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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1answer
271 views

Correlation between equity returns and debt spread changes

I have got two rather short questions. Statement: Theoretically, a firm's equity prices and credit spreads should be negatively correlated. This correlation tends to be stronger for riskier companies....
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1answer
121 views

Correlation between bond yields and stock returns?

I intend to regress the correlation coefficient (rolling window and/or DCC) between NIKKEI 225 adjusted close and 10yr Japanese government bonds on inflation , inflation expectations and other factor ...
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5answers
6k views

How to cluster stocks and construct an affinity matrix?

My goal is to find clusters of stocks. The "affinity" matrix will define the "closeness" of points. This article gives a bit more background. The ultimate purpose is to investigate the "cohesion" ...
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0answers
90 views

FTSE 350 sector index historical data

Does anyone know where I can find (at least 10 years worth of) end of day historical (op, hi, lo, cl) data for the FTSE 350 Sector Indices?. I need the data for ...
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0answers
93 views

Volatility of stocks

I want to build a theoretical Portfolio with markowitz optimization for a course in University. The task is to build a Portfolio with low risk. So i want to do a CPPI strategy. Now the stock part of ...
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1answer
356 views

What are necessary adjustments to returns in CRSP?

I guess this is a pretty straight forward and basic question. I am using the entire CRSP universe from 1962-2016 and my goal is to replicate a research paper. However, I realized that the average (...
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0answers
181 views

List of US Industry sector ETFs that map to ICB classification

I am in the prcess of carrying out intra-and intra sector analysis of US stocks, and am proxing sectors with sector ETFs. I therefore, need to catalog the list of US sector ETFs - but have been unable ...
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1answer
496 views

How to adjust trading volume based on stock splits?

Does anyone know how to adjust trading volume based on stock splits? Here is an example of ANA (9202.T) on 2017-09-27. A stock split happened with factor 1:10. <...
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11answers
5k views

Lévy alpha-stable distribution and modelling of stock prices.

Since Mandelbrot, Fama and others have performed seminal work on the topic, it has been suspected that stock price fluctuations can be more appropriately modeled using Lévy alpha-stable distrbutions ...
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4answers
6k views

How google finance calculates beta of a stock

How google finance calculates beta of a stock - What is the proxy for the market? - What is the time period it uses for regression?
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1answer
91 views

The right choice when the price of a stock follows a random walk

I've got the following question: Suppose the price of a stock either rises or falls by the same percentage for each day. Suppose there is no dividend and the interest rate is 0. Should I buy ...
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1answer
79 views

Role of next month's dividends in forward pricing

I'm using the equations given on this page to price forwards on an equity. It's a basic equation that discounts dividends. But my question is: What do we do about dividends that occur after the ...
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1answer
339 views

How to assign equity analyst recommendations to a common, numeric scale?

Yahoo finance conveniently provides historic ratings from a number of analysts. Unfortunately, each analyst seems to use a different scale: buy/hold/sell, perform/outperform/neutral, overweight/equal ...
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53 views

How do analyst on Wall Street forecast whole balance sheet

I am always curious as to how people on wall street forecast every single item on a company's balance out up to 3 years. It seems to me just pure false accuracy in order to come up with a price target....
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1answer
83 views

Analyzing stock performance - keep companies after bankruptcy?

I am currently analyzing the performance of stocks with high/low corporate social responsibility rating. Some companies went bankrupt during the observation period and I wonder how long I should keep ...
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0answers
172 views

What is a “monetary non-event” for a corporation?

Not "non-monetary event" because that would make too much sense. I've never really seen this kind of a question before, but someone asked me that question because they didn't know what it meant either,...
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1answer
84 views

Where to Find Historical Earning Event (Quarterly Figures Dissemination) Dates?

I am looking for a data source / database that holds historical (10 years, better 20 years) dates of US and European stocks: I need the historical date when the quarterly (or annual) fundamental data ...
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4answers
4k views

How to solve for the implied stock lending rate given equity options prices?

When market makers price options on hard-to-borrow equities, they include the cost to borrow the underlying equity that their broker is going to charge them to sell the security short to hedge. I'm ...
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2answers
201 views

Do underlying assets have a no-arbitrage price?

Can it be shown that the Fundamental Theorem on Asset Pricing (FTAP) applies to underlying assets -- namely bonds, equities, and commodities? FTAP says that assets have no-arbitrage prices equal to ...
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1answer
456 views

Where to get historical IV rank & IV percentile data?

I thought my broker (Interactive Brokers) was offering this but looks like what they actually supply is IV / with historical realized volatility. I also checked Quandl but as this is not data for ...
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1answer
85 views

Short selling volume reports

I'm researching short selling volume data reports from NYSE, NASDAQ and BATS (Sources: FINRA + BATS website). And my question is: Why are those numbers so high? Is it really just a speculative short ...
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1answer
67 views

What information is significant in a company's 10Q?

From a quantitative point of view which information is significant, what can be ignored?
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0answers
113 views

Why is limit price order been executed with a worse price?

recently I was trying to analysis the message data from NASDAQ ITCH data, but I find a problem with a type of message called "Executed With Price Message". For example, first there is an Add Order ...
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1answer
83 views

Open stock information database?

I know I can get stock prices from Yahoo Finance or Quandl, but does anyone know where to get stock information? i.e., industry, country, sedol, primary exchange Cheers, Steve
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2answers
1k views

How to calculate Fama-French factors?

