sovai/risk_indicators

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 to subscribe. For market insights and additional subscription options, check out our newsletter at blog.sov.ai.

from datasets import load_dataset
df_risks = load_dataset("sovai/risk_indicators", 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 — Corporate Risk Indicators Tutorial

Category	Details
Input Datasets	SEC Filings, EDGAR API, Exchange Data.
Models Used	Transformations, Simple Maths
Model Outputs	Standardized Ratios

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.

import sovai as sov
df_actg_risk = sov.data("corprisk/accounting")

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.

import sovai as sov
df_events_risk = sov.data("corprisk/events")

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.

import sovai as sov
df_miss_risk = sov.data("corprisk/misstatement")

Aggregated Risks

Accounting, Event, and Misstatement Risks combined together:

import sovai as sov
df_miss_risk = sov.data("corprisk/risks")

All Data

import sovai as sov
df_miss_risk = sov.data("corprisk/risks", full_history=True)

Reports

import sovai as sov
sov.plot("corprisk/risks",chart_type="line")

Data Dictionaries

Financial Risks

Name	Description	Sentiment	Type
average	The mean value of various indicators, scaled and ranked over a rolling period	Negative	float64
industryadjustedavg	Industry-adjusted average value	Negative	float64
piotroski_score	A score based on financial strength indicators from the Piotroski F-score	Positive	float64
altman_z_score	A score measuring a company's financial health and bankruptcy risk	Positive	float64
graham_number	A figure that measures a stock's fundamental value named after Benjamin Graham	Positive	float64
lynch_fair_value	An estimation of fair value using Peter Lynch's valuation method	Positive	float64
yacktman_frr	Yacktman's Forward Rate of Return, a measure of expected return	Positive	float64
ortiz_liquidity	A measure of asset liquidity relative to market assets	Positive	float64
tangibility	A ratio indicating the tangible assets held by a company	Positive	float64
age	The age of the company or asset in question	Positive	float64
oshaughnessy_1	A composite score based on value factors as per James O'Shaughnessy	Positive	float64
oshaughnessy_2	Another composite score following James O'Shaughnessy's methodology	Positive	float64
oshaughnessy_3	A third composite score by James O'Shaughnessy focusing on different factors	Negative	float64
beneish_m_score	A score to measure the probability of a firm manipulating its earnings	Negative	float64
erp5	A ranking system for stocks combining value and quality measures	Negative	float64
sloan_ratio	A ratio to identify earnings manipulation by comparing accruals to net income	Negative	float64
ohlson_score	A probability score of corporate financial distress	Negative	float64
dechow_equity_duration	A measure of the sustainability of a firm's earnings	Negative	float64
kaplan_zingales_index	An index measuring a company's financial constraints	Negative	float64

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.

