lemarin
  • Member for 8 years, 9 months
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t-statistics for the mean return, using Newey-West standard errors
7 votes

In this case, the t-statistic is used to determine if the returns are statistically different from zero (the theoretical mean). A small t-statistic would imply that the null hypothesis (no significant ...

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How does buying back stock affect a company's credit spread?
5 votes

All else being equal, buying back stock would cause a company's credit spread to widen (increase). This is because a share buyback involves shrinking the firm's assets (spending cash to buy back the ...

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How do I determine the maturity date from a T-bill's CUSIP?
5 votes

CUSIP and ISIN codes are issued in the US by CUSIP Global Services, run by S&P. While the data structure follows a certain logic, there is no way to extract relevant security information from the ...

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Transaction Data with Participant ID
Accepted answer
3 votes

Market participant ID data is extremely unlikely to be available without the collaboration of regulators and the exchange itself, as it is a closely guarded information. Even "anonymized" data with no ...

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Where can I find ETF fund flow data?
Accepted answer
2 votes

There is no easy answer to this question. Several providers do provide partial solutions, but nothing that could be considered research-grade like CRSP's mutual fund data. Beyond holdings and flows, ...

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Is there a Bloomberg field for a bonds (upcoming) coupon dates?
2 votes

For any bond, you can type CSHF (Cashflow Analysis) and export the coupon/principal schedule.

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Forecasts for the S&P 500?
1 votes

To the best of my knowledge there is no long-running survey of expectations for stock indices. Even if it did exist, you would be better served by using S&P 500 futures, which go back to the 80s.

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CAC40 components historical data
1 votes

This data isn't free obviously, but Euronext (the index provider) might be inclined to give you this information if it's for academic purposes. It's advertised on their website here: https://www....

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How to download risk free rate?
Accepted answer
0 votes

There is no such thing as a single domestic "risk-free rate". At the very least, you need an investment horizon to be able to find the corresponding risk-free rate on a domestic interest rate curve. ...

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