Investment Strategies / Mechanical Investing
No. of Recommendations: 2
calling data gurus....
i thought this may be finally possible , but several (free) AI engines spat out excuses and no answer.
- is there a source, or inference derivation, for mean\median cost basis for retail shareholders in very liquid mid-mega cap stocks?
- along same lines, mean\median holding period ?
am not dogmatic on defining retail (e.g., <1000 shares...) and such, i just want a decent stab using non-stale data within the past few weeks.
No. of Recommendations: 7
There are some interesting research papers that estimate cost basis based on the past trajectory of price and volume, with the hugely simplifying assumption that any given share is equally likely to be sold on any given date.
This sounds like an unreasonable assumption, but it gives some interesting predictions which have been verified, for example that, in combination with the disposition effect, it seems to explain the fact that turnover ratio correlates with the optimum momentum holding period. (higher turnover ratio, lower optimum momentum lookback)
This is a bit of a side track, but it is an available formula for estimating average cost basis.
Jim
No. of Recommendations: 2
thanks, i am getting the impression that neither estimate is commonly available per ticker. (as many in the factor zoo are not)
but am not yet convinced these are less useful than many others commonly available.
No. of Recommendations: 3
thanks, i am getting the impression that neither estimate is commonly available per ticker.
If you think the kind of estimate of the weighted average entry price I mentioned might be of value, you can calculate it yourself stock by stock from the history of daily price and volume.
If a stock has had a price much higher than the current one for quite a while, it's likely the average breakeven price of holders (especially those with any propensity to trade) is higher than the current price. With a few simplifying assumptions related to what fraction of shareholders have any propensity at all to trade, it's not hard to calculate. I remember reading a paper on this subject, but I'm not sure exactly which one...start with "The Disposition Effect and Momentum" by Mark Grinblatt and Bing Han.
Jim