Name	Description	Sentiment	Type
average	The mean value of various indicators, scaled and ranked over a rolling period	Negative	float64
industryadjustedavg	Industry-adjusted average value	Negative	float64
accountantchange	Indicator for changes in accountant	Negative	float64
agreementtermination	Indicator for termination of agreements	Negative	float64
assetacquisitioncompletion	Indicator for completion of asset acquisition	Positive	float64
attorneynoticereceipt	Indicator for receipt of an attorney's notice	Negative	float64
bankruptcy	Indicator for bankruptcy occurrences	Negative	float64
controlchanges	Indicator for changes in control of the registrant	Negative	float64
creditenhancementchange	Indicator for changes in credit enhancement or external support	Negative	float64
definitiveagreement	Indicator for entry into a material definitive agreement	Positive	float64
delistingnotice	Indicator for notice of delisting or failure to satisfy listing rules	Negative	float64
directorofficerchanges	Indicator for departure of directors or certain officers	Negative	float64
distributionfailure	Indicator for failure to make a required distribution	Negative	float64
ethicsamendments	Indicator for amendments to the registrant's code of ethics	Positive	float64
exitcosts	Indicator for costs associated with exit or disposal activities	Negative	float64
financialexhibits	Indicator for financial statements and exhibits	Positive	float64
financialobligationcreation	Indicator for creation of a direct financial obligation	Negative	float64
impairments	Indicator for material impairments	Negative	float64
incorporationamendments	Indicator for amendments to articles of incorporation or bylaws	Negative	float64
minesafetyreports	Indicator for mine safety reporting	Negative	float64
nonreliancestatement	Indicator for non-reliance on previously issued financial statements	Negative	float64
obligationtriggerevents	Indicator for triggering events that affect financial obligations	Negative	float64
operationsresults	Indicator for results of operations and financial condition	Positive	float64
otherevents	Indicator for other events (ambiguous context)	Negative	float64
regfddisclosure	Indicator for regulation FD disclosure	Positive	float64
schedule13dfiling	Indicator for Schedule 13D filing	Negative	float64
schedule13gfiling	Indicator for Schedule 13G filing	Negative	float64
securitiesactupdate	Indicator for Securities Act updating disclosure	Positive	float64
securityholdermodifications	Indicator for material modifications to rights of security holders	Positive	float64
servicertrusteechange	Indicator for change of servicer or trustee	Negative	float64
shareholdernominations	Indicator for shareholder nominations pursuant to Exchange Act Rule 14a-11	Positive	float64
shellstatuschange	Indicator for change in shell company status	Negative	float64
tenderofferstatement	Indicator for tender offer statement	Negative	float64
tradingsuspension	Indicator for temporary suspension of trading	Negative	float64
unregisteredequitysales	Indicator for unregistered sales of equity securities	Negative	float64
votesubmission	Indicator for submission of matters to a vote of security holders	Negative	float64
acquisitions	Indicator for acquisitions	Positive	float64
mergers	Indicator for mergers	Positive	float64
spinoffs	Indicator for spin-offs	Positive	float64
split	Indicator for splits	Positive	float64
tickerchange	Indicator for ticker changes	Negative	float64

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.

Name	Description	Sentiment	Type
average	Average misstatements accross all indicators	Negative	float64
industryadustedavg	Industry adjusted average	Negative	float64
misstatementper_neg	Misstatement percentage	Negative	float64
misstatementper_pos	Misstatement percentage	Positive	float64
cashneq	Cash and cash equivalents	Positive	float64
ppnenet	Property, plant, and equipment, net	Positive	float64
sbcomp	Stock-based compensation	Negative	float64
revenue	Total revenue	Positive	float64
retearn	Retained earnings	Positive	float64
payables	Accounts payable	Negative	float64
opinc	Operating income	Positive	float64
opex	Operating expenses	Negative	float64
netinc	Net income	Positive	float64
ncfo	Net cash flow from operating activities	Positive	float64
ncfi	Net cash flow from investing activities	Positive	float64
liabilitiesnc	Non-current liabilities	Negative	float64
liabilitiesc	Current liabilities	Negative	float64
intexp	Interest expense	Negative	float64
intangibles	Intangible assets	Positive	float64
fcf	Free cash flow	Positive	float64
ebitda	Earnings before interest, taxes, depreciation, and amortization	Positive	float64
depamor	Depreciation and amortization	Negative	float64
deferredrev	Deferred revenue	Negative	float64
assetsnc	Non-current assets	Positive	float64
assetsc	Current assets	Positive	float64

Aggregated Risks

Name	Description	Type
ticker	Stock ticker symbol identifying the company	string
date	Date of the record	date
accounting	Score or value derived from accounting data	float64
accounting_ind_adjs	Adjusted score or value for accounting data based on industry standards	float64
misstatement	Score or value indicating the likelihood or extent of financial misstatements	float64
misstatement_ind_adjs	Adjusted score or value for misstatement data based on industry standards	float64
events	Score or value related to specific corporate events	float64
events_ind_adjs	Adjusted score or value for event data based on industry standards	float64
risk	Score or value indicating the level of total financial risk	float64
risk_ind_adjs	Adjusted score based on industry averages	float64

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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