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I have an equity statarb strategy developed using CRSP daily data. The strategy is always invested (long or short) in around 400 stocks. The CRSP dataset has CFACSHR and CFACPR factors used to adjust the raw historical price and share information for splits, dividends, and other corporate actions like spin offs, rights, etc.

I am now working on the nuts and bolts of implementing this strategy using a Bloomberg data license for historical data and daily updates. I can use:

EQY_DVD_SPL_SPLIT_RATIO_NEXT

EQY_DVD_SPL_EX_DT_NEXT

EQY_DVD_CASH_EX_DT_NEXT 

EQY_DVD_CASH_NET_NEXT

To find the sizes and dates of upcoming splits and dividends, but I don't have a way of looking up other upcoming corporate events. I would like to know how others have dealt with upcoming corporate events.

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  • $\begingroup$ What sort of corporate events are you looking for? $\endgroup$ – chollida Oct 16 '15 at 21:16
  • $\begingroup$ @chollida There seem to be a variety of events that I'll need to adjust for in addition to just splits and dividends? Warrants, spin offs, stock dividends (as opposed to ordinary cash dividends), etc all will produce a price move that shouldn't be traded on, if I understand correctly. $\endgroup$ – siegel Oct 17 '15 at 14:45
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Use DVD_HIST_GROSS_WITH_AMT_STAT. It includes normal and abnormal dividends,stock dividends, stock splits, rights, and spinoffs.

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I don't think you'll find a Bloomberg FLDS event to get all upcoming corporate actions.

But using the terminal you can use CACS<GO> to get a list of all upcoming corporate actions for a particular ticker. I'm not sure if you can do the same whit an equity screen EQS.

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