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Results tagged with equities
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user 1106
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.
2
votes
Accepted
How to assign equity analyst recommendations to a common, numeric scale?
These are actually known as equity analyst recommendations, and although the terms differ, virtually all of them grade on a 5-point scale. Much academic research has been done using analyst recommend …
- 13.6k
7
votes
How we can forecast stock prices using chaos theory?
Benoit Mandelbrot, pioneer of fractals theory, has a set of papers on the Multifractal Model of Asset Returns. I believe when most people in finance are saying they use "chaos theory", they are reall …
- 13.6k
7
votes
Accepted
Currency Hedged ETFs
At the end of each day they mark their books in USD, converting their JPY-denominated equities exposures to USD based on current exchange rates. The fund is 100% long JPY-denominated assets. …
- 13.6k
12
votes
Accepted
What are the best sources for equity quantitative research?
Sell Side
Macquarie Quant - Venkat Eleswarapu
Bernstein Research - Vadim Zlotnikov
Nomura - Joe Mezrich
JPMorgan Investment Strategies series
Societe Generale - Alain Bokobza
Independent
CXO Adv …
5
votes
Accepted
How well does CAPM beta track the risk of a particular market relative to world markets?
What you observe in your regression is not strange at all. The regression beta you estimated is
$\beta_i = \frac {\mathrm{cov}(r_i,r_m)}{\mathrm{var}(r_m)}$
where $i$ represents the country/region …
- 13.6k
3
votes
Does the debt load affect the volatility of equity?
The standard theoretical model for examining this question is the Merton Model. The Merton Model views the company's equity as a call option on its assets.
This model assumes that a company has a …
- 13.6k
1
vote
How to compute momentum from equity time series?
Compare momentum statistics across all equities in your universe. …
- 13.6k
2
votes
How to cluster stocks and construct an affinity matrix?
Rather than suggesting alternative clustering techniques, as Quant Guy and Flake have (great advice, btw), I'll offer my thoughts on the method you've proposed.
On the characteristics used to cluster …
- 13.6k
19
votes
Is the stock price process a martingale or a Markov process?
I will defer to others answering the parts of your question concerning the relationship between Markov processes and martingales (@SRKX has already given a good explanation of the relationship) and co …
- 13.6k
6
votes
How to design a custom equity backtester?
There are many details you need to take into account in order to do a proper backtest. Besides the correction regarding bar entry/exit prices mentioned earlier, you will also need to correct for the …
- 13.6k
2
votes
Do low volatility stocks outperform high volatility stocks over the long run?
Blitz and Van Vliet (2007), published in the Journal of Portfolio Management, has also tested this proposition on a global dataset. Some other important papers on this phenomenon are:
Ang et al. (2 …
- 13.6k
6
votes
How to solve for the implied stock lending rate given equity options prices?
The cost of the hedge does not appear directly in the price for any one option, but rather will appear as an apparent violation of put-call parity. However, due to differing demand for puts and calls …
- 13.6k
7
votes
Accepted
What is a reasonable upper bound on the performance of a daily trading strategy?
I believe the concept you are looking for without really knowing it is the information coefficient (IC). IC is the correlation between your forecast and actual subsequent returns. If your IC is 1 (p …
- 13.6k
3
votes
Why do some anomalies persist while others fade away?
Investing in Stock Market Anomalies by Bali, Brown, and Demirtas (2011) addresses some of my questions. I will read this paper and report back on my findings.
- 13.6k
1
vote
How to improve the consistency of explained variance statistics in a linear equity model?
I suggest you look for common characteristics amongst the 70% of stocks with decent $R^2$ and the 30% with a degraded in-sample fit. If you find that all the stocks that fit your model best were in o …
- 13.6k