Questions tagged [fundamentals]
The fundamentals tag has no usage guidance.
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future cashflow loan equivalence
I'm trying to improve my understanding of valuation under collateralisation.
One point that is made within multiple sources is for an uncollateralised derivative, how a future cashflow is equivalent ...
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Replication Proofs and No-Arbitrage Proofs
I've just started studying quantitative finance and have had questions closed on this forum for being too basic; if that's the case for this one please let me know a more suitable place to ask.
Assume ...
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PE ratio of QQQ = 3.5? [duplicate]
According to yahoo finance, QQQ (a Nasdaq ETF) has a PE ratio of 3.56. Since that is significantly less than the rule of thumb cutoff of 20, I'm not complaining. I'm just wondering two things:
How is ...
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Extreme cases of Retained-Earnings to Total-Assets Ratio
Following are some companies with negative Retained Earnings to Total Assets Ratios.
...
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Correlation between fundamental and market data
I got hold of a data set which contains fundamental data like analyst recommendations/revisions (consensus only) and I am trying to come up with an idea of how this could be used as a trading signal ...
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How do you identify top shareholders in SEC filings?
Schedule 13D is filed when a shareholder crosses 5% ownership and 13F is filed by fund managers to list their portfolio holdings. These are the only filings that I am currently aware of related to ...
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database for economic & finance timeseries
I am looking for a technical solution to store economic and financial timeseries (nothing intraday for now, just daily/weekly/yearly)
Most timeseries database I find do not seem to take into account ...
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Calculate outstanding diluted shares for fourth financial quarter of a company
How would one calculate the correct value of the outstanding diluted shares for the fourth (last) financial quarter of a company?
When using the SEC 10-Q and 10-K forms: The 10-Q forms contain the ...
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Historical Fundamentals Data for Sectors
I am interested in a one-time download of GICS sector (e.g. XL- etfs) historical fundamentals data (in particular, point-in-time price/book ratios). Does anyone know where this can be found? I am ...
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Stochastic (volatility) models with the elements of fundamental analysis - are there such models and why not?
I read about stochastic volatility models (e.g. https://en.wikipedia.org/wiki/Stochastic_volatility) and those models are quite simple, but the most important feature is that parameters are quite ...
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Where can I get fundamental data on US public stocks in original form?
I'm looking for fundamental data on US public companies. If anyone could recommend paid or free sources of the fundamentals in original, non-standardized form that would be great. I tried scraping the ...
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Help with pulling company fundamentals from EDGAR
I need help understanding why there are many different values for a specific metric reported by a company's 10-K or 10-Q in the EDGAR database.
I've downloaded the entire US equity universe in JSON ...
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Search for historical balance sheet data
I would like to run backtests on swedish companies.
How I can retrieve historical balance sheet data?
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From SEC Comprehensive Data Set to Clean Balance Sheets/Income Statements
I am looking for advice on how to smartly get from unstructured financial data to a clean summary of balance sheets. I think of this not as a coding problem but of a question how to approach the task -...
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Bloomberg API / Excel Add In - Delisted Stocks
So I am using the Bloomberg Excel add in but can also use the API. My dilemma is I have a list of tickers containing SP500 historical constituents and I have retrieved 600 of them from an alternative ...
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Sources for historical financial ratios?
I wanted to know if there are any sources for historical financial ratios for Indian equities?
If yes please share.
Thank you.
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Is alpha vantage api for fundamental data reliable?
Can anyone speak to the reliability of the Alpha Vantage (AV) api for fundamental stock data? I have tried for a couple of stocks to get balance sheet data, and it seems close to accurate but I feel ...
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Building a fundamental equity scoring model based on data from Bloomberg
I have identified around 20 interesting statistics for a universe of stocks, regarding metrics of size, growth, valuation, quality, risk. Think market cap, free float, average daily volume. The ...
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I require help to find a good data source for my thesis
I require help to find a good data source for my master thesis.
I am doing a regression analysis for macroeconomic indicators and valuation multiples, for eurozone stocks.
I need quarterly information ...
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Free API for Credit Rating (Moody's, SP500 or Fitch Rating)
Is there any API out there that can get Credit Rating? Not just contries, but also for companies.
I found this question on quant stack exchange. But it's not an easy API.
definition: A credit rating ...
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Extract Qualitative information from annual report commentary and disclosure
Can anyone give idea on the value of latent information in annual report commentary and disclosure. It would be interesting to hear from analyst on how much time they spend reading through annual ...
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Any database with all of companies previous CEO's?
I'm doing some research on CEO's and company chairmen and I'm looking for a database that contains this data for all the public US companies. The data needs dates associated with the names as well. I'...
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Why has the market gone up while earnings got pummeled? [closed]
Earnings are down 42% while the market is flat over march. Why are people assuming total economic collapse is great? Are they assuming iPhones will enter a massive growth spurt just because people are ...
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How to quantify shares float on a stock?
