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Results tagged with finance
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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.
2
votes
Accepted
At forecasting, should I calculate inflation rate daily, monthly or annualy?
Inflation is the percent change in a price index per unit time. You should compound at the same frequency as the units in the inflation measure. Many reported measures of inflation are year over year …
- 16.4k
2
votes
How do you define the market cap of an ETF?
An ETF’s assets will fluctuate based on both changes in the value of
the underlying securities and the creation of new shares or redemption
of existing shares. It is worth noting that there may …
- 16.4k
1
vote
ARCH Model - Expectation of Absolute Value
I don't believe $w>0$ is necessary or sufficient to get a positive standard deviation everywhere. I think you need $\sigma_0 \geq 0$ and $w\geq 0$ with one of the two inequalities strict.
If $\gamma …
- 16.4k
4
votes
Accepted
Put Call Parity
How about a hint rather than an exact answer? Put Call Parity concerns the relationship between the prices of European put and call options (with matched strike and expiration dates):
$$ C - P = D(F-K …
- 16.4k
1
vote
Volatility of investment: Joint-Volatility of mutually independent variables
The variances of the sum of independent random variables are additive. Therefore, if X and Y are independent, Var(X+Y)= Var(X) + Var(Y). The standard deviation is defined as $\sigma_z = \sqrt{Var(z)}$ …
- 16.4k
3
votes
Accepted
In the event of a company's bankruptcy, how does a SPV continue operations if it can no long...
Servicing and origination don't have to be done by the same firm. It is quite common that the financing company contracts out the servicing rights on the loans they originate.
Servicers, like many o …
- 16.4k
2
votes
How does a refinance allow a mortgage to be repaid?
Let's say that you have a house that you buy for $P$ dollars. You have a mortgage of $M$ dollars. There is a change in the price of housing of $r$ percent. Assuming no transaction costs, the home owne …
- 16.4k
3
votes
0
votes
Trouble Understanding Government's Financial Databases
If you look at Table UnitData, you can see that it appears to be a unique entity ID. To see this, I joined the distinct values of the the Table AFRNotes with the Table UnitData.
SELECT DISTINCT AF …
- 16.4k
6
votes
What possible reasons could make arbitrage impossible between some markets?
The seminal paper in this area with over 3,000 citations is by Shleifer and Vishney:
Textbook arbitrage in financial markets requires no capital and
entails no risk. In reality, almost all arbit …
- 16.4k
6
votes
Accepted
What is the mix of maturities of outstanding US Treasury bonds called?
Weighted Average Maturity of Marketable Debt
- 16.4k
0
votes
Modern Portfolio Theory Vs Marginal Utility Theory
Harry Markowitz invented modern portfolio theory. If agents have quadratic utility or asset returns follow jointly normally distributed random variables, then his process describes how to construct op …
- 16.4k
2
votes
What is the percentage of announced Merger & Acquistion deals actaully completed?
If I'm reading it correctly, Table X (page 2633) of Schwert (2000) (Journal of Finance, Hostility in Takeovers: In the Eyes of the Beholder?) …
- 16.4k
2
votes
Accepted
How to measure Tobin's q?
If you are interested in Tobin's (average) q, you might find useful A Simple Approximation of Tobin's q (Chung and Pruitt (1994)). That paper has a highly accurate approximation for Tobin's Q using C …
- 16.4k
4
votes
How does the Fama and French 3-factor model explain stock covariance?
There are two ways I could think of to answer this question. First, and I think this is what you are asking, "what is the covariance structure of two assets under the Fama-French 3-factor model?" Cons …
- 16.4k