Event-Driven#416tier 2experimental liveNew

`late filing drift short`

cadence: Event-triggereddata: lowshort only

2017

Bartov-Konchitchki 2017 The Accounting Review.

What it checks

When a company files Form NT (saying they need more time on their 10-K/10-Q), we short the stock for the next 3-9 months because late filers underperform by ~10%.

Mechanism

Form NT (notification of inability to file) signals undisclosed bad news, control weaknesses, or auditor disagreement. The market underreacts; 12-month CARs of -8% to -12% follow. Drift concentrates in months 1-6 post-filing.

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

NT 10-K / NT 10-Q for ticker -> SHORT T+1, hold 63/126/189d.

Data dependencies

daily_prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
sec_form_nt_filings
Worker data table, see services/worker schema.

Expected edge

Paper alpha: 12m CAR -8% to -12%
Paper Sharpe: ~0.6-0.8
Paper window: 1995-2014 (Bartov-Konchitchki)

12m CAR -8% to -12% (Bartov-Konchitchki 2017); long-short Sharpe ~0.6-0.8 in follow-ups.

Example tickers where this is likely to fire

XWEL NGTF KARX

Illustrative only, the signal fires based on the live data, not a fixed list.

Related families

lazy prices shortEvent-Driven

Firms rewriting 10-K sections year-on-year signal regime change. Cohen et al. find shorting 'changers' yields up to 188bps/month — the asymmetry is strong: most alpha lives in the SHORT leg. Adds section-resolved diff (Item 1A risk-factors, Item 7 MD&A) over whole-document cosine.

mdna tone deltaText & Filings

Loughran-McDonald 2011 JF demonstrate the *tone* of 10-K filings — positive vs negative finance-specific lexicon — predicts forward returns. Distinct from filing_text_delta's *uncertainty* lexicon. Effect: bottom-decile tone-delta underperforms top-decile by ~2-3% over 4 weeks, persisting ~12 weeks. Today consumes the cached Item 1 (Business) text; switches to Item 7 (MD&A) when the EDGAR pipeline emits it (tracked in docs/alpha-research/proposals/).

auditor change drift shortQuality

An 8-K Item 4.01 filing (Changes in Registrant's Certifying Accountant) predicts ~9% underperformance over the subsequent 12 months. The signal subsumes audit disagreement, fee pressure, fragmenting governance, and (worst-case) management losing confidence in the prior auditor. The new SEC 8-K item-level parser writes item_4_01_excerpt + new_auditor_name + old_auditor_name so the family can gate on whether the change is interpretable.

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late filing drift short