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Questions tagged [finance]

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0answers
15 views

Should the unsecured loan ( for example Bilateral loan) be more expensive than a secured loan ( Bond repo) in the 1 year?

What i am trying to understand is, the Repo trader when he prices a Reverese repo to the sales team, how should it be priced? Usually Repo trader or ALM gets funded (FTP) by their Treasury Dept. ...
1
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0answers
224 views

How to calculate optimal monthly withdrawals from an investment with compound interest [on hold]

I have 1.25M dollars. I want to put it in an investment with 60% annual return paid monthly and re-invest the interest to achieve compound interest. After 15 years, my principal would have grown to ...
1
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1answer
28 views

Portfolio Variance - Explanation for equation : Investments by Zvi Bodie

Source: Investments 10th Edition by Bodie, Zvi. Page 227 Chapter 7 In Equation 7.17, the book breaks the variance into two parts. I can't seem to understand why the 1/n is represented outside the ...
-2
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0answers
35 views

purpose of negative revenue

Can anyone explain negative revenue on quarterly reports? It is creating discontinuities when I compute growth rates. Here is some example from my SQL: ...
-2
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0answers
20 views

I need good book about quant finance [duplicate]

Hi i want someone to tell me how to improve myself in quant finane , i start read for jean hull but i dont find enough explanation to mathematical things ,i realy need your help to find a good book ...
-1
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0answers
28 views

Black Litterman - Sector rotation

I was wondering if anyone here have ever tried to introduce sector rotation with regards to the Black-Litterman model. I want to try to expand the BL model by introducing this feature, however I have ...
0
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1answer
52 views

Mean Variance Investment problem

I attach a part of a paper explaining how the weights of a market portfolio are derived. I do not understand how equation 5 has been derived and, in particular, where the zero beta portfolio's return ...
3
votes
1answer
219 views

Fama French (2000): Characteristics, Covariances and Average Returns - intuition behind sorting of the returns

I am in the middle of doing my graduate programme in Accounting and Finance. Right now, I am taking a ph.D level course in Asset Pricing, wherein our first assignment/task is to recreate some tables ...
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3answers
818 views

How to download bloomberg intraday data efficiently with API

so I would download a bunch of intraday data, for a bunch of securities, but we keep hitting our monthly cap limit. We don't want to upgrade to a more expensive package as this is simply a research ...
-2
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1answer
1k views

What's state price vector?

What is state price vector?. Please explain me in detail is difficult to understand for me.
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2answers
45 views

Low-Cost Historical Corporate Financials Data?

For my finance textbook, I would like to recommend data sources that students can afford. Obviously, Compustat is not affordable. Are there any low-cost or free data bases that offer basic ...
-2
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1answer
69 views

Is R suited for a Quantitative Finance executable application

I wonder if a R-Shiny application works well for a production environment or the only option is C++. I make this question taking in account that R and C++ have a widely set of quant libraries that ...
0
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0answers
75 views

Natural Gas Modelling

In job adverts for natural gas/power trading it states knowledge of supply and demands models for these commodities. Does anyone know of any good papers or primers on S&D modelling?
4
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1answer
109 views

Fama and French 1997 Cost of Equity

Dear Quantitative Finance Members, I was wondering if you can clarify me the following issue. I am trying to estimate the cost of equity following "Industry costs of equity" (Fama and French, 1997). ...
5
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0answers
61 views

Merton's portfolio problem with constraints

Suppose the investor can invest in a Black-Scholes market with one risky asset $S$ with drift $\alpha$ and volatility $\sigma$ and a riskless asset $B$ with a riskless rate of return $r$, and the ...
0
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1answer
88 views

why bridgewater filing only shows 10 billion in AUM

bridgewater supposed to manage 200 billion, but it 13F filling only shows 10 billion in AUM https://fintel.io/i13f/bridgewater-associates-lp/2018-09-30-0 why is it?
2
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1answer
45 views

How to Parameterize a Bond Yield Curve?

