I found that the 1-day forward return of the delisted stock is 0.
For example, Let's say Stock A was delisted at "2020-1-2"
- Date: 2020-1-1, Ticker: A, Factor A : 0.5, 1D-Forward return: 0.0
But, I think 1d-forward return should be -1.0 (-100%)
Is it better for alpha factor research?
What am I missing here?
Thanks in advance :)
Throughout Quantopian, and backtests especially, if a stock is delisted the portfolio is credited with cash equal to the last trade price. This is what would most often actually experience in a real brokerage account. There are of course many reasons why a stock can be 'delisted', but most typical is the result of some corporate action such as a merger, acquisition, spin-off, share re-classification, or purchase to go private. These actions would generally exchange dollar for dollar the old asset with some new one. Even in the case of a company being removed from an exchange involuntarily for not meeting requirements, the value doesn't go to zero. These actions are typically already 'priced into' the share cost by the time the stock is physically de-listed. The value is very close to the last trade price.
So, the 1 day return on a delisted stock would generally be 0% and not -100%.
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In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.
