7

I think most people agree that aggregate (index) stock returns have negative skewness. However, this does not appear to be the case for individual stock returns. These two papers find that average skewness of individual stock returns is positive though time-varying: Paper 1 R. Albuquerque, Skewness in Stock Returns: Reconciling the Evidence on Firm Versus ...


5

Hate to disappoint, but you're going to need to pay to get delisted securities. Even basic equity price data of any quality comes with a cost. There are a number of non-commercial vendors that include this sort of data with one of their packages though. For instance, a vendor like Quandl (one of the cheapest, but still OK quality) offers packages for US ...


2

MSCI World futures are traded nearly 24 hours, while the index constituents only update their prices when their local country stock markets are open - typically this means 1/3 to 2/3 of the index constituent prices are actively updating, the rest are frozen at their last close price. The futures price can be thought of as the market’s guess at the true index ...


1

Assume a portfolio value (i.g. 100.000), find the value invested in each specific stock (if weight company X is 20% then we invest 20.000 in that stock), based on the price at that day you find the number of stocks invested (assume price 5, then we invested 20.000/5=4000 stocks). Once you have the exact number of stocks you invested in the portfolio for each ...


1

Yes, your table is correct... the proverbial "catch" is in your assumptions of small gains, with nil volatility. Because volatility is itself the catch with levered strategies in general (and levered ETFs very specifically). Replicate these 1% returns with a 14.14% standard normal deviation, for a thousand, million, billion runs. Your 1% compound ...


Only top voted, non community-wiki answers of a minimum length are eligible