Suppose I have a Bond Yield Curve (assume Semi-Annual Compounding), at term 1M, 3M... 1Y, 2Y... 10Y, 15Y ...30Y (x-axis is maturity / term). How should I parameterize this yield curve? Any ...
-1
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1answer
43 views

can a country replace its debt with a low interest loan?

Recently in my country, someone started a buzz in which he had plans to replace current debt of the country with low interest loans from other countries such as Japan. May I know if this is possible ...
1
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0answers
51 views

Pricing methods in the real world when there is more than one free arbitrage price

Perhaps this question sounds trivial and obvious, but I am starting to study this new field. When we are in a complete market without arbitrage opportunities there is only one risk-neutral martingale ...
1
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1answer
99 views

Cost of equity proper way of calculation

Dear Community members, I need to calculate cost of equity following the following description: (Please, correct me if I misinterpret the meaning) "The annualized cost of equity, re(t), is ...
5
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0answers
136 views

Interpreting Fama-French factors for the German stock market

I calculated the Fama-French five factors myself for the German market. Most of my results align well with prior research, except one thing: When i do the calculations for the sub-period from 2011 to ...
1
vote
1answer
130 views

Fama MacBeth cross-sectional Regression

I am deeply confused right now and hope someone can help me out a bit. I want to replicate part of a paper from Fama/French (2008), Dissecting anomalies, specifically, Table IV "Average Slopes and t-...
1
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1answer
303 views

What if CAPM cost of equity is negative?

Dear Community members, I calculate 5 years trailing beta using capm. After that I calculate estimated cost of equity. However, what I have is that most of the observations have negative cost of ...
4
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1answer
166 views

Limit order book cancellations

Is there any practical and academic interest in predicting which orders in a limit order book will be canceled? From a policy point of view are people interested in detecting potential spoofing ...
0
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1answer
39 views

When estimating P/L through greeks based on zero rate curves, does it contain time (theta) PNL?

Suppose on day 1 we calculate a delta wrt. a point on an interest curve of zero rates, we then let 1 day pass, recalculate the interest curve of zero rates with the same bonds (though now day 20 bond ...
1
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0answers
22 views

Which stock price to take for historical ratios in stock screener (EPS etc.)?

We are currently testing a stock screener that we built and want to implement historical ratios in there too - this is working already for all ratios that don't require stock prices (so all ...
2
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2answers
132 views

Utility functions, are they used in the real world by hedge funds, banks, etc?

I am starting to study mathematical finance. When I studied microeconomics and macroeconomics I studied utility functions, but I never saw how they are in the real world. I do not see how they can be ...
2
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0answers
69 views

Does Academic Research Destroy Stock Return Predictability?

McLean/Pontiff (2016) give evidence that portfolio returns are 26% lower out-of-sample and 58% lower after publishing an academic paper on variables, which are likely to predict cross-sectional ...
3
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0answers
39 views

Headquarter Relocation and Stock Return - Influence of Universities

Scott Galloway states in chapter 8, The T Algorithm, in his book The Four: The Hidden DNA of Amazon, Apple, Facebook, and Google, that a successful strategy to become a "trillion dollar company" must ...
1
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0answers
68 views

Barrier Shifts - necessary for up-and-out call / down-and-in put?

Recently I came across the topic of barrier shift for barrier/digital options. I found that most examples centred around down-and-in puts / up-and-in call / digitals. I am wondering if we need ...
1
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0answers
68 views

Idiosyncratic Volatility

I calculate monthly idiosyncratic volatility as the standard deviation of residuals of a Fama-French regression on daily returns. Now assume that within these daily returns there is a price hike due ...
1
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1answer
89 views

Cash Flow News and Discount Rate News + Return

I will appreciate If someone help me to understand how the final expansion is made. Specifically, how CF & DR are drived. This model is introduced by Chen et. al. (2013).What Drives Stock Price ...
6
votes
1answer
2k views

Fama Mac-Beth (1973) vs Fixed effect

Currently testing if monthly fund characteristics (size, capital flows, age, risk, persistence,...) explain funds abnormal returns. My data is set as a panel with 1000 equity mutual funds over the ...
1
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1answer
77 views

Replicating portfolios [closed]

Prices of a stock are modeled using a two-period binomial tree, with each period being six months. The continuously compounded risk free interest rate is 7 % The stock pays 2 % continuous dividend. ...
8
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1answer
264 views

What drives the idiosyncratic volatility puzzle?

