Fundamentals / Corporate Actions
PastCorpAct(ca_type [, ca_status, lookback, ca_retvalue])

PendingCorpAct(ca_type[, ca_retvalue])
PastCorpAct(ca_type[, ca_status, lookback, ca_retvalue])
DaysFromMergerAnn

Use these functions to screen for or eliminate stocks that have specific corporate actions. The functions find the corporate action with the closest announce date to the observation date (point in time date). They were primarily designed for automated systems where it’s desirable to avoid/sell stocks that are:

  • In the process of being acquired, since the price is no longer tied to the fundamentals
  • Are going to spin off a significant portion, since the resulting multiple issues will not make sense quantitatively; and/or
  • Had recent spinoffs, since the data is most likely not yet restated and some ratios are likely meaningless.

NOTES
  • These functions use the corporate action data from ICE Data (formerly Interactive Data).
  • We are still preventing lookahead bias on our platform, so you should only expect PendingCorpAct to be true after the announcement has been made, but before the action has completed. The functions should not lookahead to historical deals before they were announced.
  • In about 50% of the cases ICE Data does not fill in a close date. In these cases we automatically close an action after 6 months (or when the security stops existing, whichever comes first). You can determine if the close date was estimated using #ESTIMATEDCLOSE for the 'ca_retvalue' parameter.
  • These functions are dependent on the data that is provided to us, and some M&A activity is so complicated that it doesn’t fit comfortably into the database format, or was never entered in the first place. Expect some exceptions, particularly when looking at ADRs.
Examples
To eliminate stocks that have pending major corporate actions use
PendingCorpAct(#MANDA) = FALSE

To screen for stocks that had a recent spinoff in the last 30 days
PastCorpAct(#SPINOFF, #STATUSOK, 30) = TRUE

To replicate the simulation setting "Allow Mergers = No" use the following
PendingCorpAct(#MANDA) = FALSE AND PastCorpAct(#MANDA) = FALSE

To screen for stocks with upcoming reverse splits
PendingCorpact(#SPLIT, #ACTIONRATIO) < 1

Parameters

ca_type Required parameter. Must be one of the following:

Action Groups
#MANDA - any of the individual actions except #SPLIT
#MANDAEXSPIN - any of the individual actions except #SPLIT & #SPINOFF

Individual Action
#SPINOFF
#LIQUIDATION
#MERGER
#BUYOFF
#NEWOFFER
#MERGEREL - merger elect
#SPLIT

ca_status
Defaults to #STATUSOK

Status Groups
#STATUSANY
#STATUSOK - either #COMPLETION or #APPROVAL
#STATUSFAIL - either #TERMINATION or #REJECTION

Individual Status
#COMPLETION
#APPROVAL
#TERMINATION
#REJECTION
#MEETING
#OTHER
#STATUSNA - status not specified by data provider

lookback
Maximum number of days since the close date of the action, defaults to 182 (six months)

ca_retvalue
Specifies what to return, defaults to #TRUEFALSE

These always return a value
#TRUEFALSE - TRUE if a match is found, FALSE otherwise
#ACTIONCNT - number of actions that matched or 0

These return a value if an action was found, NA otherwise
#ANNCEDAYS - number of days since the announce date
#CLOSEDAYS - number of days since the close date
#ACTIONTYPE - action type
#ACTIONSTATUS - status of the action
#ACTIONRATIO - only meaningful for splits at the moment
#ESTIMATEDCLOSE - TRUE if the close date was estimated by us
#ACTIONUID - for internal use only