Text & Filings#390tier 2experimental liveNew

`item 2 03 debt obligation short`

cadence: Eventdata: lowshort only

1999

Spiess, D. K., Affleck-Graves, J. (1999). "The Long-Run Performance of Stock Returns Following Debt Offerings." Journal of Financial Economics 54(1), 45-73.

Read the paper →

What it checks

Companies that issue new debt (Item 2.03) tend to underperform for 6-12 months. Managers often issue debt when their equity is overvalued or balance-sheet pressure is rising.

Mechanism

8-K Item 2.03 (Creation of a Direct Financial Obligation) discloses new debt issuance. Spiess-Affleck-Graves 1999 document negative long-run drift after debt offerings (consistent with capital-structure timing where managers issue debt when overvalued or facing constraints). Short the post-filing window for 60-180 days.

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

Any 8-K Item 2.03 filing on T+1 fires SHORT, hold 60/90/180d.

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: -3 to -7% over 6-12mo
Paper window: T+1 to T+180d

Spiess-Affleck-Graves 1999; -3 to -7% over 6-12mo on new-debt issuance.

Related families

item 3 02 unregistered equity shortText & Filings

8-K Item 3.02 (Unregistered Sales of Equity Securities) reveals a PIPE or unregistered share issuance, typically at a discount. Hertzel-Smith 1993 documents negative long-run drift after PIPEs (signaling weak balance-sheet conditions and dilution). Short the post-filing window for 60-180 days.

item 1 02 termination material agreement shortText & Filings

8-K Item 1.02 (Termination of a Material Definitive Agreement) flags the loss of a material supply, distribution, license, or partnership contract. McConnell-Servaes 1990 and the broader event-study literature show negative drift on growth-option destruction.

item 4 02 restatement shortText & Filings

8-K Item 4.02 (Non-Reliance on Previously Issued Financial Statements) is by SEC rule one of the strongest negative-information disclosures — management has concluded prior financials cannot be relied upon. Documented -8% event-day return and -12% drift over 6 months.

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item 2 03 debt obligation short