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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50 views

What is the stock price expectation?

The Hull textbook (and accompanying technical note) says that the expected stock price $\mathbb{E}[S_T]=S_0 \exp(\mu T)$. However, the answers to a British actuarial examination (Q4 for September 2018)...
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34 views

Pricing Equity Swaptions

Consider a swaption to enter into a standard equity swap as a fixed-rate payer, equity receiver, in which the notional principal is fixed. If the strike is K. the underlying swap starts at time 0=n ...
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Frankfurt stock exchange companies

I can't seem to find all the symbols for companies traded at Frankfurt stock exchange, presented as csv (or any downloadable format). Could you help me?
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70 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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65 views

Relationship between ROE and IRR

In the textbook I read the following: We can increase the present value of a share of common stock with a new investment only if $ROE > r$ , where $r$ is a discount rate (capitalization rate). ...
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40 views

Cheapest instrument choice for low frequency long/short equity

I am trading a market neutral long/short equity portfolio. Right now I am trading cash equities, but I am interested in replacing some or all of the cash equities with derivatives, either single stock ...
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39 views

Expected Yield to Maturity & Default Risk Premium

For a corporate bond, which natuarally has a default risk, the expected yield to maturity (EYTM) is defined as the probability-weighted average of all possible yields. Hence, for a 10-year zero-...
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1answer
45 views

How to calculate yield from holding companies like BRK?

We know Buffett's Berkshire doesn't pay dividends. But Berkshire owns many companies that pay dividends, say Wells Fargo and BofA. If one day, BRK decides to pay dividend, would their yield be around ...
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1answer
38 views

How to deal with intermittent NA values in a price series when calculating returns

Let's say a have a price series for a share for the year 2000. On the 27th of July 2000, there is a missing value represented by NA. This was not a holiday or any other non trading day as other shares ...
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1answer
54 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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2answers
108 views

Fama French Three Factor Model: How do I get the risk premia?

I try to calculate the cost of equity with the FF3 model and already estimated the beta factors for the market, size and value risk premia by using regressions and the data provided on the Kenneth ...
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2answers
187 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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37 views

How to backtest a sample of trades to optimize stop loss on losing trades and profit targets on winning trades?

I have a history of hundreds of executed trades. Given those trades, I want to know if there's a tool or framework that can help me figuring out: What would have been the most cost efficient stop ...
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36 views

Permanent stock referencer

I am building a data set of stock market data and was wondering how (what algorithm) to use (internally) to assign a key to each stock so that they key will remain the same always (tickers change and ...
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5answers
134 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 ...
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1answer
387 views

Initial margin requirement as percentage, not dollar value

Problem from Finan, FM/2 On 12-30-1998, you decided to bet on the January effect. On that day, you bought 400 shares of Microsoft on margin at the price of 139 per share. The initial margin ...
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2answers
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How does the securities lending market work?

After doing some research, literature suggests that "most" securities lending happens over-the-counter (OTC) as opposed to securities trading which is mostly done through a centralized electronic ...
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19 views

Getting index sectors historical weightings from Bloomberg using python

I want to know how to download an index sectors' historical weightings from Bloomberg. For example, S&P 500 is comprised of Telecom Svc, Materials, Utilities, Energy, Consumer Staples, ...
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1answer
85 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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1answer
441 views

Getting index sectors historical weightings from Bloomberg

I want to know how to download an index sectors' historical weightings from Bloomberg. For example, S&P 500 is comprised of Telecom Svc, Materials, Utilities, Energy, Consumer Staples, ...
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4answers
983 views

Why should there be an equity risk premium?

After years of mathematical finance I am still not satisfied with the idea of a risk premium in the case of stocks. I agree that (often) there is a premium for long dated bonds, illiquid bonds or ...
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0answers
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Value weighted Portfolio: Include Market cap of pref shares?

I got Datastream MV data for my sample and i want to exclude Preference Shares. Since Datastreams definition of MV is shares*price there are two Marketvalues, one for common stock, one for preference ...
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66 views

Using ISIN to identify stock at yahoo finance

I'm collecting stock data for private analysis. I found a very excessive list of stock at https://www.xetra.com/xetra-de/instrumente/alle-handelbaren-instrumente/boersefrankfurt but the problem is ...
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6answers
779 views

Kurtosis in asset logarithmic returns

Assets such as stocks usually display kurtosis in their logarithmic returns. However, their logarithmic returns in a time interval $n$ are the sum of smaller logarithmic returns in $1/n$ time ...
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2answers
85 views

Correct Discount Curve for Exchange Traded (Centrally Cleared) Products

What's the correct discount curve to use for exchange traded products? Would these be discounted at the OIS rate (because of the central clearing house)? E.g. the E-Mini S&P500 Future @ CME: I'm ...
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36 views

How do flat demand curves for stocks allow for price changes?

