customer concentration event spillover
What it checks
When our biggest customer (proxied as TNIC peer) has a huge price move, ours follows over 1-3 weeks. Long/short directional.
Mechanism
Concentrated customer (>10% revenue) 1-day return shocks signal demand-side conditions the supplier under-reacts to over 5-21 days.
Signal rule
Top-1 TNIC peer (customer proxy) one-day return >= +/-5% or +/-8% -> directional focal T+1, hold 5/10/21d.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
tnic_peersHoberg-Phillips text-based industry classification peer lists (annual).
Expected edge
- Paper alpha
- 113 bps/mo (peer return basket)
- Paper window
- 1980-2005 (Cohen-Frazzini)
Event-window analog of Cohen-Frazzini 113 bps/mo.
Related families
customer momentumAlt-DataWhen a firm's major customer has a return shock, the supplier's stock drifts in the same direction over the following month โ investors fail to update on the link. 113bps/month alpha.
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.
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