Questions tagged [corporate-actions]

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Hedging with peer companies and optimize the weights

I am trying to long a security that is expected to outperform its peers after certain corporate actions, but want to hedge using the same group of peers (so short ~5 names). So the goal here is to ...
DLW's user avatar
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1 vote
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Asymmetric information in capital markets: EU ad-hoc announcements/8-K filings in other countries

In many countries, companies whose securities are traded on a stock exchange are subject to an ad-hoc disclosure requirement. This ad-hoc announcement publication duty refers to the obligation to ...
MiFischer22's user avatar
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What happens to options on a SPACs unit class post deal closure?

SPAC unit share classes are typically structured as following: Unit = Stock + (1/5) Warrant When the SPAC deal closes the ticker changes and the unit converts to ...
pyCthon's user avatar
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1 answer
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How do I calculate the bond index in case of the presence of corporate actions? to prevent a change in the value of index due to corporate actions?

I want to make index for the bond market, I read several methodologies and I didn't find a divisor in the equations used for bond index calculation. As i know from the stock indices that a divisor is ...
Mahitab Khaled's user avatar
2 votes
0 answers
241 views

spinoff entity value / adjusted close of a spinoff

When company $A$ spins off company $B$ (i.e. $A = A'+B$), how do we know exactly the adjustment factor of $A'$ and $B$ before trading Note I am not asking to value the new companies. That's a whole ...
CuriousMind's user avatar
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1 answer
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Do corporate events happen intraday?

Does any corporate event that affects the stock price/shares outstanding happen during the trading session in vanilla US Common stocks or predominantly at night ?
Kreol's user avatar
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2 votes
1 answer
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How to price complex corporate actions with spinoffs

Let's look at below UTX/RTN merger as an example: https://www.fool.com/investing/2020/03/30/raytheon-united-technologies-merger-gets-green-lig.aspx The merged companies will from that moment ...
CuriousMind's user avatar
3 votes
0 answers
52 views

Headquarter Relocation and Stock Return - Influence of Universities

Scott Galloway states in chapter 8, The T Algorithm, in his book The Four: The Hidden DNA of Amazon, Apple, Facebook, and Google, that a successful strategy to become a "trillion dollar company" must ...
skoestlmeier's user avatar
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2 votes
2 answers
1k views

Identify stock split from historical price data

I have price series data with open, high, low, close and adjusted close for different companies. I am not sure whether this data is adjusted for stock splits or not and would like to know how to check ...
Madhu's user avatar
  • 21
0 votes
1 answer
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Buy firm, leverage and sell, seems like arbitrage strategy. What's wrong with this argument?

I recently came across with someone valuing a firm with different D/E ratios. My question is that this looks a bit spurious in that its mechanical. For instance if one wants to buy an unlevered firm ...
Borun Chowdhury's user avatar
1 vote
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Valuation of a company

Alpha Corp purchases Beta Sub. Alpha Corp finances the purchase price of € 100 million by raising € 50 million in debt and € 50 million in equity issued by Alpha. The debt is risk free and the ...
Methamortix's user avatar
3 votes
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How to calculate which companies moved their earnings dates?

Are there ways to quantify which percentage of companies make a change to their quarterly earnings dates? For example company X was scheduled to report results on February 8 and the date is moved to ...
William Ross's user avatar
2 votes
0 answers
84 views

Capital increase: which stock price to use as input to Black-Scholes formula?

For an exercise we have to calculate the theoretical value of a scrip / preferential right on its issue day (23 April) in the context of a capital increase. The scrips are issued on 23 April. The ...
Hirboy's user avatar
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0 votes
2 answers
738 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 ...
siegel's user avatar
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2 answers
99 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 ...
cortell davis's user avatar
2 votes
0 answers
52 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 +\...
Kyle Balkissoon's user avatar
1 vote
1 answer
1k 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?
Paznaz's user avatar
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6 votes
0 answers
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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, ...
Ray's user avatar
  • 503
16 votes
3 answers
2k 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 ...
Dennis's user avatar
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