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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51 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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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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26 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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121 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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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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73 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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151 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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136 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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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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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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98 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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65 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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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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55 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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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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72 views

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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1answer
100 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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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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Why is the interest rate risk secondary for a vanilla equity option?

Consider the vanilla payout: $Max(S(T)-K,0)$ priced under the RN measure as: $E[e^{-rt}Max(S(T)-K,0)]$ which under no dividend/borrow assumption equals $E[e^{-rt}Max(S(0)e^{rt}X(T)-K,0)]$ for $X$ ...
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J-stat question on Linear Factor Models + Simulation, Wald test

I am exploring the wonderful library by K. Sheppard et al. on linear models applied to asset pricing. In particular, Fama Macbeth and two-step regression (leaving GMM for later) My question is ...
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55 views

Identity of recent books on stock market & risk

Apologies if this seems out of place, but a couple years ago I read several popular books written in the last decade by a single author who was trying to disabuse readers of several fallacies ...
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31 views

Variable Position Sizing: Equity Curve vs Buy & Hold

I have a trading strategy that can take multiple long positions with different sizes before selling them. For example, buy 5 shares of ABC on days 1, 2, 3 and sell 15 on day 4. Going forward, buy 10 ...
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37 views

Machine learning in stock price prediction [duplicate]

I am new and thinking to experiment in the stock price predication. There are many way like moving average but I am interested in using machine learning. Anyone can help me here to give pointer?
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50 views

Source for Intraday or High-frequency stock price data

I am in search for intraday (some observations per day would be fine) or high-frequency data for stock prices. I have for example 3.000 ISIN numbers of German companies and want to get the intraday/...
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25 views

How minutely volume data is summarized from the actual transactions?

import yfinance as yf data = yf.Ticker('CFLT').history(interval='1m', start='2021-07-09', end='2021-07-10') Using the above python3 code, I can get the minutely ...
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83 views

stock price trend classification using Random Forest in sklearn

I have created a random forest classification model in skicit-learn, but I am unsure how to finalise my forecast. I have built the model and it is showing good results on the testing data. I get a ...
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43 views

Futures price, stock index futures - is it determined by the market?

Is it accurate to say that the futures price is determined by the market during the time when the underlying securities market is closed and when the underlying market is open, the future price is ...
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26 views

Which website has the complete sector/industry info of a stock?

https://finance.yahoo.com/quote/XFLT/profile For example, I don't see the sector/industry info the above stock. Is there a website that has complete sector/industry info for all stocks (at the least ...
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68 views

Why do Futures Contracts use variation in the US, but options don’t?

Sorry if this is obvious, but I was reading up on Futures and the concept of variation margin intrigued me. Options settle like Stocks and have unrealized gain/loss without affect on cash flow during ...
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81 views

Wilshire 5000/GDP Ratio dividing indexed values and not actual values?

I’ve been playing around with the FRED datasets: Wilshire 5000 Total Market Full Cap, and nominal US GDP. I found that the Wilshire 5000/GDP index (https://fred.stlouisfed.org/graph/?g=qLC) is the ...
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Classic Studies of Stock Price Movement After Earnings Announcement

I'm looking for the most well-cited/well-known/most comprehensive academic studies about the movement in share prices of preferably SP500 companies after earnings releases. If someone could point me ...

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