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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5 views

Why are extended-hours Level-2 stock quotes odd?

What factors contribute to the odd quotes shown for stocks during extended market hours? (I'm guessing that at least some of them are the product of requirements of market makers, but I wonder if ...
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What is the simplest form this hybrid can be put?

I would like to price this \begin{equation*} \mathbb{E}^{\mathbb{Q}} \left[ e^{-\int_{0}^{T} r_{s}ds} f \left( CMS_{T_f}, S_{T_f} \right) | \mathcal{F}_{0} \right] \end{equation*} with the least ...
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Where can I find official s&p500 companies list? [closed]

For some research purposes, I need the official s&p500 companies list. I cannot use any data from Wikipedia or any other such kind of websites. I can use data from yahoo finance or s&p500 ...
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73 views

Appropriate Encoding for Stock Technical Indicators ? RSI

happy new year and i am new to machine learning + python.. so recently i am doing a project on my own to use machine learning models on technical indicators.. I have my technical indicators data ...
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How do I calculate the real taxes paid from 10-K forms

I guess we are familiar with the discussion, whether companies especially tech companies are paying their due in taxes. There was the huge discussion of Amazon paying nearly no taxes, using loopholes ...
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532 views

How do traders hedge against “tail side risk” in practice?

In a recent CNBC interview, Black Swan author Nassim Nicholas Taleb gave a categorical advice about investing in the Corona period. “It is very unwise to do any form of investment without some form of ...
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36 views

Predict Log Stock Return Direction and Trading Strategy

The $k$ period log return is defined as $$r_{t}(k)=log(S_{t}/S_{t-k}),$$ Where $S_{t}$ is the stock closing price at time $t$. For argument sake, assume that by time I mean a stock trading day and ...
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54 views

Can someone explain me why Disney has two different CIK's?

Disney, Ticker : DIS is triggering me, it seems that is has two different CIK's If you search disney 10-K forms here: https://www.sec.gov/cgi-bin/srch-edgar?text=company-name%3D%28DISNEY%29+and+form-...
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Market on Close orders

This is in reference to an article from zerohedge: [The article references an "MOC" order, which is a "Market-on-Close" order]. What type of order is it? I looked at the definition ...
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How to simulate stock prices with a Geometric Brownian Motion?

I want to simulate stock price paths with different stochastic processes. I started with the famous geometric brownian motion. I simulated the values with the following formula: $$R_i=\frac{S_{i+1}-...
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Simulate stock prices with Geometric Brownian Motion motion with mu and signa based on 'normal' or continuous compounding?

I have written a simple script for modelling stock prices using Geometric Brownian Motion. The time series I am downloading are daily adjusted closing prices. My aim is to be able to change the ...
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What are the advantages and limitations of predicting future stock prices using stochastic differential equations?

Recently I came across the following stochastic differential equation that "predicts" the value of a given stock: \begin{equation} dS_t = \mu S_t dt + \sigma S_tdW_t \\ S_t(0) =S_0 \end{...
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Equity risk factors with daily rebalancing

I am building some well known equity factors on the S&P for research purposes. It means those are going to be used for general evaluation purposes but do not need to be replicable. Would it be a ...
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Barra equity factor model handling equity index future

How is equity index future handled in Barra type of equity factor model, i.e. to get its market value exposure to various factors? Does one just treat it as a weighted combination of underlying single ...
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Testing Valuation, Size and Momentum (proprietary factors) from 1988-2013: No evidence of driving cross-sectional returns

I am currently testing whether three proprietary factors - Valuation, Size and Momentum - explain cross-sectional returns. A sample of 3000 securities was tested using Fama-MacBeth two-pass ...
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Can money technically flow in and out of stocks or asset classes?

For every buyer, there is a seller. Money can't 'flow' in and out of a stock, only the price changes. Is this applicable in the context of asset classes, for example, money market funds versus stocks? ...
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43 views

Why do prices of stocks change “premarket” and during “after hours”

How is it possible for there to be trading "premarket" and "after hours"? I thought the exchange is closed and thus trading during "premarket" and "after hours" ...
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Philippine stock real time intraday api [duplicate]

Could someone share free real time stock data for Philippine stocks?
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Abnormal Returns vs. Equity Cost of Capital

In trying to perform a meta analysis on the effect of KLD CSR scores on the cost of equity, I stumble upon plenty of papers that show positive abnormal returns for a company's stock given high CSR-...
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Can I download today's open/close/high/low data for all stocks (in bulk)? [duplicate]

EDIT: Regarding the [duplicate] designation: I carefully checked all the sites listed in the Equities and Equity Indices section of What data sources are available online?. I was not able to find ...
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137 views

How can we estimate new stock price after a large purchase?

Suppose someone buys $4bn of a particular stock over the period of a few weeks. Depending on how much that stock is being traded, you would expect that the price goes up in a visible way compared to ...
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How does clearing and settlement work in Europe?

I understand the basic trade lifecycle but I can't find more information on how clearing and settlement works. To my knowledge, if I buy VOD LN executed on LSE - this will be cleared by LCH which is ...
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Intuition for Stock Price Numeraire Drift

I would like to ask whether there is an intuition for the drift of price processes under the Stock numeraire. I find it intuitive that the martingale measure under the Money Market numeraire induces ...
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3answers
71 views

Hedge performance in times of volatility: Beta changes impacting PnL during market rebound

I hedge a portfolio of Global Equities (200 stocks within MSCI World universe) by shorting futures on MSCI World Net Total Return. The hedge is calculated using Beta. Beta is calculated using a risk ...
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Where can I find a Python module for Stock volatility estimators using Yang Zhang method?

