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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38 views

Does a combination of a long European call option and short European put option on same stock have the same payoff as the stock at end time [closed]

Does a portfolio with a long European call option and a short European put option (on the same stock with the same maturities and strike prices) have an equal payoff to the stock at terminal time?
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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
87 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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36 views

Can Earnings substitute for return on equity?

Khan and Watt,2009 documented that Earnings is net income before extraordinary items, scaled by the lagged market value of equity. Investopedia documented These two measures are not totally similar, ...
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40 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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86 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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How to understand and address the problem of that 'using yesterday's information to predict today's close is more difficult than today's opening?' [closed]

Given the available data on and before the $t$-th day, the target is to predict label-1: $open_{t+1}/close_{t}$ and label-2: $close_{t+1}/close_{t}$. I find that the prediction accuracy (measured by ...
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34 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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41 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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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
33 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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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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210 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
126 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
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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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48 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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28 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
183 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 ...
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1answer
160 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
130 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
70 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
104 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
319 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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38 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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4answers
152 views

Cant replicate minimum variance portfolio variance by simulating many random portfolios in R

I have computed the theoretical minimum variance portfolio using the 30 stocks in the Dow. The formula used is: $$\underset{N\times 1}{\omega_{mvp}}=\frac{\lambda}{2}\cdot \Sigma^{-1}\iota=\frac{\...
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1answer
69 views

The best approach for screening ATH values for equities

I am trying to automate the trading strategy that I have been previously executing manually. I am having problems with figuring out the most efficient way for a specific step of the strategy. An ...
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87 views

Pairs Trading Strategy Pre-Selection

I am writing paper on the profitability of the pairs trading strategy using US equities. I have done a pre-check to see which business sectors have stocks that are cointegrated. The utilities sector ...
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1answer
64 views

Large data of Equity Price download from Eikon thomson reuters datastream

I like to download all Chinese ( more than 4000 stocks) stocks daily price data from 1990 to 2020 from Eikon Thomson Reuters datastream. However, I failed to select and download all stocks together. ...
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1answer
88 views

Best way to calculate a stock's fair value [closed]

I keep hearing "analysts" say that certain company's stock is currently much below the fair value, and I also keep hearing that certain other stocks are severely over-valued. However, I have ...
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1answer
63 views

Barrier Reverse Convertible

I am a finance student and during my free time I try to understand more financial products. Today I have found a term sheet for a specific type of barrier reverse convertible but I couldn't understand ...
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1answer
113 views

How does a trader choose how to size his limit order?

Say Bob wants to buy \$30 million worth of APPL stock at a price of \$130. He decides to use a limit order. But posting a $30 million limit order would drive the price up and prevent him from being ...
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1answer
62 views

stock price path simulation using GBM, is it possible to run the same simulation over and over again?

When I simulate a stock's price path using geometric brownian motion I am sometimes able to get a pretty good forecast that fits the real values very well. But if I run the simulation again, the ...
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96 views

Why do stock prices follow a martingale?

I have a quick question: why does the Efficient Market Hypothesis (EMH) assume that stock prices follow a martingale process? I understand that discounted prices under the risk-neutral probability ...
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13 views

Determining relative volatility without referring to an index or another security?

Say I am looking at the S&P 500, what is a quantitative way to determine whether the index is currently volatile or not? For example, if volatility > x, it is highly volatile. If volatility <...
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49 views

Market maker hedging model

I understand that most market makers maintain non directionality i.e. they always aim to be perfectly hedged. So if they take a long position in X, they will take an offsetting short position in a ...
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1answer
67 views

How much market data is required to confidently predict the yearly returns of a stock?

I am looking to passively/lump-sum invest stocks. If I averaged the yearly returns of a stock, how many years would I need before I could say with 95% confidence that the averaged value would ...
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38 views

Pricing a barrier call option using a copula

Consider two stocks, $S_1$ and $S_2$, with marginal pdfs $f_{S_1}$ and $f_{S_2}$. Assume $F(S_1,S_2)$ is the joint CDF. I'm trying work out a semi-analytic formula for the price of the barrier call ...
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1answer
55 views

ETF with international constituents

I was just wondering how the fair price of ETF with international holdings are accurately priced. Say we have an ETF that trades on domestic exchange but the holdings are international and the market ...
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1answer
32 views

ETF bid/ask spread [duplicate]

I was just wondering if someone could explain to me how an ETF market maker earns profit through the spread they collect while hedging the positions to be non-directional. For example I read somewhere ...
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44 views

optimize.portfolio not processing 'mean' objective

I've just started investigating the capabilities of the PortfolioAnalytics package. I've had it working for smaller considerations, around 20 stocks. These return all objectives I have registered (...
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1answer
77 views

Single period risk-neutral probability derivation

Let $S_u$ be the price of stock in the up-state one period from now. Let $S_d$ be the price of the stock in the down state. Let $C_u$ be the payoff of a call option at time $1$ in the up-state and ...
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5answers
382 views

What mechanisms does the market use to brining an asset back to the market line, as defined by CAPM?

The Capital Asset Pricing Model (CAPM) model states that, on efficient market, expected return of an asset should be given by a linear function of its volatility (as measure by standard deviation of ...
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2answers
248 views

What drives the difference between M1 & M2 money supply (in the US)?

From what I understand the only entity that controls M1 in US is the Federal Reserve. Is it true that M2-M1( M2 minus M1; the part of M2 that is NOT in M1 like timed deposits) is controlled by the ...
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1answer
125 views

Historical intraday dataset with penny stocks with a gap-up of 10% or above

I am trying to find intraday datasets of pennystocks. My criteria for the dataset is that it needs to only contain pennystocks where the gap-up was 10% or above. I am looking for a free option but ...
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27 views

What BUY order type should I use if I have a limit price in mind, but I still want to capture best price if it goes below my limit?

I'm pretty new to trading, and I couldn't really find anything helpful online. Say I want to buy a stock for a maximum of 21 USD per share. However, if the price hits 21, I don't want my order to fill ...
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221 views

Are there any standards for the precision of stocks prices, amount of stocks etc.?

I am currently developing a software that needs to store stock prices and the amount of stocks (sold/purchased) of a given company. Now I am wondering which data types I need to use to store this data....
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2answers
172 views

Backtesting a portfolio strategy with several assets

I am aware that there exist several libraries and programs that allow to baktest a portfolio strategy by iterating through the OHLC dataframe of the stocks of interest (Backtrader, Backtesting, ...). ...
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1answer
44 views

Capital efficiency of event triggered strategy

Let's assume we have two long short equity strategies A, B with a Sharpe ratio of 2 each. ...
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66 views

How to download all tickers listed in the Tokyo stock exchange?

I'm trying to download all tickers listed in the Tokyo stock exchange (according to their website, there should be 3,756 tickers in total). What I have tried so far: I have tried the Yahoo-ticker-...

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