Questions tagged [finance]

Finance describes the management, creation and study of money, banking, credit, investments, assets and liabilities that make up financial systems, as well as the study of those financial instruments.

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Understanding the Formula For the Accumulation/Distribution

My understanding of the essence of the Accumulation/Distribution Index is that it tracks the closing price of a security during each period relative to its price range for that period, something like ...
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Transform the constraints for both liquidity demanders and suppliers if I include any tax on risky asset?

I have a question related to Vayanos and Wang's article I'm studying on this article for my course term project. I would like to some adjustment and changes on this article in order to improve it ...
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High Kurtosis with normal Distribution

I need help. Here is my problem, I am testing normal distribution on covid, 2008 crisis, and beetween these. So I have 3 timezone and 7 indexes. When I use SPSS to test the normal distribution with ...
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Can the Equity Premium Puzzle apply equally to bonds?

Mehra and Prescott (JME, 1985) use the consumption-based asset price model to express the expected spread of equity returns over, e.g., a risk-free Treasury bond, as \begin{equation*} \mathbb{E}...
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How the money multiplier changes the M1 and M2

I would like to know if my answer to the question below is correct: Question: How much does M1 and M2 change in the following situations? $500 is transferred from a checking to a savings account. ...
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progressive interest rate

I have a product for which the fee is dependent on the proportion of the total that is purchased. The function is Rate = Rate + Withdrawn Capital / Total Capital in ...
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Budget line for mean variance utility

Consider the mean-variance utility used in CAPM. The budget line when allocating a risk-free and a risky asset is the line connecting the $r_f$ and the risky asset. Suppose that I have fixed amount ...
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How can I choose how much to invest in each stock of my portfolio?

I'm trying to find a mathematical way to decide what percentage of my capital I should invest in each stock of my portfolio to maximize my profit. Here's my attempt to the solution: Let's say my ...
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Where to find Index Entries on CRSP (WRDS)

I am trying to find index entries (not delisting data) on CRSP (i.e., where a specific stock with a PERMNO/CUSIP enters the S&P500), but despite trawling through the documentation I am unable to ...
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How should a GARCH (1,1) model look like?

I have a question regarding the GARCH (1,1) model. I have used R to forecast the volatility of some assets. I then plotted the forecasted volatility and the realized volatility on the same plot to see ...
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Why does Russian ruble conversion rate to USD remains constant at 1 to 0.01?

I've been noticing that since Russian ruble started losing its value compared to other foreign currency, at some point it became at constant exchange rate of 1 RUB to 0.01 USD. That is, every day no ...
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why is household equity a liability for households

I am currently reading "An introduction to Central Banking" written by Ulrich Bindseil and Alessio Fotia, which is freely accessible here : https://library.oapen.org/viewer/web/viewer.html?...
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Combining 990 and 990-EZ Data

I've collected 990 and 990-EZ data from the IRS's Annual Extract of Tax-Exempt Organization Financial Data on American Federation of Musicians locals. The data are split about half and half between ...
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What does it mean by the statement "a corporation looses money if it produces more than its value"

Recently I was reading a book on corporate finance titled "corporate finance for dummies". Here in the introduction page the author has given a definition for corporate finance, followed by ...
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Replicate Goldman Sachs' US Financial Condition Index

I am trying to replicate Goldman Sachs' Financial Condition Index for the US. Has anyone done something similar and could help me? Thank you! This is the data description: (i) Policy Rate (4,4% weight)...
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Can banks "create" Bitcoin

I have a stupid question. Could a commercial bank creates Bitcoins the way it "creates" money if it was allowed to make loans in Bitcoins?
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How to compare 2 different payment schedules over 20 year period

I have 2 options for a payment plan and need to calculate the total overall the best option. Both plans are over a 20 years. The total payment amount is identical in both cases but the amounts at each ...
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Understanding Debt Deflation

I read the following explanation for debt deflation in my textbook: To better understand how this decline in net worth occurs, consider what happens if a firm in 2018 has assets of 100 million (in ...
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Probit and DiD - Finance

I have been working on a project for a good long time. I am relatively new to finance and regressions in R, so I would be extremely grateful for every response I get. My goal with this task is to ...
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Sum of LS-LMSR probabilities is greater than 1

I am trying to implement LS-LMSR in a prediction market with binary outcomes: YES and NO. I am implementing this formula as the cost: ...
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Why do we have *daily* series of T-bill yields?

I understand that each week the US Treasury issues new T-bills at different maturities (1-month, 3-months, 1-year, etc). As far as I understand, this issuance happens every Tuesday. After the auction, ...
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Calculating IT Spend Ratio

I have three columns - Sales(Revenue), Employee Count and Industry of n Companies in my sheet, how do I use them to calculate the IT Spend Ratio of these companies using the above info?
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What are good (i.e. non-random walk) time series to perform forecasting on?

I have developed a recurrent neural network (RNN) model for time-series forecasting. I now want to test its performance against more standard statistical/econometric models such as ARIMA or VAR. The ...
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Why is backwardation of a futures curve for a commodity a bullish signal?

Recently, I have been delving into the oil markets and obviously, in this market, the price of oil is very important. In particular, market observers are interested in short-dated and long-dated ...
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Bond Price expression

I've researching some mathematical finance and I've stumbled upon something I can't seems to find sources on. I'm probably overlooking something, but I hope someone can enlighten me and give me some ...
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Why do the PV and FV formulas (in Excel, at least) use slightly different geometric series?

