# 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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### Common Methods for Assessing the Fair Value of Equities [closed]

What are the common methods used to assess the fair value of equities? Do people just use the midpoint and/or the weighted midpoint (also known as the microprice)? Or do they use other methods? Is ...
18 views

### Equivalent of dividends in a quasi-corporate enterprise

I read this : In a relationship between a direct investor and a direct investment enterprise (DIE), the net current earnings of a DIE that are not distributed as dividends to the shareholders (or the ...
134 views

### 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 ...
643 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 ...
253 views

### What is the current state of the art method to predict the equity risk premium one month ahead?

I am aware of Goyal, Welch and Zafirov's paper A Comprehensive 2022 Look at the Empirical Performance of Equity Premium Prediction that seems to imply there is nothing one can do to predict the return ...
4k views

### Equity Forward Price calculation

In the book of John Hull, the price of an equity forward on a dividend paying stock is formulated as: $$F_0 = (S_0 - I)e^{rT}$$ where $r$ is the risk free rate and $I$ is present value of the stream ...
49 views

### Supertrend Indicator

I'm trying to implement the Supertrend indicator. Unfortunately, I can't calculate the values ​​that my chart software generates. At the moment, I don't fully understand my problem. You can add the ...
2k views

### How does yahoo calculate Growth Estimates

Does anyone know how yahoo calculates Growth Estimates for the Next 5 Years (per annum)? For example, I can see 12.64% for AAPL as reporetd in Yahoo finance in https://finance.yahoo.com/quote/AAPL/...
99 views

### Different risk neutral measure

I don't understand in the following example how there can be a single risk neutral measure. The risk free asset price $B$ at time $t = 1$ is $1+R$. An other asset $S$ at time $t=1$ can take two values:...
1 vote
209 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 ...
42 views

### Forward price arbitrage

To price a forward on a stock we usually use arbitrage to find that the price of the forward is the price of the stock compounded by the risk free rate. I don't have the data to try things, so was ...
283 views

### 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. ...
46 views

### Data Feed for Gold (XAU/USD)

Hi I've been searching for Orderflow trading softwares & different real-time data feeds they use. For Stocks it's easy to get live orderbook data. I'm confused which data feed would be best for ...
305 views

### Clarifying the Fundamental Difference Between Growth and Value Stocks

The more I think about the fundamental difference between growth and value stocks the more confused I am. Both strategies seem to exploit market mispricing: growth investors target underestimated ...
1 vote
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### Issues running Fama French regression for annual portfolios

As part of my master thesis I am planning to do some analysis based on the 3-Factor Fama french model. I am not a quantitative finance person at all, so my question might be extremely basic and I ...
90 views

### variation margin affecting futures price

A quote from Natenberg's Option Pricing and Volatility, on stock index futures and how variation margin can change their price. Ignoring dividends, the fair value of a stock index forward contract is ...
1 vote
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### How to retrieve Yahoo Finance tickers for stocks, given the companies' name [closed]

I'm a student attempting to download time-series data for 27,000 stocks. I initially tried using Factset's API but lack access (as a student, I am able to manually download data, without access to ...
4k views

### 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 ...
1 vote
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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 : ...
1 vote
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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 ...
1 vote
283 views

### Market Making in practice

I read some of the papers in the market making literature such as: Avellaneda - Stoikov market making model but was wondering if these types of models are actually use in pratice? It seems that when ...
32 views

### What are "Funding Events" for Equity Swaps

have been using PE Swaps deck on Swaps pricing as a reference to understand Equity Swaps better. https://osf.io/72693/download. As I understand it, the Funding Leg Present value can be determined as: ...
170 views

### 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.
71 views

### Marginal effect of asset in a strategy

Im trying to develop a stastical arbitrage strategy that depends on a universe of assets and in a brief way, they replicate some factor(s), index(s), etf(s), etc, and then trade residuals. So, after ...
111 views

### Stock split and fractional shares

One of the main reasons for the stock split is liquidity. By increasing the number of shares, the new price will be half or one-third, depending on the split ratio. Wouldn't it be possible to achieve ...
87 views

### Exchange redirecting order

I was reading about exchange to understand better how they execute my market-orders. So let's say I am sending a market order to buy one share of AAPL to NYSE. When NYSE gets my order he looks at the ...
1 vote
178 views

### 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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### TRS and leveraged etf

To get the leveraged return of an index daily, leveraged ETF uses TRS to get that leveraged. Yet I don't really understand how it is used and who is the counterparty of that TRS. So, first you have ...
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### Why does not index (S&P500, NASDAQ, Dow Jones, etc), use liquidity?