Many models in asset pricing base their assumptions on a flat demand curve for stocks, as they are viewed as goods with perfect substitutes. With this, I understand that any sort of stock sale or ...
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52 views

Identifying the same company behind stocks traded in different exchanges (e.g. CUSIP and WKN in 1990ies)

I would like to merge two data sources with companies headquartered in Germany between 1980-2000, but listed in Germany and the US. One source identifies "German companies" by their CUSIP, the other ...
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1answer
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Does Adjusted Closing Price take account the Expense Ratio?

first time posting at Quantitative Finance. I am trying to use the yfinance python library to load various ETF's data and compared the return. I understand the adjusted closing price handles the ...
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2answers
159 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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1answer
383 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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63 views

Difference between Predicting stock returns and Forecasting stock Returns?

The data that is used are either Technical Indicators, Fundamentals Indicators or Macro Indicators which is time series in nature. Given, if we are estimating one-period ahead returns(t+1), is there a ...
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1answer
202 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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2answers
9k views

How to calculate daily risk free interest rates

I'm working on an assignment in which I need to calculate excess returns for six stocks plus the S&P 500. I have computed daily logarithmic returns for every stock and for the market, I now need ...
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2answers
394 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
64 views

What is a good reason to accumulate a stock that is going to be delisted?

There is a stock in the Philippine market under Resorts World Manila with the stock code RWM and I have been monitoring this ...
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1answer
108 views

How to calculate the expected stock returns for an individual stock?

I know about CAPM. My question is if this method is also viable: Calculate monthly logReturns ...
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3answers
291 views

Fundamental reasons for the stock price change

Let us start from the old times, where markets were less liquid. Suppose I hold some stocks of the company XYZ and I want to sell them. Why shall I expect that their price can rise in the next quarter ...
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3answers
446 views

How do you characterize dividends for equity options?

While many systems like to treat dividends as a continuous yield when pricing equity options, it works quite poorly for short-dated options. In the short run, deterministic dividends are clearly the ...
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1answer
45 views

RQuantlib not returning greeks for options

I do not manage to get Delta/Gamma/Vega/Theta using the simplified AmericanOption function from RQuantLib: ...
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Is there any source where I can find historical data OR beta for Indian stocks based on their ISIN numbers? [duplicate]

I need a source that provides beta or historical data (through which I can calculate beta) for Indian stocks based on their ISIN numbers, having an API or csv deployment devices
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4answers
149 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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1answer
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What methods of Data-Screening are necessary before starting an analysis with Thomson Reuters Datastream?

So im currently focussing my research on Momentum-Trading Strategies. I downloaded Constitutents of different All Share indices (including Price, Return index, Market value and Dividend Yield). For ...
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59 views

Beginner FFT (Fourier) transforms on closing prices for Apple

I don't know math very well, but I have been programming for many years. I would like to use FFT as a parameter to a ML model. The FFT is diving down sharply. I tried many stocks and its the same. ...
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73 views

Stock prices and PCA

I'm trying to construct a portfolio using PCA based on a number of stocks. I was wondering what the best way to standardise the stock prices are. Which method would be more appropriate? Standard ...
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1answer
108 views

Building a semi-discretionary system

I've been investing for the last 15 years in a weird Buffett/Soros way. For the last few years I've been toying with the idea of modeling myself. I want to build a 'stock screener' that will be able ...
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1answer
53 views

stock specific volatility

I was unsure about the precise definition of "stock specific volatility". Used in this question "A stock has beta of 2.0 and stock specific daily volatility of 0.02. Suppose that yesterday's closing ...
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1answer
105 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
832 views

How could I become a market maker in forex/equity market?

By being a market maker, I mean when I post a limit order, someone could take your order. For example, suppose during this second the bid-ask is 1,1.01 constantly and I posted a limit order to buy at ...
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1answer
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Where do the zero returns in QMNIX (AQR Market Neutral) come from?

QMNIX, Which is a market neutral offering from AQR, has a surprising number of totally flat days. https://finance.yahoo.com/quote/QMNIX%3FP%3DQMNIX/history/ Looking at the returns, 124 of them, which ...
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68 views

Backtesting with Stock Indices, how does one deal with it?

I was wondering how to backtest using stock indices. For example, the FTSE100 has had changes in its components over time. How does one go about testing a time period from i.e. 2000 - 2018, even if ...