How do I calculate the three factors? The first "market" factor seems straightforward. However the SmB and the HmL factors seem to require accounting data. Also, how does one calculate the momentum ...
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0answers
41 views

Why is expected equity returns the risk-free rate under risk-neutral measure? [duplicate]

Under risk-neutral measure, all assets have expected return at risk-free rate. This includes stock, or equity prices. But what of the fact that equities typically have higher returns than the risk-...
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3answers
68 views

Option with company earnings as underlying

I need to calculate the fair value of an option, with the underlying being the earnings of a listed company. I believe the best way to achieve this is to simulate the earnings of the company and I ...
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2answers
48 views

If a struggling company issues preferred stock, won't its share price hit rock bottom

I was reading a few days ago that Deutsche Bank was planning to issue preferred stock in order to gather cash. The company is struggling and because it has many illiquid assets some fear bankruptcy. ...
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4answers
743 views

How to get Stock Fundamental time series data?

I need key Stock Fundamentals like in http://finance.yahoo.com/q/ks?s=KO+Key+Statistics But that page shows only the last quarter data, I need to analyze how that data has changed over past years. ...
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3answers
2k views

Determine trends of data (direction detection or turning point detection)

I'm working on a model to determine trends (direction detection or turning point detection). Suppose that we have a stock trend which is illustrated below. Blue line is real trend of stock close ...
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2answers
82 views

Locked/crossed prices in US equities

I'm trying to build a consolidated LOB from several direct feeds. However, there are many instances in which for a given stock, the bid price in one venue equals or crosses the ask price in a ...
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1answer
121 views

ITCH feed, price executed at different to original order?

I am parsing an ITCH feed (Nasdaq) and I received an Add message (A) for 100@105.2 on the Ask. Later I receive an Order Executed message (E), indicating 5 lots of the above order had been filled. No ...
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2answers
229 views

Portfolio optimisation - Non brute force solutions to optimisation problems

Recently I wrote a program in Python which extracts stock data for a designated period and frequency of the predetermined stocks and then optimises the portfolio using the Sharpe ratio. In order to ...
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1answer
288 views

Replicating a portfolio with a certain payoff function

Assume there are two stocks $S_1$ with price $p_1(t)$ and $S_2$ with price $p_2(t)$ where $t$ indicates time. Assume, there is a hypothetical derivative $D$, which is such that, price of $D$ at a time ...
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1answer
163 views

How do I modify my basic black scholes model in Excel to price american options?

I've modeled a basic black scholes model in Excel and I have been using it to price European options for backtesting purposes. This has been working fantastically and I would like to adjust this to ...
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1answer
289 views

python: How use the S&P 500 index to predict japan stock,namely timezone issue

I want to use American stock index, such as S&P 500 index(open, close...) to predict japan stock daily close price or other with machine learning. I found that there is timezone between japan and ...
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1answer
189 views

Looking at distribution of yearly returns of time series

For S&P, or any time series for that matter. When doing analysis on the distribution of the yearly returns, should I be looking at 1) the daily year over year values, 2) pick some starting point ...
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0answers
115 views

Fama-French Global Factor Universe

I'm trying to replicate the Fama-French Global 3 Factor portfolios, but don't know how they define their universe. There are some details on his website, but they only cover ranking methodology and ...
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1answer
2k views

What exactly is an ISO order?

I have been looking this up and I feel like I keep running into different definitions. My understanding is that an ISO order is one which will get filled with the displayed quantity in a particular ...
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2answers
167 views

How much money tracks the FTSE?

What methodologies are there for determining how much money tracks an index such as the FTSE100? Are there public estimates?
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0answers
56 views

Calculating the PB of a stock in practice

This is a practical problem of calculating the PB of a stock. Here is a example of Jenapharm, but I am not sure which terms following can be found in Bloomberg. ...
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1answer
764 views

Forecasting next day return of a stock using PCA of index constituents

I am trying to predict the return of BN4.SI ( a singapore stock ) and part of Strait Times 30 component index using principal component Analysis. I have written my code in python. My Question is i ...
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2answers
111 views

What determines trading volumes of the same stock at different trading platforms?

What determines trading volumes of the same stock at different trading venues (exchanges/ECNs/dark pools)? It seems that they vary significantly.
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2answers
487 views

Poker and Options Trading

Certain trading firms (i.e. Susquehanna International Group) believe playing poker can help a trader better perform in the market. What is the rationale behind this? How exactly does playing a card ...
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1answer
74 views

Alpha & beta in investing [closed]

In stock analysis the baseline for alpha is 0, however for beta it's 1. Why is that so, if they are both comparisons to the market at a large?
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3answers
155 views

Why aren't option pricing models more frequently used to value risky cash flows?

One way to think of the value of a risky firm is through expected measure theory. On the most basic level, the value of any asset is the convolution of the probability density function of its risky ...
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2answers
52 views

Is “interest” positive or negative in the “free cash flow to firm” model?

FCFF = net income + non-cash charges + interest x (1 - tax rate) - long-term investments - investments in working capital My intuition is: if the company is receiving interests payments, then the ...
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2answers
989 views

Historical Financial Statement to Backtest in R

I would like to preface this by saying I am preparing for an upcoming internship this summer so I am extremely new to Quant Finance. At my university we have access to Datastream by Thomson Reuters ...
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2answers
661 views

Why are we obsessed over normalizing financial data?

I have recently began work on some high frequency financial tick data. I have been told to 'normalize' the data as much as possible and run linear regressions through them. In fact, the data doesn't ...
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0answers
89 views

Stock returns: Determining the window size

I am looking for a rigorous way to determine a suitable rolling window size for my stock data. Factors that will influence the window size are how fine my data is (minutely, daily, weekly etc.) and ...