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4 votes
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Getting international fundamental stock market data

Quandl has two premium fundamental datasets that may be of interest to you, Robur Global Select Stock Fundamentals and Mergent Global Fundamentals Data. Quandl also has fundamental datasets for ...
Brian from QuantRocket's user avatar
4 votes
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How to correctly calculate P/E ratio of Singapore stocks?

Just figured it out with the help from someone else... The market cap is in Singapore dollar because it's traded on Singapore exchange, but their income statement is in Thai Baht... That's why :)
Hao's user avatar
  • 313
4 votes
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Why files in this SEC filing is not downloadable?

Welcome. You're looking at 1995 data. Back then, Edgar was just coming online. They did not have documents in electronic form. If you want data that old, you may have to pay a vendor, such as S&P....
Dimitri Vulis's user avatar
3 votes

The two fundamental theorems of Finance, as they relate to the martingale measure

Let $\Omega$ be the outcome space at some future date and fix a specific outcome $\omega \in \Omega$. Now consider a portfolio that gives one unit of currency if $\omega$ happens and zero otherwise, i....
Freelunch's user avatar
  • 1,086
3 votes
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Do high dividend yield stocks generally outperform the market?

The highly respected CXO Advisory Group has done some research on this topic on basis of a suggestion from me. The result is summarized as follows (cited with permission): In summary, evidence ...
vonjd's user avatar
  • 27.5k
3 votes

Backtesting of value and technical analysis

I think that it may be very simple but since I just started in the quant finance it would be great to have some feedback and recommendations about how to improve my backtesting. From my ...
amdopt's user avatar
  • 4,348
3 votes
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Stochastic (volatility) models with the elements of fundamental analysis - are there such models and why not?

A simple model of the firm Consider a firm with the following properties The firm is a monopolist. The firm is fully equity-financed. The firm owns production assets which the firm can switch on or ...
Kevin's user avatar
  • 16k
3 votes
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Extreme cases of Retained-Earnings to Total-Assets Ratio

For these types of issues, it's often a good idea to dive into the balance sheet and see what kind of accounting magic is at hand. An example for each of your datasets: STCN: Almost all the negative ...
Lsvob's user avatar
  • 166
2 votes
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Efficient way to short Tesla

As LocalVolatility pointed out, the cost should be priced into the derivatives as well so you cannot do better than that unless you have an execution alpha, provided you want the exposure of a naked ...
elleciel's user avatar
  • 239
2 votes

How to calculate Chande Momentum Oscillator for FX

The forex week starts on Monday 7am Wellington time when the Kiwi value date rolls. It ends on Friday 5pm New York. Within that each currency has its own “cut off” time when the value date rolls. The ...
rupweb's user avatar
  • 1,156
2 votes

Is the undiscounted value process of a Euro call option under Bachelier model a Martingale?

Let $c_t$ be the price of an European call with maturity $T$ and $D_{t,T}$ the discount factor from $T$ to $t$. We assume deterministic rates. Then note that for $s<t\leq T$: $$\begin{align} E^Q_s\...
Daneel Olivaw's user avatar
2 votes

Combining Quantitative data with fundamental data

There are at least two ways of doing it: 1) Resampling them to their median frequency. 2) Build one ML model for each data type, then combine the 4 different forecasts into a single meta-ML model. ...
Azam Yahya's user avatar
2 votes

Looking for datasets with daily inflation rate for as many countries as possible

These are breakeven curves, you should make it clear that you are looking for the forward expectation of inflation, not observed inflation (i.e. not the CPI indexes). They are not normally published ...
william smith's user avatar
2 votes
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How to quantify shares float on a stock?

