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Intro: Duration-Based Asset Pricing Similar to bonds, we can define the duration of a stock as $$ Dur_{i,t} = \sum_{s=1}^\infty s\cdot\frac{\mathbb{E}_t[CF_{i,t+1}]e^{-s r_{i,t}}}{P_{i,t}},$$ where $P_{i,t}$ is today's stock price, $r_{i,t}$ a discount rate and $CF_{i,t}$ are cash flows. That variable tells you the weighted average of when a firm receives ...


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The term structure of returns refers to returns on assets with the same underlying cash flows, where the return is measured over the same holding period, but for different maturities. The price of a stock or equity index $S_t$ is given by the discounted value of its dividends $D_t$: $$P_t = \sum^\infty_{n=1} E_t(M_{t:t+n}D_{t+n}) = \sum^T_{n=1} E_t(M_{t:t+n}...


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5 year forward estimates comes from Refinitiv IBES (Institutional Broker Estimate System). It will be the mean estimate from all the analyst that cover the stock that report into IBES. It’s used industry wide.


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Looking at the dates in your DataFrame (they're all parsed as the first day of a month), it appears that you need to add dayfirst=True in your read_csv statement.


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Lucky for us, the method you’re describing is unnecessarily complicated. M&M state that distributions have no impact on firm value, so why would it in your model? Check out Valuation Models: An Issue of Accounting Theory by Stephen Penman. In it, he shows how the Free Cashflow model is only valid insofar as it matches the Dividend Discount model via ...


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Not sure why so many people down-vote this question. It also has nothing to do with stochastic calculus in my opinion. If anything, the paper provided by @lays just validates the question (as it clearly states that in the BS economy there are only two assets). Why do I like that question? Let's assume you have access to an option pricing tool that handles ...


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I would say you might want to ask the help desk F1 F1 or you sales representative at BBG. If you use R - or any v3 API based solution WAPI<GO>, you cannot use BQL. Yet, I am almost certain that BQL would allow you to do this pretty much all within BQL syntax. Massive benefit will be that you will not constantly hear from a help desk rep because you (b)...


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