Exploring Corporate Event Data and Volatility, Considerations for Academic and Financial Industry Research

Wall Street Horizon - Michael Raines, Quantitative Solutions Team, Q1, 2020 With a foreword by Ed deHaan, University of Washington, Foster School of Business

12 Pages Posted: 26 Nov 2019

Date Written: January 1, 2020

Abstract

Corporate events created by publicly traded companies or attended by their executives can provide compelling insight on the overall financial health of the companies involved. The digital revolution has resulted in an explosion of corporate event information--both in volume and in types of events.

Publicly traded companies are constantly self-disclosing information in new ways. Uncovering and understanding the patterns within corporate events data – such as repetitive and sporadic scheduling, time/day of week schedules and a confluence of events at the same company or comparisons to peer companies – can advance academic research as well as benefit the financial community’s investing strategies.

The aim of Exploring Corporate Event Data and Volatility is to provide guidance to researchers and practitioners on evaluating event data when researching alpha models or risk strategies.

Offered within are examples of how several academic researchers have leveraged high-quality data to conduct independent research and publish their results in academic journals.

This paper details what to look for in corporate event data and suggests best practices for sourcing highly accurate data.

Keywords: Corporate Event Data, Company Event Revisions, Corporate Events and Volatility

JEL Classification: G14

Suggested Citation

Raines, Michael, Exploring Corporate Event Data and Volatility, Considerations for Academic and Financial Industry Research (January 1, 2020). Wall Street Horizon - Michael Raines, Quantitative Solutions Team, Q1, 2020 With a foreword by Ed deHaan, University of Washington, Foster School of Business. Available at SSRN: https://ssrn.com/abstract=3165005

Michael Raines (Contact Author)

Wall Street Horizon ( email )

400 West Cummings Park
Ste. 3650
Woburn, MA MA 01801
United States

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