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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FM regressions for Size groups when examing a cross section of expected stock returns
Dear Stack community,
When doing FM regressions for Size groups similar to
Lewellen, J. (2015). The cross-section of expected stock returns. Critical Finance Review, 4(1), 1–44. https://doi.org/10....
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Why stock beta is not equal to its index weight?
Index is a linear combination of stock prices with known weights. In case index is equally weighted, the weights are fixed. Beta measures stock sensitivity to index - by how much stock moves when ...
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Power-utility function for calculating Certainty equivalent
I have a question regarding how i should calculate 3.2-3.4, currently studying for an exam. What i don't get is how to acctually derive the certainty equivalent from the expected utility of gross ...
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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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Should I use common equity or total equity for book value? (when replicating Lewellen's 2015 paper on a cross section of expected stock returns)
I'd hereby would like to ask if any of you know whether I should use common equity or the total equity value, when computing monthly BM ratio's as done by Lewellen is his 2015 paper on a cross section ...
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If investors are risk-neutral, should the (equity) risk premium be zero?
I looked up ChatGPT and they stated that the (equity) risk premium should be zero for a risk-neutral world. The definition of a risk-neutral investor is that one is indifferent between additional or ...
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free equity screeners with export to excel
I am having a tough time finding a free equity screener that allows me to download the following data into excel: P/E or EV/EBITDA, Growth, Return on capital or any return measures would be helpful. ...
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If there was a way to back out implied volatility (IV) from a stock, would it be the same as the IV backed out from an option on that same stock?
I know that it is not possible to back out an IV for a stock, because the concept of IV is based on a model with underlying assumptions applied to pricing an option.
I was thinking of why IV is ...
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Why does cost of borrow have anything to do with the equity forward price?
By non-arbitrage, you buy the stock and hold it to the delivery date of the forward, only cost of funding (of cash) and equity dividend would be involved in the equity forward calculation. Where does ...
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Validity of CAPM
I came across some literature regarding "Framing Theory" or "Prospect Theory", and the validity of CAPM. I was wondering if you could shed some light on a few questions I have in this regard:
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A term to compare 2 stocks based on simultaneous trending and ranging characteristics
There a 2 stocks called A and B. We take a look at the daily chart of both stocks over the last 1 year. On 90% of the days A and B both trended or at least one of A or B trended. On 10% of days both ...
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Calibration of Covariance Matrix for a Cumulative Period Return
I am trying to compute optimized weights (minimum-variance portfolio) for a cumulative return over a period (weekly or fortnightly). In a daily return setting, it is quite simple, I just compute a ...
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Do Dividend Stocks Offer Better Resilience During Market P/E Contraction?
I'm interested in how stocks with higher dividend yields perform during periods of market P/E contraction. Specifically, I've observed that (so far I am working on the models):
Market-wide P/E ...
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Seeking a Model to Extrapolate Locate Fees for Short Selling in Absence of Historical Data
I'm in the process of developing an automated stock trading algorithm, with short selling being a significant part of the strategy. A key factor in deciding whether to short a stock is the associated &...
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Force Index EMA calculation for stock indicator
I am trying to smooth a 13 period EMA Elder Force Index in c++, and nobody really describes this as anything more than :
...
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Replicating the EIOPA equity index for the symmetric adjustment of the equity capital charge in Solvency 2
My question is rather specific but I'm wondering if someone might be able to help.
In the Solvency 2 framework, the equity capital charge requires to compute a symmetric adjustment which is itself ...
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Why do we adjust the drift in the geometric brownian motion
I am building a monte carlo based on the GMB, and I am having a hard time understanding why we subtract 1/2 variance from the drift. If I have a drift of 12% and a volatility of 50%, that would give ...
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Expected slippage based on % of average daily trading volume
I have started a quant strategy that buys and sells thousands of stocks. Each trade represents <1% of average daily trading volume. On average, the trades represent around 0.1% of ADTV.
What is a ...
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Compounding vs Annualizing Returns in a Portfolio Optimization Context
This might be a rather basic question that might be closed... but I can't for the life of me understand why in many Google search results the annualization of daily returns is done like this:
r_yearly ...
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Sources for historical financial ratios?
I wanted to know if there are any sources for historical financial ratios for Indian equities?
If yes please share.
Thank you.
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Meaning of cross sectional rank
This paper mentions the concept of rank which is defined as cross sectional rank. For e.g. one of the alphas (#3) is
(-1 * correlation(rank(open), rank(volume), 10))
10 is just the number of days ...
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equities hedging betas for a cross-sectional risk model
This question is on equities risk models. I would like to know how to define betas when using a cross-sectional regression approach, rather than the time series approach. My goal is beta hedging of a ...
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How is an equity TRS reflected on a balance sheet?
Suppose there is a hedge fund with with USD 50M cash and the balance sheet is below.
Asset: 50M Liability: 0 Partner's Capital: 50M
If the hedge fund executed a USD 100M notional TRS with 25% IA (USD ...
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How can this problem be defined formally?
Let's consider a straightforward example in which I possess a portfolio consisting of two stocks:
$
R(t) = S_{1}(t) \cdot x_1 + S_{2}(t) \cdot x_2,
$
Here, $t$ represents the time index, $R(t)$ ...
