Datasets:

sovai
/

corp_risks

+---
+icon: shield-cross
+description: >-
+  Here we develop three tables to develop a final score of corporate risk to US
+  equities.
+---
+# Risk Indicators
+> **Data Notice**: This dataset provides academic research access with a 6-month data lag.
+> For real-time data access, please visit [sov.ai](https://sov.ai) to subscribe.
+> For market insights and additional subscription options, check out our newsletter at [blog.sov.ai](https://blog.sov.ai).
+```python
+from datasets import load_dataset
+df_risks = load_dataset("sovai/corp_risks", split="train").to_pandas().set_index(["indicator","date"])
+```
+Data arrives late Friday night 11 pm - 12 am after market close US-EST time.
+`Tutorials` are the best documentation — [<mark style="color:blue;">`Corporate Risk Indicators Tutorial`</mark>](https://colab.research.google.com/github/sovai-research/sovai-public/blob/main/notebooks/datasets/Corporate%20Risk%20Analysis.ipynb)
+<table data-column-title-hidden data-view="cards"><thead><tr><th>Category</th><th>Details</th></tr></thead><tbody><tr><td><strong>Input Datasets</strong></td><td>SEC Filings, EDGAR API, Exchange Data.</td></tr><tr><td><strong>Models Used</strong></td><td>Transformations, Simple Maths</td></tr><tr><td><strong>Model Outputs</strong></td><td>Standardized Ratios</td></tr></tbody></table>
+## Description
+This dataset provides comprehensive corporate risk indicators for US equities, including accounting risk, financial event risk, and misstatement risk.
+It combines various financial metrics and event data to generate standardized risk scores, enabling investors to assess and compare company risks across industries for more informed decision-making.
+## Data Access
+### Accounting Risk
+**Accounting Table**: This table offers a snapshot of a company’s financial status based on standard accounting metrics. It is crucial for investors to assess a company's profitability, liquidity, and solvency.
+```python
+import sovai as sov
+df_actg_risk = sov.data("corprisk/accounting")
+```
+<figure><img src="https://raw.githubusercontent.com/sovai-research/sovai-documentation/main/.gitbook/assets/risk_indicators_1 (2).png" alt=""><figcaption></figcaption></figure>
+### Financial Event Risk
+**Events Table**: Contains data on significant corporate events that could impact a company's financial status or investor perception. This includes mergers, acquisitions, executive changes, regulatory shifts, and other material events.
+```python
+import sovai as sov
+df_events_risk = sov.data("corprisk/events")
+```
+<figure><img src="https://raw.githubusercontent.com/sovai-research/sovai-documentation/main/.gitbook/assets/risk_indicators_2 (2).png" alt=""><figcaption></figcaption></figure>
+### Misstatement Risk
+**Misstatement Table**: This table highlights the potential risks of financial misstatements in a company’s reporting. A higher score in this table indicates a greater risk or occurrence of financial misstatements, which can be a red flag for investors.
+```python
+import sovai as sov
+df_miss_risk = sov.data("corprisk/misstatement")
+```
+<figure><img src="https://raw.githubusercontent.com/sovai-research/sovai-documentation/main/.gitbook/assets/risk_indicators_3 (2).png" alt=""><figcaption></figcaption></figure>
+### Aggregated Risks
+Accounting, Event, and Misstatement Risks combined together:
+```python
+import sovai as sov
+df_miss_risk = sov.data("corprisk/risks")
+```
+#### All Data
+```python
+import sovai as sov
+df_miss_risk = sov.data("corprisk/risks", full_history=True)
+```
+<figure><img src="https://raw.githubusercontent.com/sovai-research/sovai-documentation/main/.gitbook/assets/risk_indicators_4 (1).png" alt=""><figcaption></figcaption></figure>
+## Reports
+```python
+import sovai as sov
+sov.plot("corprisk/risks",chart_type="line")
+```
+<figure><img src="https://raw.githubusercontent.com/sovai-research/sovai-documentation/main/.gitbook/assets/risk_indicators_5 (2).png" alt=""><figcaption></figcaption></figure>
+## Data Dictionaries
+### Financial Risks
