item 5 02 management change drift
What it checks
When an 8-K announces a director or officer change (Item 5.02), the market typically rerates the firm over the next 1-6 months. Long for 30 to 180 days.
Mechanism
8-K Item 5.02 (Departure/Appointment of Directors or Officers) flags a management change. Forced CEO/CFO turnover (post-underperformance) is followed by positive multi-quarter drift as the market re-rates the firm under new leadership. Routine retirements are noise; the harness sorts the two with MC permutation + cost stress.
Signal rule
Any 8-K Item 5.02 filing on T+1 fires LONG, hold 30/60/90/180d.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
sec_8k_eventsItem-coded 8-K events (1.01 material agreements, 4.02 non-reliance, etc.).
Expected edge
- Paper alpha
- +5 to +8% over 6-12mo
- Paper window
- T+1 to T+180d
Huson-Parrino-Starks 2001; +5 to +8% over 6-12mo on forced turnover subset.
Related families
item 5 01 change of control driftText & Filings8-K Item 5.01 (Change in Control of Registrant) is a discrete, rare governance event. Target firms exhibit positive post-announcement drift as the deal terms become clearer to the market. Distinct from m_and_a_arb (which targets the spread on announced deals): this catches the moment-of-filing event window.
item 5 03 governance change shortText & Filings8-K Item 5.03 (Amendments to Articles or Bylaws; Change in Fiscal Year) often coincides with entrenchment moves: anti-takeover provisions, board-size changes, supermajority-vote requirements. Structural governance changes (distinct from Item 5.02 officer departures) correlate with subsequent underperformance.
item 502 executive departureEvent-Driven8-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%).
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