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Practical approach to get average option IV
Is there a practical method to calculate some sort of average IV for each level of moneyness of equity options?
I'm thinking of an algorithm to find mispriced options and do to so, we need to figure ...
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Why must the forward price be equal to the expected value for an underlying security [closed]
In page 59 of his book Option Volatility and Pricing, Natenberg argues that the forward price of an underlying security is essentially the market's consensus expected value for that security, ...
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Selection of Risk aversion in portfolio optimization
I have a portfolio of equities with a cross-sectional score as expected return (mean=0) and am using mean-variance optimization. However, the question is how one selects the risk aversion parameter. ...
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For a university project I need the historical number of outstanding shares for all companies currently in the S&P 500
Up until now I have been using the yahoo finance api which provides lots of data already that I can use for my analysis. Unfortunately I need the historical number of outstanding shares for multiple ...
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Equity and Credit Portfolio Return
This might sound like a trivial question but would appreciate the answer.
How would you calculate the return of the portfolio consisting of only equity and credit instruments? For example, consider ...
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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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What happened when market status change from pre-market trading hours to standard trading hours?
Now we can place orders in pre-market trading hours, from 4 am to 9:30 am. And then we go into standard trading hours, 9:30 am to 4:30 pm. But I wonder then when will the Market Order Auction happen?
...
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Funded equity collars and margin loans
There is an article in the Financial Times today concerning equity funded collars [1]. The equity collar structure is used by a counterparty $A$ which wants to build up a position in a stock $S_t$. ...
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List of all Russell 2000 Stocks
Anyone know where to find a list of all the stocks on the Russell 2000 index?
I've Googled away on this one, but thus far, have only found a junk site (suredividend.com) that purports to have it, ...
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Downward-sloping volatility skew in equity prices
I’m learning the market price for FRM, and I’m having a hard time understand a question in the assessment:
From my understanding, the volatility skew for equity is the graph on the right upper corner:...
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Existence of an upper bound for risk-factor betas/coefficients
Theory:
Based on Hansen/Jagannathan, the set of means and variances of returns is limited. With $R^f$ as the risk-free rate, $R_i^e$ as the return of stock $i$ in excess of $R^f$ and a stochastic ...
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Monte-Carlo method for multi-asset pricing
As I was working on this paper https://hal.science/hal-00319947/document by Emmanuel Gobet, I came across this paragraph that says to price a barrier option on (for example) two correlated assets, you ...
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Why is the expected value of bias statistic one?
I have been reading about factor models recently. One of the ways in which the developer of these models (Barra/ Axioma) measure the accuracy of their models is by calculating the bias statistic for ...
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equities industry factor models
I am looking for references or practical solutions for the following. In the usual factor approach for equities with panel data regression (for each stock, explain future returns given stock ...
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Are power contracts traded on any stock market?
Are power contracts traded on any stock markets ? What about OTC markets ? I ask about the derivatives where payoff is some exponential function of difference between strike and spot price.
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Calibration of LSV models to vanna/volga break-even
In this paper, Labordère, the author computes a probabilistic representation of the the vanna/vomma(volga) break-even levels. He mentions that they can be used to calibrate LSV models to historical ...
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Why do we need an ex-dividend date? [closed]
Why do we need an ex-dividend date? What is the problem with the ex-dividend date being the same as the payment date? Why are they separate? What problem does having a separate ex-dividend date solve?
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Is there a way to tell if a time series price data is reversed?
Assuming you are given an array of values representing a stock's historical price, without timestamps, is there a way to tell if this array of prices has been reversed?
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How to approximate a function in the H-model
I have been looking to understand the H-model in finance, that is used for stock price valuation. In particular, I wanted to formally derive the final formula:
$$PV=\frac{D}{r-g_2}\left[1+g_2+\frac{H}{...
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If the price of a stock follows a Geometric Brownian motion, then does stock return depends on past stock returns? [closed]
Got this question from my homework. I think if past returns are keep raising then current return should also be positive, but the answer is it's not related to past returns, why?
I tried to ask ...
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Questions on limitations of local volatility model
I am currently studying local volatility for equity models and I am trying to understand some limitations of the model:
1.
under local volatility, the forward smile gets flatter and higher.
Lorenzo ...
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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 ...
CommunityBot
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Price of a simple autocall - Sebastien Bossu Advanced Equity derivatives
I am reading Advanced Equity Derivates by Sebastien Bossu and trying to do the exercises.
In chapter 1 we have the following question :
Consider an exotic option expiring in one, two, or three years ...
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intra-day trading information (OHLC and volume) for YRIV for specific dates in 2018 [duplicate]
I am doing reseaerch at the University of Minnesota (where I teach) for a class in investment banking, using YRIV as a case study. How can I find intra-day trading information (OHLC and volume) for ...
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Why some stocks not traded today? [closed]
I try to download market daily data after US markets close.
I found that the stocks in the following list have no data today.
...
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Modeling the price of a stock based upon its dividend history
The value of a stock is the present value of all future dividends. This is sometimes called the Gordon Growth model. This model assumes that dividends increase at a constant rate. In the real world ...
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