New Corporate Actions Functions

Latest Release
1

We exposed more of the corporate action data that we receive from ICE Data (formerly Interactive Data) with a few new, more powerful functions. In the factor reference, you can find them under FUNDAMENTALS->OTHER FUNDAMENTALS->CORPORATE ACTIONS. The new functions are:

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

The Full Description for each has more info on the parameters. Since this function uses ICE Data, be aware that some discrepancy is possible with S&P/CapitalIQ data.

To give you an idea of the screening possibilities, here are a few 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 use:

PendingCorpact(#SPLIT,#ACTIONRATIO) < 1

IMPORTANT NOTE: The “Allow Mergers” option in portfolios prior to this release only looked for pending merger/buy offers corporate actions. It now includes pending and recent-past spinoffs.

This change should permit more flexibility and specificity in dealing with corporate actions. DaysFromMergerAnn, the prior factor, is still available, and you should not need to adjust any previously created portfolios.

We hope that you’ll find this useful. I am available to answer questions.

2

Sounds pretty awesome, Paul. Thanks.

By the way, are these ICE functions PIT-accurate?

3

ICE corp actions always have an announce date. This is what we use to make it visible in a simulation: when PIT>=announce date. The unreliable data point seems to be the close date, or when the action ends either successfully or not. In about 50% of the cases is missing. To overcome this we expire actions after 6 months, which seems about right from the samples we looked at.

4

Thanks.

Q. What is #MERGEREL?

EDIT:
Q. How do you exclude all stocks are post merger with stale financials?

5 
Q. What is #MERGEREL?

Probably a merger which allows shareholders to elect whether to receive stock in the new (spun-off?) entity or cash.

6

BUMP…

After a merger, past earnings cash and debt may all become stale until the next quarterly earnings release.

Q. How do I exclude merger stocks until the first post merger earnings release?

7

This seems to work:

PastCorpAct(#MERGER,#COMPLETION)=True and StaleStmt=True