Does anyone know of a Python library that includes the calculation of historical stock volatility using the Yang Zhang estimator? I have tried and failed to find one but would expect this to have been ...
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2answers
65 views

Why do (life) insurance companies face equity risk?

I am currently reading through a study published by the Institute and Faculty of Actuaries on hedging practices within the insurance industry. Within the executive summary, under 'Key Risks', it is ...
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Beta and standard deviation

IS beta of a stock formula equals to correlation coefficient multiply with annualized standard deviation of stock A divide annualized standard deviation of market . i am not sure whether to use ...
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1answer
112 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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2answers
1k views

Reliable stockmarket holiday, open and close time dataset/api?

Is there a reliable machine readable source of stock market holiday calendars? I found this source: https://eresearch.fidelity.com/eresearch/markets_sectors/global/holidayCalendar.jhtml I could ...
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129 views

CAPM and Beta: problem with regression (Beta is too low yet statistically significant?)

I have two time series of daily return calculated as $\frac{Price_{t}}{Price_{t-1}} -1$. One is the daily returns of a portfolio, the other the daily returns of the index (MSCI World). Period is 2020 ...
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43 views

Is “time value of currency” to be accounted for in returns calculation?

A simple question: When exchanging currency in order to finance an investment, is it standard/best practice to adjusted for exchange rates when calculating the NPL of that investment? For example: I, ...
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What to do if certain parameters are not market observable?

Lets say I have no clue on correlation between 2 equities in the market (i.e. i don't have an observable market price). What is the best way to go about marking this correlation for lets say the best ...
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2answers
130 views

Trading after the close

Are there institutions that will fill stock trades after the close (from stock on their order book) at the official close price? If so, would it be significantly more expensive to execute a trade this ...
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1answer
50 views

call vs average of prices

Consider a two-period binomial model, with one risky asset. The are two types of options: call option with strike price $K$, i.e., the payoff is given by $g(S_T)=(S_T-K)^{+}$ option with payoff given ...
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4answers
277 views

Technical Indicators reference

I have been looking for a good reference where I can find how technical indicators of stock market analysis are calculated. I have a dataset (time series) which I want to extract these indicators to ...
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2answers
68 views

How to find/calculate daily S&P500 dividends?

I need a time series with daily dividend data on the S&P500. I understand most dividend data is on a quarterly basis but I'm looking to model short-term effects of COVID-19 on dividends so I need ...
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52 views

intraday periodicity adjustments

I recently studied and implemented the intraday periodicity model of Andersen and Bollerslev from here. https://www.sciencedirect.com/science/article/abs/pii/S0927539897000042 The seasonality ...
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1answer
74 views

Why are equity futures so disconnected to the underlying index? Example

I am looking at ZWPH0 which is a future and the underlying index MSCI World. According to Bloomberg the prices are as follow: 13 March 2020: MSCI World 451 / ZWPH0 5234 16 March 2020: MSCI World 410 /...
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Results of Fama french three factors model and Fama MacBeth cross sectional regression

I am doing research work on “Idiosyncratic volatility and stock return”. I have calculated Idiosyncratic volatility with the help of Fama french three factor model. IV is defined as the standard ...
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1answer
79 views

calculation of theoretical value of futures contract [closed]

we form a stock index by using only two stocks in the index. One of the stocks is the Stock-A. The current selling price of the stock-A is 103 dollars and the second stock is the stock-B. The current ...
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1answer
560 views

Free dividend data API for non-US stocks

Is there are any free API for dividend data that does also include non-US stocks? I know of this question from three years ago. However, the situation has changed since then apparently, as there are ...
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Results of Fama MacBeth regression

I have run Fama MacBeth cross section regression of of Excess Return of stocks on Idiosyncratic volatility, the log of market capitalization, book to equity ratio and Beta. I'm getting all significant ...
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1answer
72 views

R - Portfolio construction based on own calculations, with rebalancing of components

I have used random forest in R to get probabilities for stocks being in a certain class. With those probabilities i would like to construct portfolios containing the 5 stocks with the highest ...
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3answers
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What is the benefit of buying stock options vs. purchasing stock? [closed]

I am aware that this is a simple question; but, given the scenario below, I have not found a satisfying answer while searching this site or Google. My understanding Stock options have been described ...
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12 views

Mutual Fund holdings data

Is there any source where mutual fund full holdings data can be found? I cannot seem to find it anywhere, even paid sources. Some sites will have to 10 or 25 holdings but not full.
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1answer
40 views

How to calculate long-short performance using CFDs?

I am trying to calculate NAV and performance for a L/S fund which shorts via CFD. Obviously in a traditional short sale, there would be cash generated to match liability incurred but this is not the ...
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Stock IPO date data

I would like to get the date a company was founded and the date it went public for all US stocks listed on major exchanges (NYSE, NASDAQ). I thought this data would be very basic and easy to find, ...
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2answers
66 views

Bloomberg European equities tickers

I am trying to understand the abbreviations in the Bloomberg European stock or STOXX data. Each ticker represents company name abbreviation - Listed exchange. For example, CSP - LN is Countryside ...
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1answer
106 views

Variance attribution calculation from a covariance matrix

Say I have a portfolio with two assets with weights $(x, y)$, and the covariance matrix of the two asset is $((a, r)(r, b))$. Then the total portfolio variance would be $x^2a+2xyr+y^2b$. It is easy to ...
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API for Real-time and historical Stocks Tick Data

I am looking for a reliable API (e.g. Bloomberg, but available for individuals) where I can get stock tick data up to the minute, both historical and real-time. Obviously I am willing to pay for the ...

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