All Questions
Tagged with asset-pricing stock-market
13 questions
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33
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Difference in difference on election impact on asset prices?
I am looking to research the impact of Brexit on the FTSE100 index.
FTSE100 is an stock index of the 100 largest UK companies. The UK also has FTSE250 which is an index of 250 mid-cap companies (not ...
- 111
1
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1
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126
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Why is the portfolio weight of the risk-free asset capped at 1?
I am reading Investment Science by David Luenberger, and in it he creates a portfolio with a risk-free asset and a risky asset. α is the weight of the risk-free asset, and he sets α ≤ 1. Why is that?
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- 11
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53
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Is there a type financial instrument that can realistically increase its value 100 fold
Is there a type of financial instrument with extreme volatility, which could realistically grow in value by 10 000% over less than a year? If there isn't one that's commonly traded, could I craft one ...
- 101
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155
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If GOOG shares confer no voting rights, where do their value comes from?
I recently found out that the difference between GOOG and GOOGL shares is that GOOG shares do not have voting rights. Then I read that the leadership is not planning to pay dividends anytime soon (...
- 133
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Black-Litterman Weights for Intersecting Asset Classes
I'm trying to implement Black-Litterman for an arbitrary selection of assets some of which might be subsets or intersect with others.
For example, one portfolio might be
US Equities (VTI)
A global ...
- 111
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4
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103
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Why do people think a stock should have a certain price based on the company's revenue?
Stock investment comes part and parcel with discussions about quarterly earnings, P/E ratios, and a host of other considerations designed to measure the "intrinsic value" of a stock and ...
- 101
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101
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How is the cost of equity for a specific stock calculated using the Fama-French 5 factor model?
The Fama-French 5 factor model is as follows:
$$R_a = R_f + \beta_m \left( R_m - R_f\right) + \beta_s\text{SMB} + \beta_v\text{HML} + \beta_p\text{RMW} + + \beta_i\text{CMA}$$
It is quite easy to find ...
- 155
1
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2
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68
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CAPM and beta for individual stocks
Why do we just assume that the β is symmetric for a stock? Could it not very well be the case that the β has a larger leverage (covariance with the market) for example 1.2 in a bear (baisse) market ...
0
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1
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792
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At what rate can a multi-billionaire liquidate his assets without significantly affecting the stock price?
Let's consider three different billionaires: Jeff Bezos, Bill Gates and Warren Buffett. Now let's say the three of them (at different times) decided that they want to liquidate all their assets and ...
- 189
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70
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Monthly savings plans
Monthly savings plans in stocks or funds are typical investments for many people. On aggregate, these plans generate a large demand on the underlying assets, often around the end/beginning of a month.
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- 319
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68
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Collar strategy for options trading [closed]
I am new to investing on the market so I am doing some research and studying. From what I can tell, the purpose of a collar strategy for options trading is to protect your gains you've made on the ...
- 101
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1
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55
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Who paid the difference on a warrant if i am winnnig
I am discovering the mechanism of a warrant but there is still something that i can't understand.
Let's take a simple example a call warrant with a strike of \$10. I buy it when the underlying ...
- 51
7
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1
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271
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Stock pricing with cross ownership
Cross-ownership is a phenomenon where companies own parts of other companies they do business with. An example:
Two companies are now involved in the diamond operation, the mining group Anglo-...
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