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
109 views

Is it pretty easy to predict the stock market from price/sales?

Except the recent boom (entirely driven by tech) isnt the stock market just an oscillator around quarterly price to sales? I'm getting like 25% explained variance just from that. The returns are close ...
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15 views

Sector Contribution Analysis

I am trying to conduct a sector contribution analysis of a certain mutual funds. But I don't quite understand the logic. I am given these datasets. stock universe dataset.(it is a dataframe ...
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2answers
54 views

How can you use factor modelling to improve your current portfolio [closed]

Firstly let me apologise if this has been asked on on here before - I went through some of the factor modelling post on here but I've struggled to find the answers. I am new to the quant world and I ...
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0answers
50 views

Has AlphaVantage stopped NSE stock quotes data? [closed]

I have been using AlphaVantage to get the historic data for NSE stocks (NSE= National Stock Exchange of India Ltd.). But since past 1 month the API has stopped returning data for NSE stocks. It ...
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2answers
53 views

Affordable NASDAQ/NYSE Tick-By-Tick

I am looking for a place to get all NYSE/NASDAQ data for every trade (price/size) on a particular ticker. The data can be delayed by minutes/hours. I am a student and am trying to use this for a ...
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1answer
41 views

Do corporate events happen intraday?

Does any corporate event that affects the stock price/shares outstanding happen during the trading session in vanilla US Common stocks or predominantly at night ?
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11 views

“ugarch” roll from “rugarch” not working in source()

I have an automatic rolling GARCH forecast using the rugarch package in R. It is stored in a file GARCH.R. When I try to run the code using source('GARCH.R'), I get ...
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1answer
21 views

Difference between Order Expire and Order Done for Day (DFD)

Whats the difference between Order Expire and Order Done for Day (DFD) ? In general and from FIX protocol point of view.
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1answer
58 views

Equity Risk Premium calculation [closed]

Can someone help me understand the intuition of the following? The formula for calculating the nominal return is: I have the following problem for which I know the answer is A (5.4%). I was told it ...
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0answers
44 views

Downloading Historical Data from Finam.ru

I am looking for free historical intraday data (e.g., 30 mins, 1 hour) and I have came up to this website finam.ru, which is in Russian but it can be translated. The link to download the data is here. ...
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1answer
32 views

How to download full daily historical data of MSCI AC Asia Index

I'm trying to download the daily historical data of the MSCI AC Asia Index. I've been testing different combinations of the following url: https://www.msci.com/eqb/esg/performance/110.0.all.html using ...
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0answers
49 views

How do I achieve a Long Gamma, Short Theta Exposure?

How I understand it is that if I: Sell OTM near dated put which will pay high theta and have low gamma Buy ATM long dated put which will have low theta and have higher gamma However, if there is a ...
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4answers
2k views

Is this how stock trading works?

I was told to move this question here from Money Stack Exchange, where some people have already provided some feedback. This is a very basic question about the Stock Exchange, and I was looking for ...
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1answer
51 views

List of ticker-symbols of European countries

To download the European countries' equity (stocks) data from CRSP database, I need individual stocks ticker symbols. Can anyone help me regarding how can I get the list of ticker-symbols of European ...
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2answers
58 views

What date to pick for regression on global stocks

Let's say I have a return of a stock in Japan that I wish to regress on the S&P 500 index using daily data for 1 year. Since the Japanese stock market has different holidays than the US, the dates ...
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0answers
16 views

Why some SEC XBRL documents are broken?

I'm analyzing "EXTRACTED XBRL INSTANCE DOCUMENT" documents provided by SEC, and some companies have theirs completely broken format, and impossible to search for their us_gaaps reporting in ...
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2answers
34 views

Calculating the allocation of a fund given two correlated variables

Imagine this hypothetical situation: I have a time series of cumulative performance of a fund and two time series of equities that are highly correlated to them. I know that that this fund ONLY ...
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24 views

Why are extended-hours Level-2 stock quotes odd?

