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0
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1answer
40 views

Handling upcoming corporate actions for equity portfolio

I have an equity statarb strategy developed using CRSP daily data. The strategy is always invested (long or short) in around 400 stocks. The ...
-1
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2answers
62 views

Why aren't there any single owner companies over a billion dollars? [closed]

The biggest companies have multiple owners which dilute the authority and finances of the company. They are either publicly traded companies via selling shares through stock markets, or privatly owned ...
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0answers
40 views

What is the the correct treatment while short for the cash in lieu of a reverse split?

Long case: Assume I am Long 50 shares and there is a 2 for 3 reverse split. Let's denote the quantity of stock by x Prior to the split Portfolio is $-cash_0$ $+50x$ I am then at $-cash_0 +33x ...
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0answers
114 views

forward- and backward adjusting stockprices

Do you guys know if a paper has been published that discusses forward- and backward adjusted stockprices, and the look ahead bias coming from backward adjusted data?
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0answers
179 views

How companies choose earnings release dates, & effect on Implied Volatility

A company's earnings release date significantly affects weekly or monthly option prices/implied volatility. For companies that typically release earnings on the cusp of monthly options expiration, ...
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3answers
1k views

How do strategies deal with corporate actions?

There are many corporate actions that will affect the stock price, like dividend, stock split and rights. Given a large series of historical price data, how do we adjust the data to filter out the ...