Wall Street Horizon has developed a new series of white papers illustrating the importance of corporate events and how different firm types can use event data to ultimately find alpha.
NEW - Trading the Earnings Calendar:
Enhancing RavenPack Earnings Intelligence
The RavenPack quantitative research team show that advances/delays in earnings announcement dates (using Wall Street Horizon data) can be predictive of positive/negative earnings results on the release date. The study uses this information to build a profitable strategy around earnings announcement events. Further, a combined strategy of earnings announcement events and earnings calendar change events delivers Annualized Returns of 8.7% for U.S. mid/large-caps and 20.9% for small-caps, with information ratios of 0.9 and 1.4, respectively.
The Earliest Indicator of Corporate Earnings:
Using Confirmation Timing for Trading Signals
Wall Street Horizon is now advancing their "corporate body language" research with new intelligence into what earnings date has been confirmed and when, providing the most insight available into the full quarterly earnings window. This paper explores how the timing of a confirmation date telegraphs information to the market - focusing on company implications when the date occurs outside of its typical historical range.
Exploring Corporate Data and Volatility:
Considerations for Academic and Financial Industry Research
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. New edition includes latest academic studies and research on event clusters.
This white paper explores how corporate event data can be used to manage risk and aid compliance efforts. Institutional risk managers, traders and investors will come away with an overview of the risk management process, how corporate events can be used in a risk framework, and real world applications and use cases.
Trends and Consequences in Preliminary Earnings Events
The paper uncovers why institutional investors need to examine preliminary announcements ahead of quarterly disclosures, assess the change or deviation and determine how it plays into or against typical communications and the strength of signal it may represent about upcoming earnings.
Using Corporate Event Data to Navigate Low-Latency in Equity Options:
Strategies for Institutional Traders and Market Makers
This paper explores new trends in the development of event-based trading signals in the equity options market. Citing contemporary academic research into options pricing and volatility, it examines the reasons to use predictive corporate event data to drive options trading decisions, especially within the context of increased low-latency and high-frequency trading (HFT) market makers in the market.