item 502 executive departure
What it checks
When a public company files an 8-K saying an executive is leaving, the stock typically drops 3% within 60 days.
Mechanism
8-K Item 5.02 (Departure/Appointment of Officers). Fee et al find ~-3% abnormal return on the 8-K filing window, holding through 60d. Forced departures stronger (-5% to -15%).
Signal rule
short on Item 5.02 filing date; hold 20/60/90 days
Data dependencies
sec_8k_eventsItem-coded 8-K events (1.01 material agreements, 4.02 non-reliance, etc.).
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Paper alpha
- ~-3% CAR over 60d
- Paper window
- T+0 to T+60d
Fee-Hadlock-Pierce 2015: ~-3% CAR baseline, -5% to -15% on forced subset over 30-60d.
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
item 402 non relianceEvent8-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.
event awareEventThis generator pairs a base trend signal with an earnings-blackout filter: no entries within ±N bars of an earnings announcement, where IV/realized mismatch typically washes out edge. Base signal is a simple 200-day moving-average trend, gated off during earnings-blackout windows of 3 or 7 trading days on either side of the announcement.
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