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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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high quality daily data [duplicate]

I am analysing some trading strategies, so lots of high quality data is needed. I have been using yahoo finance which provides a lot of high quality daily data on stocks and indices. Currently I am ...
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2answers
88 views

Where can I get the actual info about how many stocks are there in markets all over the world?

I need to test an algorithm for large-scale data in stocks market. I wanna know how many stocks are there all over the world and the data source.
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1answer
91 views

Calculating spot rates from forward rates

I am working on a problem where I am trying to calculate the forward rates from two different spot rates. I have the following: ...
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4answers
152 views

Predicting portfolio returns

I suppose there are roughly two approaches to predict portfolio returns. Either predict the returns of all underlying stocks and aggregate all individual stock predictions, or predict the portfolio ...
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2answers
220 views

Stock valuation/stock pitch and CAPM

If you were valuing a stock (say to pitch a stock for the buy side), you are looking for stocks that the market has mispriced. Your aim is to have a profitable long or short strategy. Can you use the ...
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1answer
50 views

How to find sector/industry and market cap for securities in my portfolio using R?

I am working on a project where I need sector/industry classification and market cap for some securities, many of them are not in SP500, but are part of US market. I am using R for this. I don't have ...
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1answer
71 views

Geometric Brownian Motion - Price Probabilities

I am modeling a stock price that follows Geometric Brownian Motion and have the following: $E(X)$ = .16 (16%) $\sigma$ = .24 (24%) $X_0$ = 95 $T$ = 1 (12 months) I am trying to find the ...
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2answers
93 views

Optimal investment mix of equity and debt in a single company, HY vs IG

What is the optimal mix of equity and debt that an investor should invest in a single company? If an investor invests in both the debt and equity of a company, they are in effect de-levering the ...
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1answer
86 views

Getting rate from a share's given futures price, with known dividend information

Question was answered by @Ezy - thanks! This seems to be a basic question, but mysteriously unsolvable as far as I can see. It concerns calculating the interest rate from a given stock futures ...
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41 views

Hedge ratio: hedging a portfolio of global equities with futures

A bank decides to use $100 million of its capital to launch an investment strategy (seed money). The portfolio which is launched is made of global equities (say ~ 500 equities of different markets). ...
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36 views

Equal weight correlation swap payoff derivation

I am aware that the payoff for a equal weighted correlation swap is; $$ (\rho_K-\rho)*\text{Notional} $$ where $$ \rho = \frac{2} {n(n-1)}\sum_{i < j} \rho_{ij} $$ I am wondering how I can derive ...
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2answers
84 views

If historical returns are no indication of future returns, why are they still shown to investors?

Stock returns and fund returns are on average not autocorrelated and thus unpredictable. Consequently, looking at a historical price chart gives no indication in which direction tomorrows price will ...
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258 views

API for Earnings date

Is there any API for getting past/future earnings date for a specific symbol? I tried TDAmeritrade API, Ally and IEX, none of them provide this information yet.
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2answers
118 views

Factor-Based Equity Investing [closed]

What is the simplest way (process) to develop a factor-based investing strategy with STOCKS? ...
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0answers
39 views

Barra Equity Risk Model Methodology

I am interested in learning about the Barra's Equity risk model methodology. When I google, this is the first file that comes up: http://www.alacra.com/alacra/help/barra_handbook_US.pdf However, it ...
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1answer
42 views

Tracking historical short interest

I am looking for a source of historical (more than one year) short interest in a specific equity. NASDAQ provides only one year of short interest history. I am interested in looking back 2 to 3 years. ...
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1answer
80 views

Is there a straightforward way to get a “family tree” for a stock?

I would like to find a way to generate what might be called a "family tree" for a stock. Given a stock symbol and a future date, I'd like a graph (either literally or represented in list or other ...
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2answers
59 views

What is a robust method to determine if the stock's market price is below its intrinsic value and can be bought in a Fundamental analysis perspective?

It is a very common idea that Fundamental analysis looks at the intrinsic value of a stock, but if I were to look at the stock market right now, I just see the movement of the price of the stock, ...
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1answer
107 views

IPO Valuation: Share Pricing and Number of Shares

Does the number of shares matter for a company to go public? Suppose a company ABC went public and the initial valuation of the company shares to be sold stands at \$5000. Now, it can sell 1000 ...
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1answer
43 views

ETF performance/returns

I was going over some ETF return data on yahoo finance and encountered some numbers that did not make sense to me. The image below shows a ytd return of 17.94% and 13.52%. I checked ETF.com and ETFdb ...
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0answers
44 views

Analyse correlation between LIBOR (quote in yield) and MSCI AC World (in dollars)

How would you analyse the correlation between LIBOR and MXWD? My initial intention was to get the log return of MXWD and take the opposite of the log return of the LIBOR yield (because when yield ...
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1answer
101 views

Geometric Brownian Motion unable to model / predict jumps

In my finance course, we were talking about the flaws of modelling Stock Prices with the geometric Brownian Motion. According to my professor: "Since the geometric Brownian Motion has continous time ...
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0answers
36 views

Theoretical justification for why estimating intrinsic value of a stock price can be different under FCFF and FCFE approaches?

what is the theoretical justification for why estimating intrinsic value of a stock price can be different under FCFF (Free Cash Flow to the Firm) and FCFE (Free Cash Flow to the equity) approaches? ...
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1answer
315 views

API for fundamentals for NSE and BSE

I want APIs for accessing fundamental data of all stocks in NSE and BSE India. I have searched a lot But no luck. Any such services available please guide me. I'm looking for specifically quarterly ...
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4answers
9k views

Free intra-day equity data source

Are there any free data source for historical US equity data? Yahoo finance has daily prices but I'm looking for something more granular and goes back 2 or more years (doesn't have to be close to tick ...
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1answer
55 views

