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.

Filter by
Sorted by
Tagged with
0
votes
0answers
22 views

Where to find consensus forward estimates from the past?

I need to find the market consensus estimate values (Revenue, EBITDA, Net Income, Free Cash Flow) since 2018 for a set of publicly-traded American companies. The thing is, I can find the present ...
0
votes
0answers
10 views

Asymmetric information in capital markets: EU ad-hoc announcements/8-K filings in other countries

In many countries, companies whose securities are traded on a stock exchange are subject to an ad-hoc disclosure requirement. This ad-hoc announcement publication duty refers to the obligation to ...
1
vote
0answers
35 views

Relationship between 10 yield and P/E in Equity valuation

I've been asked this question in an interview, what's the link between a certain level of yield 10y and P/E ? for example a company with 28x P/E what that means in a yield ? Can someone help me ...
1
vote
0answers
30 views

Methods of predicting liquidity consumption

Let's consider limit order book for a certain stock. By liquidity consumers i mean traders that buy/sell shares using market orders. What are the known methods/models for predicting total amount of ...
0
votes
2answers
64 views

Does VaR calculations consider my portfolio past

I am relatively new to trading and decided to become more quantitative about it. I have had a portfolio for about two years, where I changed my positions several times. I now learnt about VaR ...
0
votes
0answers
35 views

SPY-VXX relationship

As many will know, the VXX ETN tracks a 30-day weighted maturity of the front two months' VIX futures and SPY tracks the returns of the S&P 500. Typically, SPY gains coincide with decreases in ...
1
vote
4answers
228 views

Does correlation of stocks represent magnitude?

When calculating the correlation between two stocks I get an 85% correlation. Does this indicate anything about the amount the stocks are going up (so if one goes up 10% so does the other) or just ...
5
votes
2answers
743 views

How does better informed traders apply their advantage over the others?

Let's suppose that some trader knows something, that most of other market participants don't know. That knowledge may be directly related to the stock market e.g. number of open long positions below/...
0
votes
1answer
37 views

How to simply calculate future value of periodic contributions to an index fund account?

So, for the sake of simplicity, ignoring taxes, expense ratio, volatility or anything else other than known values for the following five variables: Starting contribution (dollars) Annual ...
0
votes
1answer
59 views

Were preferred stock ever paid after common stock? -- Intelligent Investor question

In the Intelligent Investor, Graham seems to be very much against buying preferred stock as an individual investor. Graham: The typical preferred shareholder is dependent for his safety on the ...
2
votes
3answers
215 views

Stocks' returns distribution

I understand that stocks' returns are not normally distributed. However, is there any method that we can rescale the stocks' returns so they look more like normal distributions? I managed to find a ...
0
votes
0answers
67 views

What is the fastest market data feed provider for US stocks?

I'm a high frequency trader who trades alone, please what is the fastest market data feed i can get for US Stock markets?
1
vote
2answers
107 views

On moving Linear Correlation (rolling correlation)

Let's say I have two random variables $X$ and $Y$ which each represents the daily returns of two given stocks. I can easy calculate their (total) correlation by finding their covariance matrix $\Sigma[...
0
votes
1answer
64 views

Where to get datasets on stock market events/regimes and dates of them?

I am looking for a dataset that gets all events and regimes in the stock market (i.e. an event like 9/11 and a regime like Bush's presidency) and the start and end date of each item's effect on the ...
0
votes
0answers
33 views

Daily Stock Data Sources and API [duplicate]

I am looking to get stock data for various stock symbols over a period of time. I am primarily only concerned with the adjusted close price but of course any additional stock data could be useful. ...
0
votes
0answers
76 views

Base Detection Algorithm

is there any open source / commercial Java/C#/any language that has algorithm to detect base formation ?, see the base formation before Buy Point below.
0
votes
0answers
114 views

Clarifying statement on volatility, stock returns prediction, and beta

I am trying to interpret a statement about volatility and stock returns made during an interview which I really do not understand. The original task was as follows: Given a time series of the ...
0
votes
1answer
78 views

Calculate total index return given only capital gains and income returns

Given total index return for a single period can be characterized as : $$TR_{1}=\sum_{i=0}^Nw_i \frac {(p_{1i}-p_{0i}+inc_i)}{p_{0i}} $$ Is there a way to rewrite or derive a multi-period form of the ...
2
votes
1answer
100 views

Confusion with the equity option skew

In general out of the money (OTM) equity options have higher implied volatility (IV) than at the money (ATM) options. So assuming we have two put options (5% OTM and 10% OTM). Skew reveals that 10% ...
3
votes
1answer
88 views

Can a stock belong to multiple "tapes"?

