New answers tagged

0

This is the whole problem with the FF3 model, and indeed the very reason it was ever concocted in the first place! CAPM 101 argues that the cost of equity is constant riskless plus market beta. Except this doesn't work, because there are clear value and size; or value, size, and momentum effects also in operation. In statistical parlance, the null ...


2

This is a type of corporate takeover strategy--a tender offer in this particular instance. Tender offers can fall into the hostile or friendly category depending on the percentage of the shareholders that they favor. There is more than one potential reason for the share accumulation: 1--Aurora may have been accumulating shares on behalf of the acquirer so ...


2

Expectation that the price set by the tender offer will be larger than the market price when the accumulation starts, possibly driven by higher likely goodwill in the tender price.


2

One of the best ways I came across to estimate the expected return of a stock (even with limited time-series data), is Martin and Wagner (2019): What is the expected return on a stock?. From their paper: Second, our formula provides conditional forecasts at the level of the individual stock. Rather than asking, say, what the unconditional average ...


-1

Be careful. I can think of three other reasons off the top of my head potentially to buy a stock in a company with zero dividend payouts! 1) a competitor might buy them out for access to their franchise and cashflows. 2) the company might buy back their stock, reducing the share count. By definition, the investors who sell are the "weakest hands" in the ...


0

Theoretically, it's "complicated". Build a spreadsheet of all the index constituents, their expected payouts, associated dates, and real-time stock prices, and index weights. Then hours of struggle later, cross your fingers, and hope you haven't made any calculation mistakes ;-) The quick and easy way... simplify your equations with r=0 and replace the spot ...


3

If you check the quantlib documentation you can find, that greeks for american options are only supported if you use a numerical pricing engine and not BAW (which is the default option). Documentation: "Note that under the new pricing framework used in QuantLib, pricers do not provide analytics for all 'Greeks'. When “CrankNicolson” is selected, then at ...


1

This article discusses the topic well, you can model the short term discrete dividends from discrete fixed and the medium/long term with discrete proportional dividends. If you know the annual estimated dividend (Factset estimates/dividend swaps etc), you can use historical payment amounts and dates to weight and project the discrete fixed dividends and then ...


0

I prefer: corr * (SDstk/SDfut) because it work well in real life. If corr and SDs are all close to one, then you have an optimal instrument with which to hedge such that the notional values of hedge should end up close to equity dollar value.


1

Preliminary Thomson Reuters Datastream is one of the most commonly used and widely accepted data-source for non-US data in empirical finance. Working with financial data is based on many filters prior to any calculations. My answer focuses especially on "data cleaning" methods for Datastream, which are published in academic journals and commonly used in ...


Top 50 recent answers are included