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Identifying Upcoming Corporate Actions in Equity Portfolios

Article Quant Q&A · Author: siegel
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Summary

The document addresses how to account for upcoming corporate actions when implementing a long-short equity statistical arbitrage strategy using a Bloomberg data license. The strategy holds positions across many stocks, and the author asks how to find events beyond the upcoming split and dividend fields, such as spin-offs, rights, or other corporate events. The motivation is to manage the difference between historical data adjusted for corporate actions and live portfolio updates.

One answer points to a Bloomberg historical field that includes several action types, including dividends, stock splits, rights, and spin-offs. Another answer cautions that there may not be one field covering every upcoming action and suggests using the terminal’s corporate-action screen for a ticker. It is unclear whether the terminal workflow can be reproduced through an equity screen. The responses offer practical Bloomberg pointers, but do not explain how to translate each event into position adjustments or verify completeness for a portfolio.

Key ideas

  • Historical adjustment factors may account for multiple corporate actions, creating a need to reconcile adjusted history with live events.
  • The cited Bloomberg historical field covers several event types, including dividends, splits, rights, and spin-offs.
  • A terminal corporate-action screen can show upcoming events for a specific ticker.
  • The document leaves open whether upcoming actions can be retrieved comprehensively through an equity screen.
  • It does not provide portfolio-level adjustment procedures or a completeness check.

Tags

EquitiesEvent-drivenPortfolio construction
Full text
# Handling upcoming corporate actions for equity portfolio


# 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 `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.

## Answer by user18489 (score 1, accepted)

https://quant.stackexchange.com/a/27535

Use DVD_HIST_GROSS_WITH_AMT_STAT. It includes normal and abnormal dividends,stock dividends, stock splits, rights, and spinoffs.

## Answer by chollida (score 1)

https://quant.stackexchange.com/a/21252

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`.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.