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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0answers
40 views

How can we track historical valuations of factor portfolios in emerging markets (in terms of P/B or P/E e.g.)?

We can analyze factor investment approaches (momentum, low vol, quality, dividend, ...) for example by looking at the corresponding MSCI indices. Doing so we can read of today's valuations (P/E, ...
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60 views

What study has shown that “about two thirds of acquisitions end up destroying shareholder value”?

The Best of Value Investing - Part 1 says: Study show [sic] that about two thirds of acquisitions end up destroying shareholder value. What study has shown that?
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3answers
7k views

What are the best sources for equity quantitative research?

What are the best sources of quantitative finance research in equities? I will list a couple and note an asterisk if the research is available by request (i.e. non-clients) or online: BAC-Merrill ...
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0answers
132 views

Is it possible to calculate implied probability of >=X% return based on implied volatilities from options

My question is: Is it possible to imply either the upside or downside (one sided) probability from looking at implied volatilities of stock options? Let's take an example: say you had Stock A at $50, ...
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1answer
253 views

How do stock watch firms know who is buying and selling stocks before it is announced publicly?

The interview Warren Buffett Sells 30% Stake In IBM | Squawk Box | CNBC on May 5, 2017 mentioned that there exist "stock watch firms" that spotted Warren Buffett sold 30% of his stake in IBM before it ...
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2answers
1k views

What are reasons not to do factor investing in equity markets?

Factor investing in equity markets is one of the hot topics of these days. Many manufacturers of investment products offer exposure to small cap, momentum, minvol, value and other pure factors or ...
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0answers
41 views

RegNMS, National best bid/offer and Smart Order Routing

I read Flash Boys when it first came out. If memory serves correctly it said US exchanges are required to forward received orders to another exchange if it has better prices, to achieve the best ...
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1answer
394 views

How do I calculate levered equity beta without unlevered equity beta? [closed]

I'm doing an assignment where I have liabilities including market and book values of long-term debt. I also have capital including common stock, paid in capital, and accumulated earnings. I've been ...
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1answer
305 views

Control for non-synchronous trading in correlations

I am trying to replicate some results from the Betting Against Beta paper by Frazzini & Pedersen. In section 3.1, Estimating Ex Ante Betas, they illustrate their approach to correlations: [we ...
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1answer
173 views

What is the other type of impact of dividends on the stock price in this formula?

Excerpted from Marek Musiela and Marek Rutkowski's Martingale Methods in Financial Modelling, Second Edition. I think I understand formula 3.71: paying cash dividend $\kappa_j$ at time $T_j$ will ...
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4answers
714 views

Why is variance problematic as a risk measure?

I am looking for a simple example which explains why variance as a risk measure can be problematic (with a long-only portfolio with no options).
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2answers
669 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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0answers
72 views

Evaluating passive fills

Assume we look at all passive fills going through a security. How do we benchmark how good each passive fill is (relative to each other)? We expect the edge to be (assuming midprice is our ...
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2answers
100 views

If I have adj.close and close, how to convert open to adj.open?

If I have adj.close and close values of a stock, and I want to calculate adj.open from ...
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3answers
111 views

Find the tick increment value of an equity

Is there any resource containing the tick increment values of NASDAQ/NYSE equities (.0001, ...
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1answer
185 views

if you short sell? And Right issue has taken place, so Does Right issue has negative positions in Portfolio or not?

I am searching for exact accounting example of Stock right position in Portfolio when someone is short sell. Searched a lot over Google, contacted local Brokers as well..Didn't get any response. ...
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1answer
81 views

Converting international equity returns to USD

Background: I am trying to replicate some results from the Betting Against Beta paper by Frazzini & Pedersen (FP). (http://www.econ.yale.edu/~af227/pdf/Betting%20Against%20Beta%20-%20Frazzini%...
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3answers
450 views

Executions deep in the Limit Order Book?

I have some Level III (message level) data for equities and I have found several cases in which I register the execution of a Limit Order at a price "worse" than the best bid or ask. For example, ...
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2answers
1k views

Why is stock futures price much lower than spot?

What might be the reason for a futures price on a stock being much lower than the spot, i.e. stock price? Spot = 8.30 Futures M17 = 7.45 U17 = 7.23 The company does not pay dividends. No-arbitrage ...
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2answers
238 views

Trying to calculate WACC (Weighted Average Cost of Capital) for this (small) data set

I've attached the data set I'm working with to this post. I'm trying to calculate the WACC using this data. I found a formula here: http://www.investopedia.com/ask/answers/063014/what-formula-...
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2answers
1k views

call vs put open interest

I have been observing the data for US stock options. In general, it seem like there are more open interest for call rather than for put, is there a reason people like to write more call? at the ...
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1answer
1k views

How to compute VaR of a simple equity portfolio?

How do I compute VaR of a simple equity portfolio? I know current weights and can easily access the history of the stocks' daily returns.
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1answer
40 views

Public Company Competitors?

Where can I input a stock ticker and get back a list of the top 3-5 competitors of the stock? E.g. if I input F, I get GM, etc. It would be great if this could also give me data for delisted stocks.
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1answer
339 views

How to download historical composition of a Stock Index with monthly prices

for a Quantitative project in Asset Management, I need to obtain for each year -on a long period (20 years) - the different historical constituents and their prices on a monthly basis for a given ...
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6answers
599 views

Why can sometimes stock prices rise when interest rates rise?

Basic macroeconomics theory states that stock prices are inversely correlated with interest rates, i.e., when interest rates rise, borrowing is more costly, and thus companies with huge debt would be ...
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2answers
513 views

What's the exact definition of alpha?