What factors contribute to the odd quotes shown for stocks during extended market hours? (I'm guessing that at least some of them are the product of requirements of market makers, but I wonder if ...
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1answer
48 views

Where can I find official s&p500 companies list? [closed]

For some research purposes, I need the official s&p500 companies list. I cannot use any data from Wikipedia or any other such kind of websites. I can use data from yahoo finance or s&p500 ...
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17 views

How do I calculate the real taxes paid from 10-K forms

I guess we are familiar with the discussion, whether companies especially tech companies are paying their due in taxes. There was the huge discussion of Amazon paying nearly no taxes, using loopholes ...
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4answers
579 views

How do traders hedge against “tail side risk” in practice?

In a recent CNBC interview, Black Swan author Nassim Nicholas Taleb gave a categorical advice about investing in the Corona period. “It is very unwise to do any form of investment without some form of ...
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1answer
63 views

Predict Log Stock Return Direction and Trading Strategy

The $k$ period log return is defined as $$r_{t}(k)=log(S_{t}/S_{t-k}),$$ Where $S_{t}$ is the stock closing price at time $t$. For argument sake, assume that by time I mean a stock trading day and ...
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1answer
61 views

Can someone explain me why Disney has two different CIK's?

Disney, Ticker : DIS is triggering me, it seems that is has two different CIK's If you search disney 10-K forms here: https://www.sec.gov/cgi-bin/srch-edgar?text=company-name%3D%28DISNEY%29+and+form-...
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1answer
130 views

Simulate stock prices with Geometric Brownian Motion motion with mu and signa based on 'normal' or continuous compounding?

I have written a simple script for modelling stock prices using Geometric Brownian Motion. The time series I am downloading are daily adjusted closing prices. My aim is to be able to change the ...
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29 views

Barra equity factor model handling equity index future

How is equity index future handled in Barra type of equity factor model, i.e. to get its market value exposure to various factors? Does one just treat it as a weighted combination of underlying single ...
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3answers
135 views

What are the advantages and limitations of predicting future stock prices using stochastic differential equations?

Recently I came across the following stochastic differential equation that "predicts" the value of a given stock: \begin{equation} dS_t = \mu S_t dt + \sigma S_tdW_t \\ S_t(0) =S_0 \end{...
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1answer
44 views

Why do prices of stocks change “premarket” and during “after hours”

How is it possible for there to be trading "premarket" and "after hours"? I thought the exchange is closed and thus trading during "premarket" and "after hours" ...
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23 views

Abnormal Returns vs. Equity Cost of Capital

In trying to perform a meta analysis on the effect of KLD CSR scores on the cost of equity, I stumble upon plenty of papers that show positive abnormal returns for a company's stock given high CSR-...
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1answer
36 views

How does clearing and settlement work in Europe?

I understand the basic trade lifecycle but I can't find more information on how clearing and settlement works. To my knowledge, if I buy VOD LN executed on LSE - this will be cleared by LCH which is ...
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2answers
100 views

Can I download today's open/close/high/low data for all stocks (in bulk)? [duplicate]

EDIT: Regarding the [duplicate] designation: I carefully checked all the sites listed in the Equities and Equity Indices section of What data sources are available online?. I was not able to find ...
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3answers
229 views

How can we estimate new stock price after a large purchase?

Suppose someone buys $4bn of a particular stock over the period of a few weeks. Depending on how much that stock is being traded, you would expect that the price goes up in a visible way compared to ...
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60 views

Where can I find a Python module for Stock volatility estimators using Yang Zhang method?

Does anyone know of a Python library that includes the calculation of historical stock volatility using the Yang Zhang estimator? I have tried and failed to find one but would expect this to have been ...
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2answers
68 views

Why do (life) insurance companies face equity risk?