DATA for Backtest [duplicate]

I am a retail trader and i am looking for a data set that comprehends all us equities, ETF's, ADR's and indices going back at least to January 1st 2007. Data would need to be split + dividend ...
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1answer
160 views

How to model High/Low prices for Stocks with Monte Carlo

I'm using monte carlo simulation to model stock paths and measure risk, but I was wondering if there is a way to simulate the full bar/candle chart with open, high, low and close prices , as I'm only ...
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1answer
123 views

Fama and French 1997 Cost of Equity

Dear Quantitative Finance Members, I was wondering if you can clarify me the following issue. I am trying to estimate the cost of equity following "Industry costs of equity" (Fama and French, 1997). ...
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2answers
749 views

Equity short Interest data source

I'm looking for short interest data (those disclosed on 15 days basis to FINRA) As far as I know FINRA publishes only OTC data (http://otce.finra.org/ESI). Nasdaq.com contains only nasdaq traded ...
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2answers
364 views

Retrieval of MSCI factor index performance data from the web

I hope this question is on-topic. What is a convenient way to get MSCI index performance data from the web? I would be interested in daily performance data of the factor indices momentum, minvol, ...
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2answers
345 views

Cochrane on Return Predictability

Being a lover of Sir Arthur Conan Doyle's work, I picked up a copy of Cochrane’s 2008 paper, The Dog That Did Not Bark: A Defense of Return Predictability and read: If returns are not predictable, ...
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1answer
470 views

Differences between Snowball, KIKO and TRF derivatives?

Can you explain what are some similarities and differences between snowball, KIKO (knock in knock out) and TRF (target redemption forward) derivatives?
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1answer
138 views

What is the correct way to calculate the annualized returns from rolling windows starting from monthly returns?

What is the correct way to calculate the annualized returns in 5-year rolling estimation windows starting from monthly returns? Is it most correct to first annualize the returns (using the geometric ...
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1answer
103 views

Can you use GARCH-MIDAS for intraday data?

I'm working on a project to forecast volatility and I'm using intraday data (1 min). I want to include exogenous variables to the model that have daily frequency. I was wondering if GARCH-MIDAS can be ...
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1answer
70 views

Classifying groups of stocks beyond Market Cap/Industry/Sector

I'm monitoring margin values for a portfolio and I want to classify the stocks in my universe using different metrics/information. Just for the sake of making analysis/inferences on the data I have. ...
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3answers
575 views

EOD historical data

Apologies If I'm not posting in the right area. Currently I'm using eoddata.com to get pricing data for the US market. Although not always 100% in pricing, I'm quite happy with it. There is another ...
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1answer
212 views

Why is it more accurate to simulate ln(S) rather than S?

Let's take a process $S$ that satisfies: \begin{equation} dS = \mu S dt + \sigma S dz \end{equation} with $dz$ a Wiener process, $\sigma$ the volatility of $S$, $\mu$ the expected return of $S$. From ...
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1answer
100 views

Data: Why is a firm stock delisted?

Shumway (1997) highlights that stock returns in cross-sectional portfolio analysis have to be adjusted for firm delistings. The CRSP database maintains a monthly delisting file (msedelist) with ...
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2answers
144 views

Permanent or long-term (months) market impact of large trades in stocks / equities

I need an estimate of the "permanent" long-term price impact of large institutional trades. When an investor makes a large trade, there will be a price impact due to the trade. Institutional ...
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1answer
98 views

Simulating assets of different currencies

I have a situation as follows: One year call option on a Euro stock with a Euro denominated strike. Knock in feature as follows - The option can only pay out if the growth in the Euro stock over ...
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2answers
9k views

How to calculate daily risk free interest rates

I'm working on an assignment in which I need to calculate excess return for six stocks plus the S&P 500. I have computed daily logarithmic returns for every stock and for the market, I now need to ...
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0answers
25 views

CRSP VW index price data (not return data) - where?

I am trying to find index price levels for the CRSP value weighted index (excl. distributions), not pre-calculated returns. I have access to WRDS, where I can download the returns on the index and ...
2
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1answer
428 views

Interactive Brokers - Tracking High Relative Trading Volume

I'm new to Interactive Brokers (and day trading), I am trying to setup my different charts etc. How can I have alerts/monitor for any stock that is trading at above average volume - compared to X? ...
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1answer
178 views

Algorithmic Trading: Normalization and Selection of Technical Indicators for Artificial Neural Networks [closed]

I study on algorithmic trading for a while based on technical indicators. I started to learn about neural networks and want to use technical trading indicators in this approach. However, I am not ...
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1answer
127 views

Equity Derivatives Question [closed]

I'm preparing to take a test on equity derivatives and have met with some difficulty, so I need some help on the following question: Please analyze the following share purchase plan. Assume client ...
2
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1answer
66 views

Historical VaR for shares in foreign currency

I'm currently studying John Hull's [1] example on historical value at risk for portfolio consisting of four stock indices. In this example Hull converts the prices of the stock indices to the home ...
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4answers
1k views

How to download bloomberg intraday data efficiently with API

so I would download a bunch of intraday data, for a bunch of securities, but we keep hitting our monthly cap limit. We don't want to upgrade to a more expensive package as this is simply a research ...
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0answers
24 views

Understanding how to calculate Hedge Fund Net Asset Value (NAV), and getting a better grasp of the business purpose of a Hedge Fund NAV [closed]

Sorry if I sound naïve, but I'm new to the financial field(especially new to quantitative finance). I've seen 2 types of definitions for NAV when I search the internet. NAV = (Assets - Liabilities) ...
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0answers
68 views

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 ...