I am quite new to finance and I often hear people say 'I have 2 bps of alpha' or 'I have an alpha of two bps' I don't quite understand what does this mean For me alpha is about predicting power. At ...
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2answers
1k views

Google Finance API, how to retrieve identical ticker symbols in python on two exchanges

Stock data retrieval form Google. Example: I want to retrieve the stock data for Infosys. Infosys has two listings with the same ticker symbol but on a different exchange and in different currencies (...
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0answers
56 views

Alternative to Quandl for Europe or France equities? [duplicate]

Quandl is perfect for US equities, but lacks data for Europe/France. I'd like to find the equivalent of the following data for Europe/France: Zacks Daily Maintenance Zacks Company Profiles Core US ...
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1answer
126 views

Why SPY gaining value overnight?

I am just learning quantitive finance and most likely missing something really obvious here, but why is S&P500 gaining value outside of trading hours? Or is it? I took following data from Yahoo ...
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1answer
317 views

How can I get reliable Yahoo Finance stock information? [duplicate]

I've been trying to calculate returns for different stocks but using Yahoo Fiance Historical price data seems to be weird. For instance, looking up the March 5th 2012 Price for APPL on the online ...
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1answer
906 views

How come SNAP does not have option chain?

I want to buy put options on the newly issued SNAP stock (Snapchat). How come the option chain is still empty? it's been a few days since the IPO.
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1answer
80 views

Doing MC simulation using two different methods, are they the same?

I have learnt two versions of Monte Carlo simulations to do stock price, and can someone help check if I am thinking this right. The first one is the most common one: $\frac{\Delta S_t}{St}-1 = \mu ...
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1answer
337 views

Loading metastock data into panda data frames

Most paid end-of-day data packages are available in metastock format. For analytics purposes, it will be nice if one can read the metastock data and load them into Python panda data frames. Is it ...
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2answers
511 views

Prove that the vertical spread condition is bounded

I need to prove that vertical spread is bounded, by using no arbitrage condition. 0 > (C(T,K1 )- C(T,K2))/(K1- K2 ) >-e^(-r*T ) I have documented my ...
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0answers
35 views

Spot an activity of stock tickers

I've got 5 minute interval data of the 500 most viewed tickers. I would like to try to correlate changes in place in ranking of given ticker with volatility of underlying asset (for given stock market)...
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1answer
123 views

Implied Volatility of a stock?

I know that implied volatility is the result of backing volatility out of any one of the many options pricing calculations. However, I've noticed that on ThinkorSwim and other platforms they also ...
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1answer
45 views

Buying shares of NASDAQ listed companies on the NYSE

Has it always been possible to buy shares of NASDAQ listed companies on the NYSE? If not, what piece of legislation amended that?
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1answer
168 views

Efficient way to short Tesla

I believe that at 45B$ Tesla is massively overpriced. The thing is that I don't know how long it will take it to trade on fundamentals, maybe a couple of years after launching model 3. So I want to ...
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1answer
172 views

What happens when someone makes absurdly high or low bid or ask on a stock?

I was thinking, what would happen if I wrote a script constantly spamming small quantity 1 dollar or maybe 0.1 dollar bids on less liquid stocks (not penny stocks) just hoping to see a situation where ...
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2answers
250 views

Where can I get a dependable data stream of stock prices?

I want a dependable stream of second-by-second stock data. I have looked into quantgo, iqFeed and QuantHouse. Quantgo and iqFeed seem decent. QuantHouse with its ultra low latency speeds seems like ...
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1answer
2k views

Where can be found the tick size list for stocks traded in NASDAQ and NYSE?

Answering this question is relevant to assess the quality of a time series in order to observe whether the data vendor applies some rounding to the data or is more decimal are present than the actual ...
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3answers
823 views

Spread over LIBOR on a Equity Swap

Does anyone how banks determine the spread over LIBOR on a Equity Swap? Example: Party A pays the return on SPTR to Party B Party B pays 1M LIBOR + 40 bps to Party A Does anyone know how the 40 ...
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2answers
178 views

When a stock's price could suddenly drop to zero before expire. does black-scholes misprice the option? Too high or Too low?

Quantitative Question – BLACK SCHOLES Consider a call option on a stock. Assume that Black-Scholes prices the option correctly if all of the assumptions of Black-Scholes hold true. Assume in addition ...
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1answer
103 views

S&P 500 list for free with exits?

Is there any free source for S&P 500 historical data with exits for the last 10 -20 years? I can get free data from Yahoo, but it only has the currently traded tickers and NaN values before the ...
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1answer
2k views

What does a negative coefficient of variation mean when calculated from daily returns during a period?

I was wondering what a negative coefficient of variation means when calculated from a set of daily returns for an index?
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1answer
85 views

Unicredit February 2017: would I have Lost 50 Percent of my Money?

Some of the news regarding Unicredit indicate that the stock price was reduced by 50 percent from Friday (3 Feb 2017) to Monday (6 Feb 2017) (e.g.: ...
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1answer
169 views

Option on index vs option on index future

Cash-settled options on the S&P 500 index existed before options on futures on that index. Where would the demand for options on futures have come from prompting the exchange to begin listing them,...
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0answers
29 views

Best strategy for generating floats with minimum amount of risk

I'm looking for a way to get cash-in-hand in exchange for future obligation. For example, I can sell deep-in-the-money puts and buy out-of-the-money puts (for hedge) with expiration of 2 years, The ...
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0answers
78 views

Discrepancy in stock volume amounts at Yahoo, Google, Stock Market Watch and the official website of a company

I have a question regarding differing stock volume amounts for a specific stock reported on various financial websites. For example, let's take a look at Lockheed Martin's volume amount at 12-12-2016. ...