My question is about the dissemination of price and quote information by the CTA and UTP (Consolidated Tape Association https://www.ctaplan.com/index , UTP https://www.utpplan.com/). I know that NYSE ...
0
votes
0answers
22 views

How do you identify top shareholders in SEC filings?

Schedule 13D is filed when a shareholder crosses 5% ownership and 13F is filed by fund managers to list their portfolio holdings. These are the only filings that I am currently aware of related to ...
0
votes
1answer
92 views

Drift rate in Geometric Brownian Motion

I have two questions regarding the drift term in the geometric Brownian motion that I cannot find any clear answers to online. When would we use risk-free rate as drift and when would we use the ...
1
vote
1answer
85 views

Literature about optimal number of stocks in a diversified portfolio

Is there any recent paper on how many assets one should consider for portfolio optimization techniques? I found: – https://www.jstor.org/stable/2330969?seq=1#metadata_info_tab_contents – https://...
0
votes
0answers
36 views

What share price to use to calculate forecast accuracy?

I've been reading about models like Thiel's-U but I can't figure out what I should use for the actual trading price. The dilemma is this: the analyst reports I’m looking at are forecasting for 12-18 ...
0
votes
1answer
69 views

Multi-stage dividend discount model using financial calculator

Instead of the wrote formula approach, this analyst shows that such problems can be decomposed into their cash flows at different points in time, which enables us to use ...
1
vote
1answer
65 views

Is GameStop is a lottery-like stock?

I am finding the evidence or reference saying that GameStop is a lottery-like stock but I could not find that. What I did find so far is: Hasso, 2021 documented that GameStop investors had a history ...
0
votes
0answers
35 views

Formulas for indicators from ThinkOrSwim

I have a set of indicators that work for my trading style with TD Ameritrade ThinkOrSwim. In my attempt to replicate these indicators, I have tried TradingView but they don't match. Where can I get ...
0
votes
0answers
33 views

Is there exist some software or package can help us calculate or directly obtain the CYQ?

The CYQ is "Distribution of chips", or called "筹码分布/流通股票持仓成本分布" in chinese. This index is widly used in china. China trading software can provide the CYQ, as shown in the figure. I ...
1
vote
0answers
57 views

How should I define a pullback in price?

Is there a standard(ish) way of classifying a pullback? For example, in a clearnomics report they have: showing 12 pullbacks of 5% (or, presumably, greater), and the same for 2000. LPL Research have ...
0
votes
0answers
19 views

What are the best ways to get open/close auction volume historical data for US equities?

I'd like to do some research on the capacity of an algo that trades US equities on the open & close auctions. For this, I'd need auction volume data, but my current data providers don't seem to ...
0
votes
0answers
32 views

Possible to Pull Individual Option Purchases through YFinance/Script?

I am trying to pull live trade data through python using yfinance, however, I cannot seem to find any sort of command that can output physical purchases of options (ex. one person purchased 4 call ...
0
votes
1answer
171 views

P/E Ratio of a stock index

I tried to find the P/E ratio of a stock index. Should I calculate the weighted harmonic mean of all constituents OR select the weighted median P/E ratio as the index's P/E? many thanks!
3
votes
3answers
541 views

Why techniques for portfolio optimization do not take into account the non-fractionability of stock prices?

In a market with 3 stocks: Stock A with price 25.00 USD; Stock B with price 32.50 USD; Stock C with price 50.75 USD; Any portfolio optimization technique results in a vector of asset weights $\...
4
votes
0answers
58 views

are there any good papers on sector-specific versions of factor models?

