Dear Fellows,
I have tried to create a heatmap of Intraday Returns by Total Yield and Sales Yield valuation ratios for the period of Global Financial Crisis 2007/2008. A cursory inspection of the heatmap indicates that the stocks which were in the extreme deciles of either or both ratios performed worse than those that lie in the median range of Total Yield and Sales Yield ratios.
Looking forward for additional feedback.
Dear Muzammil, please note that in order to reshape a groupby object into a proper data frame you could just use grouping.unstack() command.
Do your results imply that if we invested in stocks which Sales Yield and Total Yield belonged to 6th decile, we could get 17% of intraday returns?
best regards,
Chulpan
Thanks for your comment. I didn't know the command before. For the results, yes indeed you have interpreted correctly; however, there is a catch. I have used the data of only one year and that too during the time of financial crisis. So my results are not generalizable, as they only bring you information in case of a particular anomaly. I am working on a more general approach and will then be narrowing it down to special market events.
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