Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
3,983 documents
The document offers historical volatility and correlation estimates as starting points for a foreign currency option model with domestic equities, foreign equities, and an exchange rate. Using weekly observations over five years for the DAX, S&P, and EUR…
The document examines whether a rising risk-free rate necessarily raises the earnings yield, defined in the discussion as earnings divided by price. It begins from an earnings-based relation between earnings yield, the equity risk premium, and the risk-free…
The document outlines a basic workflow for studying whether investors favor value or growth stocks during crises. It suggests obtaining constituent stock prices from market data sources, using an established equity research classification to separate value…
The document describes an attempt to estimate value at risk (VaR) and expected shortfall (ES) with a peaks-over-threshold method using a generalized Pareto distribution (GPD). In a rolling sample of Petrobras returns, the author encounters a software error…
The document discusses practical uses of equity return factors such as the Fama–French factors, momentum, and liquidity or tail-risk measures. It describes factor investing as a portfolio construction approach and notes that predicting factor returns, often…
The document outlines a property-based method for estimating a REIT’s equity value per share. First calculate net operating income from revenue and expenses before depreciation and interest. Divide that NOI by an assumed capitalization rate to estimate the…
The document asks how to interpret common sell-side analyst ratings on a five-point scale in quantitative terms. It uses a score associated with market-average performance as an example and asks whether ratings above that level correspond to defined ranges…
The document sets out a continuous-time optimal execution model for selling a fixed stock position over a chosen horizon. It assumes an arithmetic Brownian unaffected price and a linear temporary impact cost proportional to trading rate. Under these…
The document collects suggestions for obtaining historical index membership and constituent prices at monthly intervals. It points to professional data terminals and services, including Bloomberg, where index members can be queried with a date override and…
The document considers how to build a fundamental scoring model for a defined stock universe using metrics for size, growth, valuation, quality, and risk. It describes the practical challenge of collecting current, historical, and estimated Bloomberg fields,…
The document estimates the chance that a stock reaches a buy limit price at least once during a waiting period. It models log prices as Brownian motion with constant volatility, uses the distribution of the running minimum to relate a price threshold to a…
The discussion offers several explanations for why stock prices may hold up even when current corporate earnings fall sharply during an economic shock. Lower interest rates can support higher valuation multiples because future cash flows are discounted less…
The document discusses autoquotes in the context of research on locked and crossed markets. It distinguishes the paper’s reference to small displayed limit orders that other market participants might trade through from an explanation of the exchange’s…
The document asks whether stock prices, log returns, and cumulative returns have probability density functions, cumulative distribution functions, or both, and when each representation is useful. The included answer explains that a cumulative distribution…
The document raises a methodological question about applying principal component analysis to financial asset series. It compares using price levels with using returns, and asks whether the selected series should be standardized before calculating covariance.…
The document considers the one-year forward value of an equity that pays a known dividend after six months, with different interest rates for the six-month and one-year terms. Under deterministic rates and risk-neutral valuation, the answer carries the…
The document discusses why borrowers and investors choose debt or equity to finance an investment. It emphasizes the available collateral, cash flow, uncertainty, and potential upside. A young company with little collateral and negative cash flow may…
The discussion distinguishes forecasting the aggregate equity premium for the next month from ranking individual stocks by expected return. It points to characteristic-based cross-sectional models, using rolling Fama–MacBeth slopes and multiple firm…
The document explains that weighted average cost of capital represents a company’s average financing cost, so a lower WACC is generally preferable from the company’s perspective. It then considers why investors may view a higher WACC differently depending on…
The document asks whether Sharpe-style portfolio style analysis can explain equity fund performance using indices grouped by high, medium, and low ESG characteristics. It identifies suitable data as the central practical challenge and points to ESG scoring…
The document explains how to test whether an event day produced abnormal stock returns across a group of companies. It uses a market model fitted over an estimation window, then defines the daily average abnormal return as the cross-sectional mean across the…
The document explains when European calls and puts with the same strike and maturity should have matching implied volatilities. Under put-call parity, their implied volatilities coincide at the at-the-money forward strike when the other pricing inputs are…
The document asks how large institutional stock sales affect prices over weeks, months, or years, including the lasting losses that other large holders might face. It raises questions about whether permanent impact relates to peak temporary impact, how…
The document considers whether two cointegrated price series can be combined into a stationary spread and modeled with an Ornstein-Uhlenbeck process. The proposed workflow estimates a hedge coefficient through regression, constructs the residual spread, and…