Accounting / Governance#209tier 1experimentalNew

`auditor change drift short`

cadence: Dailydata: mediumshort only

paper

2016

Source

#208 auditor_change_drift_short — Bills, Cunningham, Myers 2016 (JAR) — Auditor Changes and Audit Quality.

Citation only — paper link pending.

What it checks

Companies that change auditors underperform by ~9% over the next year. Short the day after the 8-K Item 4.01 lands.

Mechanism

An 8-K Item 4.01 filing (Changes in Registrant's Certifying Accountant) predicts ~9% underperformance over the subsequent 12 months. The signal subsumes audit disagreement, fee pressure, fragmenting governance, and (worst-case) management losing confidence in the prior auditor. The new SEC 8-K item-level parser writes item_4_01_excerpt + new_auditor_name + old_auditor_name so the family can gate on whether the change is interpretable.

No production champion data for this family yet. Stats appear once the discovery pipeline promotes at least one strategy with this family tag, or once a multi-family blend that includes it earns a champion slot.

Signal rule

Short T+1 after an 8-K Item 4.01 filing with a parsed item_4_01_excerpt. Hold 60 / 126 / 252 trading days (3m / 6m / 12m).

Data dependencies

daily_prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
sec_8k_events
Item-coded 8-K events (1.01 material agreements, 4.02 non-reliance, etc.).

Expected edge

Paper alpha: ~9% over 12 months
Paper window: T+1 to T+252d

~9% underperformance over 12 months (Bills-Cunningham-Myers 2016 JAR).

Related families

item 402 non relianceEvent

8-K Item 4.02 = "Non-Reliance on Previously Issued Financial Statements" — a restatement is coming. Hennes et al: -8% to -15% in 3-day window, drift continues 60-90d. Sparse but exceptionally clean.

sec comment letter driftFilings

Receiving an UPLOAD/CORRESP comment letter predicts ~2-4% negative drift over 12m.

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auditor change drift short