+<table><thead><tr><th width="224">Name</th><th width="304">Description</th><th width="114">Sentiment</th><th>Type</th></tr></thead><tbody><tr><td>average</td><td>The mean value of various indicators, scaled and ranked over a rolling period</td><td>Negative</td><td>float64</td></tr><tr><td>industryadjustedavg</td><td>Industry-adjusted average value</td><td>Negative</td><td>float64</td></tr><tr><td>piotroski_score</td><td>A score based on financial strength indicators from the Piotroski F-score</td><td>Positive</td><td>float64</td></tr><tr><td>altman_z_score</td><td>A score measuring a company's financial health and bankruptcy risk</td><td>Positive</td><td>float64</td></tr><tr><td>graham_number</td><td>A figure that measures a stock's fundamental value named after Benjamin Graham</td><td>Positive</td><td>float64</td></tr><tr><td>lynch_fair_value</td><td>An estimation of fair value using Peter Lynch's valuation method</td><td>Positive</td><td>float64</td></tr><tr><td>yacktman_frr</td><td>Yacktman's Forward Rate of Return, a measure of expected return</td><td>Positive</td><td>float64</td></tr><tr><td>ortiz_liquidity</td><td>A measure of asset liquidity relative to market assets</td><td>Positive</td><td>float64</td></tr><tr><td>tangibility</td><td>A ratio indicating the tangible assets held by a company</td><td>Positive</td><td>float64</td></tr><tr><td>age</td><td>The age of the company or asset in question</td><td>Positive</td><td>float64</td></tr><tr><td>oshaughnessy_1</td><td>A composite score based on value factors as per James O'Shaughnessy</td><td>Positive</td><td>float64</td></tr><tr><td>oshaughnessy_2</td><td>Another composite score following James O'Shaughnessy's methodology</td><td>Positive</td><td>float64</td></tr><tr><td>oshaughnessy_3</td><td>A third composite score by James O'Shaughnessy focusing on different factors</td><td>Negative</td><td>float64</td></tr><tr><td>beneish_m_score</td><td>A score to measure the probability of a firm manipulating its earnings</td><td>Negative</td><td>float64</td></tr><tr><td>erp5</td><td>A ranking system for stocks combining value and quality measures</td><td>Negative</td><td>float64</td></tr><tr><td>sloan_ratio</td><td>A ratio to identify earnings manipulation by comparing accruals to net income</td><td>Negative</td><td>float64</td></tr><tr><td>ohlson_score</td><td>A probability score of corporate financial distress</td><td>Negative</td><td>float64</td></tr><tr><td>dechow_equity_duration</td><td>A measure of the sustainability of a firm's earnings</td><td>Negative</td><td>float64</td></tr><tr><td>kaplan_zingales_index</td><td>An index measuring a company's financial constraints</td><td>Negative</td><td>float64</td></tr></tbody></table>
+### Financial Event Risks
+Some of these events are difficult to map to negative and positive sentiment, however, for calculating the average, we had to apply a mapping. Moreover, in the real table all values have been transformed into negative values.
+<table><thead><tr><th width="255">Name</th><th width="269">Description</th><th>Sentiment</th><th>Type</th></tr></thead><tbody><tr><td>average</td><td>The mean value of various indicators, scaled and ranked over a rolling period</td><td>Negative</td><td>float64</td></tr><tr><td>industryadjustedavg</td><td>Industry-adjusted average value</td><td>Negative</td><td>float64</td></tr><tr><td>accountantchange</td><td>Indicator for changes in accountant</td><td>Negative</td><td>float64</td></tr><tr><td>agreementtermination</td><td>Indicator for termination of agreements</td><td>Negative</td><td>float64</td></tr><tr><td>assetacquisitioncompletion</td><td>Indicator for completion of asset acquisition</td><td>Positive</td><td>float64</td></tr><tr><td>attorneynoticereceipt</td><td>Indicator for receipt of an attorney's notice</td><td>Negative</td><td>float64</td></tr><tr><td>bankruptcy</td><td>Indicator for bankruptcy occurrences</td><td>Negative</td><td>float64</td></tr><tr><td>controlchanges</td><td>Indicator for changes in control of the registrant</td><td>Negative</td><td>float64</td></tr><tr><td>creditenhancementchange</td><td>Indicator for changes in credit enhancement or external support</td><td>Negative</td><td>float64</td></tr><tr><td>definitiveagreement</td><td>Indicator