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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22 views

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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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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Probability of touching a short strike

Assume we setup a short strangle: current stock price at 20, put strike at 15(-0.30 delta) and call strike at 25(+0.30 delta). How do I calculate the implied probability of the stock to touch 15 first(...
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How should I proceed in searching for a growth company worldwide? [closed]

I'm an undergrad student in maths and taking part in a challenge proposed by the department of finance to the students. The challenge consists of choosing a listed company based anywhere in the world ...
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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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81 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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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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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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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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58 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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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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Where can I find a source that futures traders use ATR and stock traders use log price ratio standard deviation to calculate volatility?

In the wikipedia article about the average true range, I can find the following statement: Since true range and ATR are calculated by subtracting prices, the volatility they compute does not change ...
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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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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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85 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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75 views

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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50 views

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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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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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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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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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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67 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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74 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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How do we analyse the future and option market on the base of the Fama-French model?

How do we analyse the future and option market on the base of the Fama-French model? Basically i want to know can we analyse derivative market on base of FAMA French or CAPM model ? e.g for stock we ...
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28 views

How to assign stock sales to purchases in order to minimize capital gains tax?

Imagine you have the following transactions: fiscal year day type amount price 2020 1st of October Buy 10 000 stocks of XY corporation 14 000 € 2020 1st of November Buy 10 000 stocks of XY ...
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From SEC Comprehensive Data Set to Clean Balance Sheets/Income Statements

I am looking for advice on how to smartly get from unstructured financial data to a clean summary of balance sheets. I think of this not as a coding problem but of a question how to approach the task -...
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36 views

Portfolio variance over time vs. Portfolio variance from mix of two assets

Here are two facts about finance: 1. If stock returns are not independent, for example tomorrow's return equals today's return, then the variance over two days will be less than the variance of 1day*2....
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148 views

Is there a name for (close-open)/(high-low)?

(close-open)/(high-low) may contain useful information about stock prices. Is there a commonly accepted name for this quantity?
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96 views

Exchange code used by Yahoo Finance

I see the following code in the exchange column of the lookup page. https://finance.yahoo.com/lookup/ Example tickers are in the parentheses. ASE (ZOM) * BTS (CBOE) * NCM (ZYXI) NGM (ZYNE) NMS (ZY) ...
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60 views

What does the listing directory on NYSE have?

https://www.nyse.com/quote/XNGS:ACT ACT is listed but does not have a current price. Does anybody know what are on listings_directory? https://www.nyse.com/listings_directory/stock How to find all the ...
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113 views

What does ^ mean in a security symbol?

I see ^ is in a symbol like this. In general, what does ^ mean in a security symbol? Thanks. https://www.nasdaq.com/market-...
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55 views

Is AAPL on both NYSE and NASDAQ?

https://www.nyse.com/listings_directory/stock I can find AAPL on the above page. But I can also see it on NASDAQ. https://www.nasdaq.com/market-activity/stocks/aapl https://finance.yahoo.com/quote/...

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