I am currently analyzing the idiosyncratic volatility (IVOL) puzzle. (Ang, Hodrick, Xing, & Zhang (2006) found that idiosyncratic volatility (IVOL) and next-month cross-sectional returns are ...
1
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0answers
57 views

Why do we require a continuous volatility calibration while pricing Options [closed]

On pricing Options the volatility surface is represented by a mathematical model (with parameters). What does it mean to calibrate the volatility surface How often has the volatility surface to be ...
2
votes
1answer
86 views

Fama French sorting

I am trying to calculate my own monthly fama french factors SMB and HML and I have a general question about a final screening act. I understand that to sort companies in june of year $t$ they need to ...
1
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0answers
54 views

How to calculate Market Return based on an own sample?

I have read several papers and am more confused than clearer about my problem after the reading. I am trying to validate my sample. I use the Schmidt et al. paper (2015) as a guidance to construct ...
0
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0answers
15 views

Long Horizon Regression, stationary variables

I am currently looking at long-horizon regressions, to be clear, $$Y_{t,k}=\theta X_{t-1}+ε_t$$ Where, the dependent variable is a k-period return, regressed on a lagged predictor. I have seen ...
0
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1answer
49 views

Calculating Mutual Fund Returns [closed]

Using Thomson Reuters Eikon I can extract the monthly NAV and Dividen Payments of a fund. I would like to calculate the monthly returns of a fund now. Would this be the right approach? Fund Date NAV ...
249
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29answers
189k views

What data sources are available online?

What sources of financial and economic data are available online? Which ones are free or cheap? What has your experience been like with these data sources?
1
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1answer
65 views

Using interest rate as a discount factor in dividend discount model

In this paper, Galí and Gambetti calculate the fundamental value of asset price by using policy interest rate as a discount factor. I was wondering if the policy rate can be used in this kind of ...
1
vote
1answer
33 views

How to measure the impact of regulation on fund fees?

I want to measure the impact of mandatory disclosure on inducements on fees. I thought about doing a difference-in-differences analysis around the date of the new regulation with mutual funds as the ...
0
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1answer
63 views

How to Calculate Stock Return with Stock Bonuses and Rights?

I would appreciate if you could let me know how to calculate stock return for a given company when the company issued bonus shares and rights. If company just paid dividends, stock return would be: ...
0
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0answers
29 views

Distribution of data for GBM

I am running some Monte Carlo simulations with GBM on time series of commodity prices. First of all, the price data is annual between 1900-1950. I would firstly like to know if it is bad practice to ...
3
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2answers
492 views

What are the assumptions in the first-stage of Fama-MacBeth (1973)?

According to the CAPM, the expected return of asset $i$ is: $E(Z_i) = \beta_{im} E(Z_m)$ where $Z_m$ is the excess return on the market portfolio, and $Z_i$ is the excess return of asset $i$ over ...
4
votes
1answer
504 views

Trading Strategy adapting to my trading frequency

We want to predict the direction towards which the price will change. In this work the term price is used to refer to the mid-price of a stock, which is defined as the mean between the best bid ...
90
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17answers
16k views

Video lectures and presentations on quantitative finance

What are your favourite video lectures, presentations and talks available online? A few rules: Must be related to quantitative finance. No Economics 101 courses, please. Try to avoid DIY lectures ...
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0answers
13 views

Definition of Arbitrage [duplicate]

Definition. An arbitrage is a portfolio $H$ ∈ $R^n$ such that • $H · P_0 ≤ 0 ≤ H · P_1$ almost surely, and • $P(H · P_0 = 0 = H · P_1) < 1$. where $P_0$ and $P_1$ $\in R^n$ represent the prices ...