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Secrets to Sourcing Corporate Event Data — Including History!

Secrets to Sourcing Corporate Event Data — Including History!

Posted July 1, 2021 at 10:30 am
Christine Short
Wall Street Horizon

Exploring Corporate Event Data and Volatility (excerpt)

Research efforts and reports focused on event data have one overarching finding in common. Corporate events, especially revisions to previously scheduled events, can cause volatility. Understanding the types of events, event changes and other event-related behaviors can identify previously unknown or under-appreciated sources of alpha and risk.

Data Quality Considerations – The ‘Must-Have’ List

When an academic researcher or quant analyst is developing a systematic review of the near/mid/long-term financial implications that corporate events may have on a company, the data regarding the event must be highly accurate.

For example, an investigation of point-in-time data first requires defining what point-in-time means. There is not one set answer, which is often assumed, and that is a discussion that must be had with the data provider. Then the data you procure must be compared within the context of other market datasets and conditions. Essentially, you are creating a bespoke dataset during your investigation and each component must be highly accurate and well understood.

Following are brief descriptions of the characteristics to consider when sourcing and evaluating corporate event data.

Corporate Event Data Must be Primary and Publicly Sourced

Because publicly traded companies are disclosing information in an increasing number of ways, it is important that you subscribe to primary sourced, publicly available data that is 100% compliant.

  • Need ongoing access to the data analysts and engineers who created and maintain the data. They should be available for content and technical questions.
  • Researched with a repeatable, well-documented, fact-based methodology.
  • Delivered with transparency as to how, when and from where the data is sourced.
  • Formatted and delivered so that it is machine readable with specifications and content explanations.

Rigorous Curation of Archived Event History

Using historical data for model backtesting and strategy development is critical for quantitative firms and academic researchers alike.

  • The data should be sourced directly from the forward-looking research efforts, keeping history as it was when originally published.
  • The historical data is never revisited, tweaked or edited in any way.
  • If event type requires updating the history, a separate change-log history detailing those revisits/updates must be maintained.
  • Structured into a machine readable format, with detailed specification guides providing delivery, content, structure and key definitions of all terms.
  • The data includes all relevant event types. Whether in response to the diminished role of broker research or changes in the regulatory industry, publicly traded companies are finding more ways to divulge information directly to investors. For example, within investor related conferences, there can be several subcategories including analyst days/capital markets days, business updates, company travel, conferences, forums, R&D days, seminars, summits, tradeshows and workshops.
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Information posted on IBKR Campus that is provided by third-parties does NOT constitute a recommendation that you should contract for the services of that third party. Third-party participants who contribute to IBKR Campus are independent of Interactive Brokers and Interactive Brokers does not make any representations or warranties concerning the services offered, their past or future performance, or the accuracy of the information provided by the third party. Past performance is no guarantee of future results.

This material is from Wall Street Horizon and is being posted with its permission. The views expressed in this material are solely those of the author and/or Wall Street Horizon and Interactive Brokers is not endorsing or recommending any investment or trading discussed in the material. This material is not and should not be construed as an offer to buy or sell any security. It should not be construed as research or investment advice or a recommendation to buy, sell or hold any security or commodity. This material does not and is not intended to take into account the particular financial conditions, investment objectives or requirements of individual customers. Before acting on this material, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.

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