where to download data sets of historical volume or number of transaction of stock? [duplicate]

I have search many websites, but most of the website only provide the historical price data of stocks. Any suggestion website which provide data of historical volume or number of transaction of stocks?...
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1answer
25 views

How to add Ticker column to Quandl API call?

I was curious how I would get this same data, but also with a column with a ticker column (e.g. FB)? https://www.quandl.com/api/v3/datasets/WIKI/FB/data.csv?&start_date=2014-01-01&end_date=...
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1answer
92 views

How is the performance measure computed here?

The image is from John C Hull Textbook titled Options, Futures and Other Derivatives ( page 407 - Ninth Edition). The table above was obtained after computing the delta of stock price, shares ...
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1answer
127 views

Delta One Trading business [closed]

I don't really know what exactly Delta One desks are doing. So I was wondering if anyone was kind enough to share any papers, articles, blogs that kind of explains Delta One trading Desks activities ...
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1answer
74 views

How does Kenneth French create the industry portfolio returns?

Kenneth Frenches Data Library includes industry portfolios. Is this done via a software of some type. I have some stock returns but I want to calculcated the returns of the industries in the ...
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1answer
50 views

Gordon's dividend valuation model: Ignoring optionality

Currently studying some papers on Behavioral Finance (the dividend puzzle), which employ some basic valuation models, calculating stock's fundamental value $P_t$. The most known is the discount of ...
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0answers
21 views

Which stock price to take for historical ratios in stock screener (EPS etc.)?

We are currently testing a stock screener that we built and want to implement historical ratios in there too - this is working already for all ratios that don't require stock prices (so all ...
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0answers
65 views

Does Academic Research Destroy Stock Return Predictability?

McLean/Pontiff (2016) give evidence that portfolio returns are 26% lower out-of-sample and 58% lower after publishing an academic paper on variables, which are likely to predict cross-sectional ...
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1answer
70 views

selecting key performance indicators for a stock

Say, I read a financial statement of a company, and it reports, maybe 20-30 metrics, both generic, like revenue, free cash flow and specific to the company, like iphone sales etc. Is there a ...
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0answers
97 views

Regarding the post-facto predictability of stock market returns

Almost all of the research on equity factor investing deals with a priori predictability of the cross-section of stock market returns (i.e., models which use variables and data that would've have been ...
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0answers
70 views

Why does computing correlation between index levels vs. percentage changes yield completely different results?

I am examining the relationship between the S&P 500 and the Industrial Production Index. Computing the correlation between these these variables yield vastly different results if expressed in ...
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2answers
64 views

Calculating excess returns

I would like to know if I am calculating these excess returns correctly. I have here an R dataframe with weekly 3-month treasury bill rates, and the arithmetic ...
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0answers
15 views

suggestion for NDX volatility index prior to 2000

NDX index is available since 1984 in Bloomberg. There's VXN index that represents the implied volatility of NDX, which is available since 2001. I need some index or series that represents implied ...
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0answers
8 views

Research on the performance of listed subsidiaries

Some countries (India, Pakistan, Nigeria, among others) seem to force multinational corporations that do business there to list the local operation on the national stock exchange and to let public ...
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1answer
46 views

How does inflation impact stock returns? Academic examples

For a literature survey in my university class, I have been asked the question "How does inflation impact stock returns?". After reading some informal articles (in periodicals/ the general internet), ...
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0answers
52 views

reconstructing Russell 2000 returns

I have a historical list of index components, so I'm just adding up market caps of those to get a proxy for the index. However, when I check it against Bloomberg, my returns are consistently higher - ...
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1answer
46 views

Bond and Stock Relationship

Is there any formulair relationship between the price of a corporate bond and the stock on the same company?
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2answers
74 views

Order books theoretical price

Suppose we have the following bid/ask spread for a particular stock: What is the theoretical value of the stock? Now suppose we have: What is the theoretical value of the stock? Now suppose a ...
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1answer
98 views

Cost of equity proper way of calculation

Dear Community members, I need to calculate cost of equity following the following description: (Please, correct me if I misinterpret the meaning) "The annualized cost of equity, re(t), is ...
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1answer
42 views

