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stock buyback and dividend data?

Does Quantopian have stock buyback data? Presumably, Quantopian has the number of shares outstanding, and one could use these data (although this would look just like a reverse split, I suppose...there would need to be an additional field, designating the change as a split versus a buyback). However, the buyback announcement date including the number of shares to be re-purchased would seem to be more valuable (since presumably there is some immediate market reaction, even though the shares are still on the market).

Similarly, does Quantopian have dividend data (both dividend announcement and dividend amount versus time)?

I figure share buybacks and dividends are the two ways companies can return money directly to their shareholders (although the former isn't actually cash, since the share price can be anything the market wants it to be). Perhaps the return of the profit doesn't get incorporated into the share price perfectly, and there would be some wiggle room for an alpha factor.

13 responses

The premium dataset Eventvestor has buyback and new issuance of shares I believe.

Premium...not something I'd pay for.

What about splits data? Are they free? I was thinking that if the number of shares changes and it is not a split, then it must be a buyback (or reverse buyback, if there is such a thing). Maybe it would be possible to back out buybacks from the free data?

These then from FactSet Fundamentals maybe. Doesn’t include announcements (obviously) of planned buybacks/issuance (a ‘reverse buyback’ as you called it is just issuance of new shares, diluting existing shares). Also, the ‘It excludes’ wording is a bit confusing to me. I believe it means that repurchases are subtracted.

stk_chg_cf_af, stk_chg_cf_ltm, stk_chg_cf_qf, stk_chg_cf_saf

Sale/Repurchase of Stock - Net  
Annual, Interim and Preliminary Items - All Industries

Represents the net change in the carrying value of common and preferred stock for the period and date(s) requested in local currency by default.

It includes:

Sale of common and preferred stock  
It excludes:

Repurchase of common and preferred stock  

Thanks Joakim. The Factset fields would seem to provide the net change in "carrying value" (whatever that means...I'll have to Google it). I'm guessing "includes" just means that sales are positive, whereas "excludes" means repurchases are negative; the net is the difference, which would seem to be the value that matters.

@Grant, there is the notion of buy_back_yield in Morningstar Fundamentals. It is defined as: “The net repurchase of shares outstanding over the market capital of the company. It is a measure of shareholder return.”

The total_yield is defined as: “The total yield that shareholders can expect, by summing Dividend Yield and Buyback Yield.”

And therefore, using the trailing_dividend_yield or the forward_dividend_yield , you could make an estimate of a company's share buyback program should you remove the dividend_yield from the total_yield , and if there is something left, then you have repurchase of shares. Note that a company, even if they announce a share repurchase program, have no obligation to executing it, and furthermore, they also have to follow SEC rules when doing so.

Have not tested the above. Nonetheless, maybe it could help.

Thanks Guy -

It is interesting that buyback yield is lumped together with dividend yield, into total_yield. The former is not real money in shareholder's pockets, whereas the latter is a direct payment. Also, the language "The total yield that shareholders can expect..." doesn't make sense to me, since it is a trailing metric, right? What happened in the past is not what one should necessarily expect in the future (and while dividends may persist, I gather that share repurchasing tends to be more of a one-shot deal).

Buybacks results in fewer shares outstanding, meaning that each share is worth more, and will therefore in general result in share price appreciation. They are generally a more tax efficient way for management to return to shareholders excess cash (from earnings, net any capital expenditures required to stay in business) that can’t effectively be invested in (organic or purchased) growth in the business. Dividends paid out usually results in the shareholder having to pay taxes on the dividend (double taxation). However, if the market valuation of the company is excessively high, it may still make more sense to pay out via dividends instead. This can sometimes be a good way to see if management is acting ‘rationally ‘ (in terms of capital allocation) and in the best interest of shareholders.

I thought I would add to the discussion that dilution occurs not only when raising funds via an offering, but also as part of employee compensation via stock options.

The former is not real money in shareholder's pockets

Well, the money does leave the company and end up in some shareholders' pockets in exchange for their shares. All things the same, earnings per share then increases due to the reduced shares outstanding, so price per share should increase in tandem for the rest of the shareholders.

Buybacks are not so intuitive to me. For example, on https://www.investopedia.com/articles/02/041702.asp, there is a "fast fact":

A buyback will always increase the stock’s value and benefit the shareholders in the short term.

Well, say I open a lemonade stand and sell 1 share each to 10 of my friends (10 shares total) to buy lemons and sugar. I then sell all of the lemonade, and have no plans to sell any more lemonade, and have $10 in cash profit. So, each share is worth $1. If I buy back half of the shares, each share is still worth $1, based on the company financials (what's in my piggy bank). However, each share also represents an ownership stake in the company, and so it is more valuable, since it represents a larger stake in the company, but the buyback does not increase the share price (since the share price is solely determined by the amount of cash held by the company).

Suppose then that I decide to keep my lemonade stand after all, and I present a story about how I am so much smarter, and promise to be more profitable. Then, if my shareholders assume that the company is worth $10 total going forward, the share price will magically jump to $2 (since the company is $5 cash + $5 hope, and there are 5 shares outstanding). So, it is the hope part of the company valuation that benefits from the buyback, if I'm understanding correctly.

@Grant,
Thanks for starting this conversation...have noticed in the long term Q factors I've been looking at that fcf was mysteriously overweighted in effect!

Well here is a counterpointed analysis of current buybacks...read it once and am still confused about how to make a better factor using that information.
Will try and read it again to to see if something pops...pe...eps...fcf...price/totalcash...whew!!!

https://www.fidelity.com/viewpoints/market-and-economic-insights/what-buybacks-may-mean

alan

Thanks Alan -

The Fidelity article points out a potential alpha factor opportunity, in that some companies may actually have generated the cash the old-fashioned way, whereas other companies may just be taking advantage of cheap money ("corporate debt-for-equity arbitrage"). One would think that over the long term, companies that do what they are supposed to be doing (selling goods and services) versus shuffling money around like Wall Street would be successful, but what do I know.

So, I guess a follow-on question is does Q have the data to sort out where the money came from for the buyback---selling goods and services or financial voodoo?

They do. Have a look at the fields from the cash flow statement, e.g net cash from financing activities.

Thanks Joakim.

Presumably, "Change in Capital Stock" would cover both cash generated from the issuance of stock, and cash spent on buying back stock (although I think I saw that a company can hold onto the shares, and not convert them to cash...I guess that's accounted for in "Net Cash from Financing Activities").


Net Cash from Financing Activities
Annual, Interim, and Preliminary Items - All Industries

Represents the net cash flow resulting from the company’s financing activities. Financing activities represent movement in the company’s debt and share capital and other activities.

It includes:

Issuance / Reduction of Debt - Net  
Change in Capital Stock  
Other Funds - Financing  
Increase in Deposits(for Bank and Investment only)

It excludes:

Cash dividends paid  
Decrease in Deposits (for Bank and Investment only)