With geometric series, I understand that, broadly, you can sum from $1$ to $n$, or from $0$ to $n-1$. Let $r=0.03, p=\\\$10, n = 10$. $\sum_{j=s}^{j=s+n-1}{pa^j}=\frac{p\left(a^{n}-1\right)a^s}{a-1}$ ...
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Harrington Emerson and his 12 principles of labor productivity

Are these principles currently relevant? Which principles would you add or, on the contrary, exclude? Which principles are observed today, and which are not? Why? Which of the principles would you ...
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Combined Buffer Requirements Basel III

Let's take this example: A bank is required to maintain minimal capital requirements according to Basel III as follows: CET1 - 4.5% Tier1 - 6% Tier1 + Tier2 - 8% In addition it has to apply these ...
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Corporate Finance introduction and mentoring for Non-Finance - topics to focus on?

I work for an international engineering company and have been in an engineering position for 10+ years. As part of the career development I have expressed interest to learn more about the finance side ...
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Why do banks need to borrow money (i.e. bond issuance)?

When a bank gives out a loan, a simultaneous liability and asset is created on their balance sheet, and 'external' funding doesn't fit into this picture... so why do they need to borrow money?
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$E[F_T] = F_0$ implies $p = \frac{1-d}{u-d}$? or is implied by?

From Ch 12 in Hull's OFOD, we compute the risk-neutral probabilities for a futures contract: Later in Ch 17, futures options are valued, and we have the same result: In relation to Chapter 16 and 17,...
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Arbitrage free implies complete market in general binomial model?

In Tomas Björk's Arbitrage Theory in Continuous Time, there exists this proposition It seems that to show that the model is complete, we must show that the claims are reachable, i.e. we must find ...
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Why do they always say: "this is not financial advice"? [closed]

Every single time there is a video about finance (especially Bitcoin), they always nag on about how: This is not financial advice. And then they give financial advice. Why do they have to say this? ...
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Cash flow of a loan (perspective of a bank)

if you receive a loan from a bank, how does the cash flow of the bank look like? I found the following: https://fincomplete.com/ratgeber/artikel/wie-berechnet-die-bank-meine-kreditzinsen-2 (...
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Will financial markets always heavily penalize the company if the CEO criticizes its products?

https://en.wikipedia.org/wiki/Stephen_Elop#%22Burning_Platform%22_memo https://communities-dominate.blogs.com/brands/2011/08/coining-term-elop-effect-when-you-combine-osborne-effect-and-ratner-effect....
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Was the financial crash of 2008 caused by top graduates of the American Ivy Leagues working at wall street banks?

From this article by Lisandro 'Leloy' Claudio, a Philippine/a Filipino professor of history, politics, South & Southeast Asian Studies (and not necessarily of finance, economics, mathematics or ...
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Have the deregulation measures that caused the 2007-2008 crisis been rolled back?

The 2007-2008 financial crisis was largely attributed to several deregulation measures, especially the Gramm-Leach-Bliley act. Have any of these measures been rolled back after the crisis, or new ones ...
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Can we 'predict' the delta of a stock? The delta of a stock is $\pm 1$ right? [closed]

A stock is like a living organism. A sparrow, say. And we are able to create an emergent-based abstraction of that sparrow, which closely approximates the sparrow itself, accounting for migration ...
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Calculating Tobin's q from the financial statements of publicly listed companies

I'm interested in doing some empirical analysis of firm's investment behavior using financial statements (such as asset, working capital, operating cost, etc). One variable I want to manually ...
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1 answer
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What type of dividends are there [closed]

Then came Meredith Whitney, with news. Whitney was an obscure analyst of financial firms for an obscure financial firm, Oppenheimer and Co., who, on October 31,2007, ceased to be obscure. On that day ...
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Can I test Granger causality in cyclical components?

I want to test Granger causality test in cyclical components of GDP and private credit, obtained with Christiano-Fitzgerald filter in annual growth rates of quarterly data. The main purpose is to find ...
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How to interpret the Alpha in a multi-factor model?

For the CAP-M, the alpha can be interpreted as the excess returns of a benchmark index. However, how should we interpret the alpha in a multi-factor model, like Carhart's 4-factor model? Does it still ...
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Is there any reference for labour finance?

Is there any recent reference for labour finance, in which labour finance relating to financial statements? And what are the alternative name for "labour finance"?
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How do I calculate the price and risk of a senior tranche?

Say I grant two risky X years loans P(default)=0.1 of 1000 USD. For simplicity let us assume that the interest rate is 0. I want to sell a X years Senior tranche of 1000 USD and a Junior tranche of ...
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Internal rate of return

Trying to finding the internal rate of return R: Net present value of costs is $\ Y(s)$ Net benefit is $\ Y(s+1)-Y(s)$ in every period t up to$\ \infty $ The answer is given as $\ R=\frac{Y(s+1)-Y(...
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What makes a shareholder a "shareholder of record"?

In public companies filling some reports with the SEC (10K for example), there is a mention of the number of shareholders of record. Example: "As of April 20, 2021, we had approximately 40 ...
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Question on the choice of boundary in the CUSUM test when we make some resampling

Question on the choice of boundary in the CUSUM test when we make some resampling We are considering to make a CUSUM test for some economical time series $𝑋=(𝑥_1,..,x_n)$. Suppose 𝑋 contains many ...
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Can an appreciating currency lead to inflation?

If a currency, e.g. the rupee (INR), is appreciating against, say, the USD, it possibly means that there is a high demand for the former. India could have net exports, high remittances, increasing ...
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How to handle the missing values' issue of newly listed stocks?

I am trying to test some asset pricing models on 10 portfolios for the period of 2010-2020. The problem is that three of these portfolios included stocks that are newly listed in 2017 and 2018, so I ...
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Quote or price driven markets

Where can I find some details about quote driven markets? Can anybody show any notes or provide some paradigm about what the trader sees when he is about to trade in such a market? They say that he/...
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