I am currently reading through a study published by the Institute and Faculty of Actuaries on hedging practices within the insurance industry. Within the executive summary, under 'Key Risks', it is ...
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1answer
47 views

Beta and standard deviation

IS beta of a stock formula equals to correlation coefficient multiply with annualized standard deviation of stock A divide annualized standard deviation of market . i am not sure whether to use ...
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1answer
47 views

Is “time value of currency” to be accounted for in returns calculation?

A simple question: When exchanging currency in order to finance an investment, is it standard/best practice to adjusted for exchange rates when calculating the NPL of that investment? For example: I, ...
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3answers
138 views

CAPM and Beta: problem with regression (Beta is too low yet statistically significant?)

I have two time series of daily return calculated as $\frac{Price_{t}}{Price_{t-1}} -1$. One is the daily returns of a portfolio, the other the daily returns of the index (MSCI World). Period is 2020 ...
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1answer
50 views

call vs average of prices

Consider a two-period binomial model, with one risky asset. The are two types of options: call option with strike price $K$, i.e., the payoff is given by $g(S_T)=(S_T-K)^{+}$ option with payoff given ...
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1answer
25 views

Equity risk factors with daily rebalancing

I am building some well known equity factors on the S&P for research purposes. It means those are going to be used for general evaluation purposes but do not need to be replicable. Would it be a ...
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2answers
70 views

How to find/calculate daily S&P500 dividends?

I need a time series with daily dividend data on the S&P500. I understand most dividend data is on a quarterly basis but I'm looking to model short-term effects of COVID-19 on dividends so I need ...
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0answers
17 views

Results of Fama french three factors model and Fama MacBeth cross sectional regression

I am doing research work on “Idiosyncratic volatility and stock return”. I have calculated Idiosyncratic volatility with the help of Fama french three factor model. IV is defined as the standard ...
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1answer
81 views

calculation of theoretical value of futures contract [closed]

we form a stock index by using only two stocks in the index. One of the stocks is the Stock-A. The current selling price of the stock-A is 103 dollars and the second stock is the stock-B. The current ...
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0answers
42 views

Results of Fama MacBeth regression

I have run Fama MacBeth cross section regression of of Excess Return of stocks on Idiosyncratic volatility, the log of market capitalization, book to equity ratio and Beta. I'm getting all significant ...
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13 views

Mutual Fund holdings data

Is there any source where mutual fund full holdings data can be found? I cannot seem to find it anywhere, even paid sources. Some sites will have to 10 or 25 holdings but not full.
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3answers
65 views

What is the benefit of buying stock options vs. purchasing stock? [closed]

I am aware that this is a simple question; but, given the scenario below, I have not found a satisfying answer while searching this site or Google. My understanding Stock options have been described ...
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1answer
41 views

How to calculate long-short performance using CFDs?

I am trying to calculate NAV and performance for a L/S fund which shorts via CFD. Obviously in a traditional short sale, there would be cash generated to match liability incurred but this is not the ...
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0answers
31 views

Stock IPO date data

I would like to get the date a company was founded and the date it went public for all US stocks listed on major exchanges (NYSE, NASDAQ). I thought this data would be very basic and easy to find, ...
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0answers
48 views

API for Real-time and historical Stocks Tick Data

I am looking for a reliable API (e.g. Bloomberg, but available for individuals) where I can get stock tick data up to the minute, both historical and real-time. Obviously I am willing to pay for the ...
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1answer
118 views

Variance attribution calculation from a covariance matrix

Say I have a portfolio with two assets with weights $(x, y)$, and the covariance matrix of the two asset is $((a, r)(r, b))$. Then the total portfolio variance would be $x^2a+2xyr+y^2b$. It is easy to ...
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52 views

intraday periodicity adjustments

I recently studied and implemented the intraday periodicity model of Andersen and Bollerslev from here. https://www.sciencedirect.com/science/article/abs/pii/S0927539897000042 The seasonality ...
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2answers
72 views

Bloomberg European equities tickers

I am trying to understand the abbreviations in the Bloomberg European stock or STOXX data. Each ticker represents company name abbreviation - Listed exchange. For example, CSP - LN is Countryside ...

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