New Whitepaper Published by the Wall Street Horizon Quant Solutions Team

Exploring Corporate Data and Volatility:
Considerations for Academic and Financial Industry Research

Providing researchers and practitioners guidance on evaluating event data when researching alpha models or risk strategies

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 same company or comparisons to peer companies – can advance academic research as well as benefit the financial community's investing 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.   

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