9
votes
Accepted
Proof of Hamada's Formula (Relationship between levered and unlevered beta)
Proof:
Recall that
$$\beta_{i} = \frac{\mathrm{Cov}(r_{i},r_{m})}{\mathrm{Var}(r_{m})}.$$
Now, the returns on unlevered and levered equity are given by
$$r_{U} = \frac{\mathrm{EBIT}(1-\tau) - \...
6
votes
Data exported from Capital IQ, FactSet, Bloomberg, Compustat
Morningstar
Morningstar partnered with Quantopian, and the latter published the structure of Morningstar's equity fundamentals database:
https://www.quantopian.com/help/fundamentals
Quantopian ...
- 713
5
votes
Data exported from Capital IQ, FactSet, Bloomberg, Compustat
Compustat
supports unlimited data export
keeps the history of disbanded entities
provides restatements since 1950 + point-in-time data since 1986
coverage since 1950
list of variables (data guide)
...
- 713
4
votes
Accepted
How do I calculate approximate equity liquidity?
You can use refined methodologies but if you just need a rough estimation of liquidity, you can simply use an average of daily volume over N days. In practice, for equities, people tend to use N = 20 ...
- 910
4
votes
Accepted
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 ...
4
votes
Accepted
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 :)
- 313
4
votes
Accepted
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....
- 11.3k
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....
- 1,066
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 ...
- 4,315
3
votes
Accepted
How is fundamental data taken into account when modelling stock prices with a Geometric Brownian Motion?
It turns out that GBM with constant drift and constant volatility is not really used in real life. It is well known that volatility as well as drift may vary over time. Hence, if you want to use a ...
- 279
3
votes
Accepted
Definitive way of figuring out companies with multiple classes of stocks
You can download the company list csvs from nasdaq.com, it has the mapping you need.
- 768
3
votes
Accepted
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 ...
- 27.2k
3
votes
How to get Stock Fundamental time series data?
If you have a friend studying at almost any university you can get access to WRDS.
Inside WRDS just go to Compustat which has all the info you need for dates since 1950.
- 7,515
3
votes
Accepted
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 ...
- 15k
3
votes
Accepted
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 ...
- 166
2
votes
Free/cheap source of structured historical quarterly filings?
I see the question and answers are rather old here but I just ran across quandl which provides access to a variety of SEC data with a free API key.
- 121
2
votes
How to get Stock Fundamental time series data?
There are two mainly (good) free sources available online:
wolphramalpha.com
Quandl
They report the mainly market and fundamental data, so you will not find any particular fundamental accounting ...
- 2,466
2
votes
Accepted
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 ...
- 240
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 ...
- 1,146
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.
...
- 121
2
votes
How do I calculate approximate equity liquidity?
I would consider Amihud (2002) as a good first approximation with that level of data.
- 1,047
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\...
- 7,705
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 ...
2
votes
Accepted
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 ...
- 2,840
2
votes
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, ...
- 4,315
2
votes
Accepted
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).
...
- 6,869
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
<...
- 11.2k
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 ...
- 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 ...
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 ...
- 299
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