competitor bad news relative long
What it checks
When a competitor blows up (bankruptcy, delisting, auditor disagreement), we go LONG the survivors because they pick up the market share.
Mechanism
In concentrated industries, severe bankruptcy / restatement events on one firm produce a *competitive* effect for surviving peers (share reallocation). Net +0.5% to +1.5% CAR over 5-20d.
Signal rule
Severe 8-K (1.03/3.01/4.01/4.02) on TNIC peer -> LONG focal T+1, hold 5/10/20d.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
tnic_peersHoberg-Phillips text-based industry classification peer lists (annual).
sec_8k_eventsItem-coded 8-K events (1.01 material agreements, 4.02 non-reliance, etc.).
Expected edge
- Paper alpha
- +0.5% to +1.5% CAR
- Paper window
- 1980s sample (Lang-Stulz)
+0.5% to +1.5% CAR over 5-20d (Lang-Stulz 1992).
Related families
tnic peer event contagionEntity-Graph / EventWhen a TNIC text-similar peer files a negative 8-K (bankruptcy, restatement, delisting, auditor change, material impairment), the focal ticker drifts negatively over 5-21 days. Salience under-reaction to shared product-market risk.
tnic momentum spilloverMomentumLee, Sun, Wang & Zhang (2023) RFS "Technology Spillovers and Cross-Predictability": the lagged 1-month return of a focal stock's TNIC-3 peer basket predicts the focal's next-month return. Sharpe 1.3, +9% annualised alpha after Fama-French 5. The signal is orthogonal to industry/sector momentum because TNIC peers cross industry boundaries (text-similarity, not SIC-similarity).
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