API for Earnings date

Is there any API for getting past/future earnings date for a specific symbol? I tried TDAmeritrade API, Ally and IEX, none of them provide this information yet.
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0answers
12 views

Adding volume information to calculation of volatility

Is there a method to add volume information to the calculation of daily volatility for an equity? Standard measures, just assume all trading days are the same and use SD to get the volatility, ...
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0answers
28 views

What price should be used in calculation of daily return

With OHLC data in hand, what price should be used to calculate the daily return? Some models use daily close price, but I don't think that's a reasonable assumption considering practical changes in ...
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2answers
93 views

P&L Calculation of Option Strategy

I have designed a call writing option strategy, where I am rolling the options upon expiry, i.e., my portfolio consists of one short call position at any given time. I have a time series of the value ...
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1answer
65 views

Getting index sectors historical weightings from Bloomberg

I want to know how to download an index sectors' historical weightings from Bloomberg. For example, S&P 500 is comprised of Telecom Svc, Materials, Utilities, Energy, Consumer Staples, ...
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2answers
88 views

What is the impact of inflationary expectation on stock price?

It is well known that, at least theoretically, stock prices are expected to rise in an inflationary environment. Now, my question is that does the same go for inflationary expectations; for example if ...
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0answers
19 views

Simulating Taxed Equity Return Series (U.S.)

I'm looking to learn how to correctly simulate taxes on dividends and capital gains on simulated return series for U.S. Equities with dividend reinvestment. I understand I will have to keep track of ...
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0answers
42 views

Fitting hedge fund returns to probability distributions

I know that a lot of work has been done characterizing the first four moments of monthly hedge fund returns across a variety of fund types and strategies, and that work indicates that the higher ...
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0answers
46 views

Pricing a preferred share

I am looking for references for models which price preferred shares. What are the classic pricing papers?
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1answer
89 views

Exclusion of Utilites and Financials in Magic Formula

In Joel Greenblatt's magic formula, see https://en.wikipedia.org/wiki/Magic_formula_investing, why are utilities and financials excluded? What is the reasoning behind this?
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0answers
217 views

Newey-West standard errors in Fama-MacBeth regressions

I noticed that during the recent decade most of papers, which use Fama-MacBeth regressions compute Newey-West standard errors. I tried to find detailed description of this procedure in the books on ...
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0answers
34 views

Seeking papers on multi-factor models on the equity long short hedge funds

I am seeking papers that use regression & multi-factor models for equity long-short funds. I am interested in understanding the funds' behavior and exposure to various factors using some ...
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1answer
69 views

Correlation among different sectors of the market

It is known that many sectors/industries within the stock market are correlated with each other. For example, using VIF as a measure of correlation, I have the following result: ...
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0answers
23 views

Identifying primary share class of U.S. firms and deleting excess observations

I have a fairly large dataset of CRSP firms with their daily closing prices from 2006 till 2017. I need to filter the data so that I have one daily observation per unique firm. I've identified the ...
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1answer
103 views

EOD historical data

Apologies If I'm not posting in the right area. Currently I'm using eoddata.com to get pricing data for the US market. Although not always 100% in pricing, I'm quite happy with it. There is another ...
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1answer
106 views

How to model High/Low prices for Stocks with Monte Carlo

I'm using monte carlo simulation to model stock paths and measure risk, but I was wondering if there is a way to simulate the full bar/candle chart with open, high, low and close prices , as I'm only ...
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0answers
15 views

For which companies reported/consensus revenue matters?

Is there a good heuristics to figure out the answer to this question? I.e. I don't want to regress revenue reported on subsequent returns.
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1answer
41 views

Risk attribution model without weights data

I was just wondering if there are risk attribution model that does not require the asset weights data. It appears that most risk attribution models do require asset weight data. I am looking for model ...
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1answer
168 views

Backtesting Fundamental Equity Strategies in Python

I am trying to run a local backtest using Python and Zipline seems to be the most popular package out there. Does any one have isnight on ingesting fundamental data for the backtest? The documentation ...