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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87 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 ...
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74 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 ...
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79 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% ...
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65 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 ...
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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 ...
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77 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 ...
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78 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://...
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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 ...
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Is there any relationship between the straddle range and the trading range?

The short straddle has 2 breakeven points. It’s profit zone is between those breakeven points and I would call it the straddle range. A straddle is sold which has X days to expiration. The underlying’...
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66 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 ...
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62 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 ...
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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 ...
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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 ...
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54 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 ...
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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 ...
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31 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 ...
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168 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!
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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 $\...
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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, ...
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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, ...
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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-...
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78 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 ...
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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" ...
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152 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 ...
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149 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 ...
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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?
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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 ...
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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 ...
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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 ...
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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 ...
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How to get inventory data of brokers and lenders?

https://public.ortex.com/ortex-short-interest-data/ It says ...
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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. ...
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251 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 ...
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117 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?
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63 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 ...
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81 views

Getting US equity data for commercial use?

If you were a hobbyist in the process of building a subscription site that people are willing to pay for, how would you get US equity data in a commercially available form? I just need EOD delayed ...
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Interpret interaction term between dummy and continues variable /bank risk (Beta and stock return)

I am using OLS regression to answer my research question.Well, I have two types of banks( Commercial banks and bank holding company's).My dependent variable is banks stock return in the first quarter ...
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60 views

Mini Nikkei Futures Contract - Tick and Point Value

for the Mini Nikkei Futures Contract traded at the Osaka Japanese Exchange, it states that the Tick Value is 500 Yen per Tick. But the actual contract is quoted in 5 Point Increments. Is the correct ...
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What earnings should be used to compute EPS?

https://sec.report/Document/0000109380-21-000192/ In the CONSOLIDATED STATEMENTS OF INCOME above, Net earnings applicable to common shareholders: 314 Basic shares (in thousands): 163,551 Net earnings ...
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56 views

How to compute EPS?

https://www.zacks.com/stock/research/DOCN/earnings-calendar The above source says the EPSs are the following - 8/5/2021 $0.07 - 5/6/2021 $0.00 https://...
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How to obtain financial statements in an easily accessible form?

https://www.youtube.com/watch?v=1C5MOfn1cZg I see ways to download SEC filing forms in excel format. But this has to be done for each stock and each 10-Q form. If I just want to have all the financial ...
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43 views

Finer classification of stocks beyond sector/industry

There are classifications of stock in sector/industry. But such classifications are rather coarse. https://eresearch.fidelity.com/eresearch/markets_sectors/sectors/sectors_in_market.jhtml Stocks in an ...
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62 views

Where can I get fundamental data on US public stocks in original form?

I'm looking for fundamental data on US public companies. If anyone could recommend paid or free sources of the fundamentals in original, non-standardized form that would be great. I tried scraping the ...
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Why the highest transaction price of stock in a time period can be higher than a sell limit order price, but the order is not filled?

Sometimes a sell limit order is not filled in a period even when the highest transaction price is higher than the limit order price. I don't understand why this could occur. The fact that the ...
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20 views

Convention for computing P/E relative to sector average

To provide some basic context of some of the securities I'm trying to highlight, I want to compare the stock's P/E with that of the sector average. Could go with the verbose: Stock A P/E vs Industry P/...
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87 views

What happens when you buy call options on a stock that does a stock split

suppose i say lyft in 2023 will be worth more then 50 per share (the current call price for the option). suppose im right and each share is worth 75, but in the interim lyft announces a 2-1 stock ...
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FTSE 350 historical constituents

I would like to do some research on the past data of FTSE 350 from 2009 up to the end of 2020. For this analysis, I need to check which components were consistently a part of the index from the ...
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102 views

Help with pulling company fundamentals from EDGAR

I need help understanding why there are many different values for a specific metric reported by a company's 10-K or 10-Q in the EDGAR database. I've downloaded the entire US equity universe in JSON ...
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1answer
86 views

Compute the intraday pivot points [closed]

I am interested in calculating and identifying the pivot points on a candlestick plot (i.e. stock values) for different time intervals (e.g. 1min, 5mins, 15mins, 1hour, ...). What is the best way to ...
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event study and Covid-19 using panel data problem

I am doing my master thesis and my subject is how covid-19 has affected the stock market. I have already calculated abnormal returns and CARS using market model and OLS regression for different ...

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