Stock indexes such as SP500, NASDAQ, Dow Jones, etc all try to capture the temperature of the market. If the market cap of the companies in the market increase, the index increase. But, imagine a ...
50 views

### Future vol is bigger than realized vol

One strategy that I've seen on Leveraged ETF is shorting both the BULL and BEAR leveraged ETF to exploit the decay when volatility is high. Though I am wondering how an entry signal is triggered for ...
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### Create a turnover based stock index, for non liquid stocks?

I want to create an stock index that use the turnover, and not the price. How to do that? The problem I am trying to solve, is that if one stock has a very low trading volume, but the stock price is ...
34 views

### SDP and riskless profit

I am trying to understand the Single Dealer Platform model that a lot of banks and prop shop are launching. So I am not sure to understand really how a Single Dealer Platform works. From what I ...
1 vote
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### short-term statistical factor models for equities with different trading hours

I wonder if there are existing theory/literature about estimating a short-term statistical factor models for equities with different trading hours. For example if we are estimating a universe with US ...
15k views

### 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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### What are some effective and easily implementable volatility smile/skew smoothing models?

Inspired by another post on Bakshi et al. (1997), the paper talks about the feasibility of option pricing models, particularly the SVSI-J variant. I would like to ask the Quant community if there are ...
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### Does switching between Bond and Equity closely tracking Interest rate generate more returns?

Is there an evidence to suggest that we buy bond during high interest regime and when interest rates goes down , we sell the bond and buy Equity Index .. Repeat this by closely following the central ...
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### Why didn't LMT stock spike and NOC dip in 1990 due to the F-22 raptor competition?

Disclaimer, I am a newbie at finance! I have been tracking the NOC and LMT stock prices and I have a few questions. Both companies seem to be moving together in terms of stock prices. I would expect ...
47 views

### Calculating PIN or PIN-like factor without having intraday / tick data

I am looking for a method of estimating PIN (probability of informed trading) for US equities without having access to intraday / tick data, but using daily OHLC instead. I imagine its impossible but ...
75 views

### Autocallables - valuation/modelling/booking

Recently heard a view on how one should model/book autocallable swaps (in its basic form where there is a series of observation dates on which the product autocalls and there is exposure to the ...
1 vote
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### Autocall Selling Process [closed]

I'm new in structured products and I need some help for understanding some stuff on autocall. When a client gives his money to the bank for investing in an Autocall, this money goes in a ZCB and in ...
283 views

### Markout PnL why looking in the past [closed]

Most of the time to analyze a strategy people will take all the trades and look at the PnL a certain markouts. Yet I don't understand why so many people look at negative markouts? What can infer from ...
130 views

### Cross corridor var swap

How should I think about replicating a cross corridor variance swap like breaking into strips of calls and puts and an over hedge that I can rebalance at some frequency? Given the earnings move, I can ...
189 views

### How to interpret the turnover formula?

How would one interpret the below turnover formula ignoring the average from each time period i.e., what is the meaning of the term inside the brackets? Reference: Empirical Asset Pricing via Machine ...
191 views

### In which context do hedge funds use the Gauss Markov Theorem?

Hedge Funds really like asking questions about linear regression during interviews. Especially about the properties of the OLS. But I don't understand in which context this is used. For example the ...
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### Rigorous formula for adjusted close price

I'm a mathematician who is new to the stock market, and I'm hoping to shine a rigorous light on a simple example of adjusting close prices for, say, dividends. Let time $t$ represent today. Say that ...
57 views

### questions after reading the article by knuteson

I recently read this article by Knuteson and some thought/questions arose. So I was wondering if anyone read it or wants to read it and can comment on a few statements-questions below. I could ...
1 vote
332 views

### How to calculate holding period return of a long-short strategy?

I have daily close prices of two stocks, A and B. Suppose that we long stock A and short stock B. Assume that we do the long-short every day and hold that portfolio for some days. How to calculate ...
1 vote
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### Average correlations of stock returns

Say I had a pool of companies (specifically the Latin American Countries). The task was to work out the 'Correlation coefficient between the returns of any 2 companies selected from "different ...
I have $n$ stock return time series $X_1, X_2, ... X_n$. I want to measure how much they have "dispersed" over time. i.e. are they moving "more together" in 2023, comparing to 2022....