I searched this before but never got further than generic definitions and and websites to look at. What I'm looking for is how to define a stock's shares float quantity. How does Yahoo Finance or ...
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How to normalise companies relative to each other? Remove the effect of macro-economy?
I want to focus on companies-performance only and as much as possible remove the effect of macro-economy. Interest rate changes, crisis, inflation etc.
There are 2 goals:
Simplification of analysis ...
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Looking for datasets with daily inflation rate for as many countries as possible
Here's an example of the kind of thing I'm looking for https://fred.stlouisfed.org/series/T10YIE
I'm also happy to perform transformation on other data to get an estimated/approximated daily value if ...
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How can I find the payout ratio for this company?
I am doing this question that I couldn't find the payout ratio.
For you, company equity beta is unknown, it has a target i.e. current debt to book equity ratio: 0.5 and target debt to market ...
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Wha't the best place to grab historical sophisticated data about stocks?
I am looking for an API which allow me to grab a data about companies & their stocks in the historical perspective. Like not only prices, but let's say balance sheets & cashflow statements ...
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Where to retrieve financial data? [duplicate]
I am struggeling finding an updated list of free sources for historical financial data. My main interest is for intraday european stock markets data and companies' fundamentals data, but it would be ...
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Where to get historical price and fundamental data for global equities? [duplicate]
I'm looking for reliable research data on global equity fundamentals, but I'm not sure which vendor provides these (and preferably only these) features:
Programmatic access of data.
Coverage of ...
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Anywhere to find historical float shares (or restricted shares) of US stocks?
I'm trying to collect the historical stock float data, but can't find it nowhere. We can easily find historical quarterly shares outstanding data in sec edgar, and we know that floating stock = ...
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Why files in this SEC filing is not downloadable?
Quarterly report for MC Donalds has list of documents but there's no way to download it.
It has only one text file available for the download.
How the other documents could be downloaded, like the "...
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Is the undiscounted value process of a Euro call option under Bachelier model a Martingale? [duplicate]
Assume that $c_t$ is the UNDISCOUNTED price process for a European call option in Bachelier model. In Bachelier model call option pricing formula the formulas is discussed. The undiscounted value ...
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Keep Saved IB Historical Data Accurately Adjusted
How have you dealt with adjusting saved historical data, specifically using the IB API?
As far as I can tell, currently, I need to perform the calculations described on Quandl's blog.
I haven't ...
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selecting key performance indicators for a stock
Say, I read a financial statement of a company, and it reports, maybe 20-30 metrics, both generic, like revenue, free cash flow and specific to the company, like iphone sales etc. Is there a ...
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Crowding in factor investing; Solid metrics
I know this is a bit of a golden goose question as if someone had cracked it they'd be laughing.
I'm wondering though, if anyone can point me in the right direction for any hard measures of crowding ...
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Looking for: List of 30 top-performing value investors in the US (AUM 100USD mn+; 10 years)
we are currently looking to build another database sourced by crawling the SEC (freely available at SimFin).
Our goal is to build a monthly updating database showing the holdings of the top value-...
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Combining Quantitative data with fundamental data
These day, there is relatively new phenomena of combining quantitative data and fundamental data called 'Quantamentals'.
In this regards, I was wondering how to combine Four Essential Types of ...
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The two fundamental theorems of Finance, as they relate to the martingale measure
I RECENTLY read this in an article by Battig and Jarrow, "the first fundamental theorem relates the notion of no arbitrage to the existence of an equivalent martingale measure, while the second ...
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How to calculate Chande Momentum Oscillator for FX
I am trying to calculate a momentum oscillator for the EUR/USD pair and am confused. A formula I read referenced the sum of previous up days. What is a "day" considered in Forex?
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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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Getting international fundamental stock market data
I am thinking of building some custom stock screening tool.
For this I need fundamental data (parts of balance sheet, earnings statements, cash flow statement if available, probably some minimal ...
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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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How to Calculate Sales From Other Key Figures?
Regarding https://www.quandl.com/data/SF1-Core-US-Fundamentals-Data/documentation/indicators
I would like to get the sales of a company retrieved.
How can this be determined?
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How to correctly calculate P/E ratio of Singapore stocks?
I'm calculating the P/E ratio of some International stocks and found a problem. Please look at this paticular stock:Thai Beverage Public Company Limited
The p/e calculated by yahoo finance is 31.33. ...
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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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Backtesting of value and technical analysis
I am an economic last year student trying to figure out how to backtest my model.
It consist on several requirements imposed to the stocks before buying them and a very simple exit strategy.
I ...
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Where to find historical fundamental data of S&P constituents in Thomson Reuters database?
I need data such as Net Income, ROA, ROE, etc. for companies in S&P 500 Index. I would like to see the values also for other years, e.g., since 2010. However, when I log-in to Thomson Reuters ...
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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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What is the better representative of a P-B ratio for a sector?
What is a better representative of a P-B ratio for a sector, for using it as a factor to predict future returns on that sector? The market weighted average of P-B for all names in that index, or ...
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