The term float shares is not well-defined. The idea seems simple: exclude shares which are not likely or able to trade. However, this immediately raises questions of which shares to exclude: shares ...
kurtosis's user avatar
  • 2,900
2 votes
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Bloomberg API / Excel Add In - Delisted Stocks

The comment of Enrico definitely works. The APIs are all the same (R is actually not a BBG solution but someone made the C++ API - which is also what excel is based on - usable within R). ...
AKdemy's user avatar
  • 8,924
2 votes

database for economic & finance timeseries

There are many ways to deal with this. One is to model the data with the following (sample) schema, which can be done with pretty much any database: series_id <...
Helin's user avatar
  • 11.7k
2 votes

future cashflow loan equivalence

When we say that holding an uncollateralized derivative is equivalent to taking a loan from the counterparty, we are referring to the economic exposure and funding implications associated with the ...
TourEiffel's user avatar
1 vote

Building a fundamental equity scoring model based on data from Bloomberg

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 ...
AKdemy's user avatar
  • 8,924
1 vote

Free API for Credit Rating (Moody's, SP500 or Fitch Rating)

Moodys own CreditEdge API gives credit ratings for corporates as well as other other credit risk data. https://developer.moodysanalytics.com/products/creditedge You have to sign up for an account and ...
ssnarf's user avatar
  • 111
1 vote

Free API for Credit Rating (Moody's, SP500 or Fitch Rating)

If you want yeild for a given rating then FRED (https://fred.stlouisfed.org/series/DBAA) has great data. Most of the others are in Bloomberg or other payment data sources...
Paul Brennan's user avatar
1 vote
Accepted

Any database with all of companies previous CEO's?

The SEC's EDGAR system has this. Companies are required to file a form 8-K to notify investors of events within a company that may be important. A CEO being replaced is one of those events, ...
amdopt's user avatar
  • 4,348
1 vote

Why has the market gone up while earnings got pummeled?

This isn't really a quant finance question, but i'll offer my 2c: (a) interest rates are 1% lower than before, which increases the P/E multiples of all stocks (b) it is assumed that earnings will ...
dm63's user avatar
  • 17.1k
1 vote

How to normalise companies relative to each other? Remove the effect of macro-economy?

The most common way this is applied is via trading within a given market or sector. For instance, biotech or telecom stocks are largely exposed to similar risk factors so creating a long/short ...
Chris's user avatar
  • 1,643
1 vote

Anywhere to find historical float shares (or restricted shares) of US stocks?

Bloomberg has float information, but it's imperfect. I imagine other vendors offer the same, but the reality is this sort of thing is typically done at the report level by hand (ie, analysts go ...
Chris's user avatar
  • 1,643
1 vote
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Keep Saved IB Historical Data Accurately Adjusted

Actually, because IB has TRADES - data adjusted for splits but not dividends, and ADJUSTED_LAST - data adjusted for splits and dividends I can check what I have saved from earlier that day or the ...
The AI Architect's user avatar
1 vote

selecting key performance indicators for a stock

borrowing from arbitrage pricing model, say we have $R_{t,t+1} = X_tf_{t,t+1} + \epsilon_{t,t+1}$, where $R$ is stock return, $X$ is your estimation universe consisting of numerous factors you ...
numerairX's user avatar
  • 609
1 vote

The two fundamental theorems of Finance, as they relate to the martingale measure

As I discussed in another answer, in the case of a stock with two possible moves, + and -, we have market completeness: there is a unique risk-neutral measure obtained from the fact that there is a ...
Bjørn Kjos-Hanssen's user avatar
1 vote

What information is significant in a company's 10Q?

From the following 10-Q information, the bold highlighted rows are most significant: Net sales Cost of sales Gross margin Operating expenses: Research and development Selling, general and ...
Peter's user avatar
  • 299
1 vote
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What is the better representative of a P-B ratio for a sector?

This is a question of how to aggregate ratios. I see your two options, and raise you one more. Method 1: The mean (or median) value of Price-to-Book values for individual securities $$f(E[x]) = \...
David Addison's user avatar
1 vote

Do high dividend yield stocks generally outperform the market?

The Fama French 1993 paper analyzed dividends at the end and found that the effects of the observed dividend to price ratio could be fully explained by their book-equity/market-equity ratio. In other ...
Si Chen's user avatar
  • 421

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