for entry into a material definitive agreement</td><td>Positive</td><td>float64</td></tr><tr><td>delistingnotice</td><td>Indicator for notice of delisting or failure to satisfy listing rules</td><td>Negative</td><td>float64</td></tr><tr><td>directorofficerchanges</td><td>Indicator for departure of directors or certain officers</td><td>Negative</td><td>float64</td></tr><tr><td>distributionfailure</td><td>Indicator for failure to make a required distribution</td><td>Negative</td><td>float64</td></tr><tr><td>ethicsamendments</td><td>Indicator for amendments to the registrant's code of ethics</td><td>Positive</td><td>float64</td></tr><tr><td>exitcosts</td><td>Indicator for costs associated with exit or disposal activities</td><td>Negative</td><td>float64</td></tr><tr><td>financialexhibits</td><td>Indicator for financial statements and exhibits</td><td>Positive</td><td>float64</td></tr><tr><td>financialobligationcreation</td><td>Indicator for creation of a direct financial obligation</td><td>Negative</td><td>float64</td></tr><tr><td>impairments</td><td>Indicator for material impairments</td><td>Negative</td><td>float64</td></tr><tr><td>incorporationamendments</td><td>Indicator for amendments to articles of incorporation or bylaws</td><td>Negative</td><td>float64</td></tr><tr><td>minesafetyreports</td><td>Indicator for mine safety reporting</td><td>Negative</td><td>float64</td></tr><tr><td>nonreliancestatement</td><td>Indicator for non-reliance on previously issued financial statements</td><td>Negative</td><td>float64</td></tr><tr><td>obligationtriggerevents</td><td>Indicator for triggering events that affect financial obligations</td><td>Negative</td><td>float64</td></tr><tr><td>operationsresults</td><td>Indicator for results of operations and financial condition</td><td>Positive</td><td>float64</td></tr><tr><td>otherevents</td><td>Indicator for other events (ambiguous context)</td><td>Negative</td><td>float64</td></tr><tr><td>regfddisclosure</td><td>Indicator for regulation FD disclosure</td><td>Positive</td><td>float64</td></tr><tr><td>schedule13dfiling</td><td>Indicator for Schedule 13D filing</td><td>Negative</td><td>float64</td></tr><tr><td>schedule13gfiling</td><td>Indicator for Schedule 13G filing</td><td>Negative</td><td>float64</td></tr><tr><td>securitiesactupdate</td><td>Indicator for Securities Act updating disclosure</td><td>Positive</td><td>float64</td></tr><tr><td>securityholdermodifications</td><td>Indicator for material modifications to rights of security holders</td><td>Positive</td><td>float64</td></tr><tr><td>servicertrusteechange</td><td>Indicator for change of servicer or trustee</td><td>Negative</td><td>float64</td></tr><tr><td>shareholdernominations</td><td>Indicator for shareholder nominations pursuant to Exchange Act Rule 14a-11</td><td>Positive</td><td>float64</td></tr><tr><td>shellstatuschange</td><td>Indicator for change in shell company status</td><td>Negative</td><td>float64</td></tr><tr><td>tenderofferstatement</td><td>Indicator for tender offer statement</td><td>Negative</td><td>float64</td></tr><tr><td>tradingsuspension</td><td>Indicator for temporary suspension of trading</td><td>Negative</td><td>float64</td></tr><tr><td>unregisteredequitysales</td><td>Indicator for unregistered sales of equity securities</td><td>Negative</td><td>float64</td></tr><tr><td>votesubmission</td><td>Indicator for submission of matters to a vote of security holders</td><td>Negative</td><td>float64</td></tr><tr><td>acquisitions</td><td>Indicator for acquisitions</td><td>Positive</td><td>float64</td></tr><tr><td>mergers</td><td>Indicator for mergers</td><td>Positive</td><td>float64</td></tr><tr><td>spinoffs</td><td>Indicator for spin-offs</td><td>Positive</td><td>float64</td></tr><tr><td>split</td><td>Indicator for splits</td><td>Positive</td><td>float64</td></tr><tr><td>tickerchange</td><td>Indicator for ticker changes</td><td>Negative</td><td>float64</td></tr></tbody></table>
+### Misstatement Risks
+For the misstatements, all of the variables have been changed into negative indicators, so that when the company overreports the financial health and corrects it later on, that is a negative sign.
