Citi Research and RavenPack | July 26, 2018
Peter Hafez, our Chief Data Scientist, highlights the key results and comments on the methodology used by Citi quant research team in their report titled "Searching for Alpha: Profiting from Capex - Look To Capex Announcements".
By Peter Hafez, Chief Data Scientist, RavenPack
Recently, Citigroup’s Equity Research team published an interesting report on how investors can profit from CAPEX announcements . As a source for announcement data, they considered RavenPack’s event data that is automatically extracted from textual news and blogs using Natural Language Processing (NLP).
Empirical evidence suggests high reported CAPEX firms experience poor future stock returns. Explanations range from management empire building (over investment) to investors over-reacting, to past growth. In their report, Citi proposes an alternative explanation. They argue that such strategies have more in common with Value than with Growth Investment. Furthermore, they suggest that reported CAPEX results in poor future performance because it is a lagging variable. CAPEX often takes years to complete with fundamental investors being well aware of possible management reinvestment before the information finds its way into financial statements.
Using RavenPack data, the Citi Research team formulate investment strategies around CAPEX announcements, rather than reported CAPEX. Announcement data provides a significant timing advantage to reported numbers allowing investors to profit from corporate reinvestment, as well as the subsequent price reversal.
Continue reading the " CitiBank's take on CAPEX announcement strategies using RavenPack data " research commentaries
This CAPEX Annoucements dataset allows you to query the data used in the paper.
Please use your business email. If you don't have one, please email us at info@ravenpack.com.
By providing your personal information and submitting your details, you acknowledge that you have read, understood, and agreed to our Privacy Statement and you accept our Terms and Conditions. We will handle your personal information in compliance with our Privacy Statement. You can exercise your rights of access, rectification, erasure, restriction of processing, data portability, and objection by emailing us at privacy@ravenpack.com in accordance with the GDPRs. You also are agreeing to receive occasional updates and communications from RavenPack about resources, events, products, or services that may be of interest to you.
Your request has been recorded and a team member will be in touch soon.