Does anyone know of any good papers that build sector-specific (utilities, financials, energy, etc.) versions of factor models like the Fama French 3-factor or Carhart 4-factor models? For example, ...
0
votes
0answers
14 views

Can I compare on stock price change to that of NYSE composite for determining significance

If I have stock X Y and Z, and I've tracked their daily price for a period of time. And I want to see certain events's impact on their price. I can have the daily price change in time series for XYZ, ...
4
votes
0answers
80 views

How do we know if an additional factor has improved the predictive power of a Fama French 3 factor equity model?

We're building a multi-factor model for climate risk by adding an additional factor for carbon risk on top of a Fama and French 3 factor model. This is open source at https://github.com/opentaps/open-...
-1
votes
1answer
82 views

CURRENCY ADJUSTED RETURNS: How to adjust stock returns in foreign currency (e.g., EUR) to local currency (USD)?

I have collected monthly stock returns (in %) denominated in EUR and exchange rate EUR/USD. I am trying to adjust the monthly stock returns denominated in EUR to monthly stock returns denominated in ...
0
votes
0answers
52 views

What is higher order moment of firms?

Today I read a sentence that "in US, expected market excess returns can be predicted using average higher order moments of all firms". When I read further, "higher order moments" ...
0
votes
0answers
156 views

What is the probability of touching point A first?

The probability of a stock touching a point A which is below the current spot price is 35%, and the probability of the stock touching a point B which is above the current spot price is 20%. How can I ...
0
votes
1answer
150 views

trading exit strategy

I have the following exit strategy under consideration. Suppose I have n shares of stocks that I want to sell. When the price reaches n/(n-1) of the original price, I sell 1 share. When the price ...
0
votes
0answers
23 views

Seller of performance

In a total return swap between two parties, Who is the seller of performance in a total return swap? Is it asset owner?
0
votes
0answers
37 views

How could a group investors artificially lower the price of a stock

It's well known that a group of "large" investors can raise the price of a stock with "small" marketcap simply by buying up and holding as many units of it as they can. This ...
0
votes
1answer
86 views

Compounding negative returns?

Assume you're short AAPL. Say you sold short at 24.28 as of 2016-01-01 and cover 2021-09-13 on 149.74. So your return is (24.28-149.74)/24.28 or -517%. If you get the daily returns of AAPL and just ...
0
votes
1answer
49 views

Computing the denominator of diluted earnings per share

I'm practicing for CFA level 1, and I faced this question. I don't understand the last part (802 − 481 = 321) because I understand that a company doesn't realize options of its own shares, if you are ...
0
votes
0answers
37 views

Are there any equity derivative instruments offering exposure to borrow rate optionality?

Just what the question says. I understand lots of equity derivatives have secondary exposure to stochastic rates, but I would like to understand if there is a payoff that has borrow rate as one of its ...
0
votes
0answers
25 views

How to get inventory data of brokers and lenders?

https://public.ortex.com/ortex-short-interest-data/ It says ...
0
votes
0answers
35 views

Interpretation of rebalance and reconstitute in equity portfolios of different weighting methods

What are the portfolio construction differences between equal-weighted and capitalization-weighted with regard to terms like reconstitution and rebalancing? Reconstitution seems very straightforward. ...
3
votes
0answers
262 views

What is a skew swap?

I'm watching a video where hedge fund manager Cem Karsan describes the basics of his strategy as a "skew swap". I understand that he's buying/selling index options at different maturities to ...
0
votes
0answers
148 views

What does it mean to be long the skew?

Consider an equity option such as SPY and I'm long the skew, do I make money if puts raise in price and calls decrease or the opposite?
0
votes
2answers
64 views

What is the difference between two ticker symbols for the same company?

https://finance.yahoo.com/quote/XOMAP/profile?p=XOMAP https://finance.yahoo.com/quote/XOMAO/profile?p=XOMAO Both of the above two ticker symbols are for the same company (XOMA Corporation). It is not ...

1
2 3 4 5
20