+<table><thead><tr><th width="231">Name</th><th>Description</th><th>Sentiment</th><th>Type</th></tr></thead><tbody><tr><td>average</td><td>Average misstatements accross all indicators</td><td>Negative</td><td>float64</td></tr><tr><td>industryadustedavg</td><td>Industry adjusted average</td><td>Negative</td><td>float64</td></tr><tr><td>misstatementper_neg</td><td>Misstatement percentage</td><td>Negative</td><td>float64</td></tr><tr><td>misstatementper_pos</td><td>Misstatement percentage</td><td>Positive</td><td>float64</td></tr><tr><td>cashneq</td><td>Cash and cash equivalents</td><td>Positive</td><td>float64</td></tr><tr><td>ppnenet</td><td>Property, plant, and equipment, net</td><td>Positive</td><td>float64</td></tr><tr><td>sbcomp</td><td>Stock-based compensation</td><td>Negative</td><td>float64</td></tr><tr><td>revenue</td><td>Total revenue</td><td>Positive</td><td>float64</td></tr><tr><td>retearn</td><td>Retained earnings</td><td>Positive</td><td>float64</td></tr><tr><td>payables</td><td>Accounts payable</td><td>Negative</td><td>float64</td></tr><tr><td>opinc</td><td>Operating income</td><td>Positive</td><td>float64</td></tr><tr><td>opex</td><td>Operating expenses</td><td>Negative</td><td>float64</td></tr><tr><td>netinc</td><td>Net income</td><td>Positive</td><td>float64</td></tr><tr><td>ncfo</td><td>Net cash flow from operating activities</td><td>Positive</td><td>float64</td></tr><tr><td>ncfi</td><td>Net cash flow from investing activities</td><td>Positive</td><td>float64</td></tr><tr><td>liabilitiesnc</td><td>Non-current liabilities</td><td>Negative</td><td>float64</td></tr><tr><td>liabilitiesc</td><td>Current liabilities</td><td>Negative</td><td>float64</td></tr><tr><td>intexp</td><td>Interest expense</td><td>Negative</td><td>float64</td></tr><tr><td>intangibles</td><td>Intangible assets</td><td>Positive</td><td>float64</td></tr><tr><td>fcf</td><td>Free cash flow</td><td>Positive</td><td>float64</td></tr><tr><td>ebitda</td><td>Earnings before interest, taxes, depreciation, and amortization</td><td>Positive</td><td>float64</td></tr><tr><td>depamor</td><td>Depreciation and amortization</td><td>Negative</td><td>float64</td></tr><tr><td>deferredrev</td><td>Deferred revenue</td><td>Negative</td><td>float64</td></tr><tr><td>assetsnc</td><td>Non-current assets</td><td>Positive</td><td>float64</td></tr><tr><td>assetsc</td><td>Current assets</td><td>Positive</td><td>float64</td></tr></tbody></table>
+### Aggregated Risks
+<table><thead><tr><th width="241">Name</th><th width="313">Description</th><th>Type</th></tr></thead><tbody><tr><td>ticker</td><td>Stock ticker symbol identifying the company</td><td>string</td></tr><tr><td>date</td><td>Date of the record</td><td>date</td></tr><tr><td>accounting</td><td>Score or value derived from accounting data</td><td>float64</td></tr><tr><td>accounting_ind_adjs</td><td>Adjusted score or value for accounting data based on industry standards</td><td>float64</td></tr><tr><td>misstatement</td><td>Score or value indicating the likelihood or extent of financial misstatements</td><td>float64</td></tr><tr><td>misstatement_ind_adjs</td><td>Adjusted score or value for misstatement data based on industry standards</td><td>float64</td></tr><tr><td>events</td><td>Score or value related to specific corporate events</td><td>float64</td></tr><tr><td>events_ind_adjs</td><td>Adjusted score or value for event data based on industry standards</td><td>float64</td></tr><tr><td>risk</td><td>Score or value indicating the level of total financial risk</td><td>float64</td></tr><tr><td>risk_ind_adjs</td><td>Adjusted score based on industry averages</td><td>float64</td></tr></tbody></table>
+## Use Cases
+Understanding these tables is essential for investors:
+* **Risk Assessment**: By analyzing the Misstatement and its industry-adjusted tables, investors can gauge the risk associated with a company's financial reporting.
+* **Comparative Analysis**: The industry-adjusted tables enable investors to compare companies within the same sector on a like-for-like basis, making the analysis more relevant and accurate.
+* **Informed Decision-Making**: Comprehensive data covering raw financials and industry-adjusted scores empowers investors to make well-informed investment decisions.
+***

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