layoff wave short
What it checks
When a public company announces a large layoff, we short it after the announcement and hold for a few weeks.
Mechanism
Large announced layoffs proxy demand stress, margin pressure, or post-hype cost cutting. The first-pass signal shorts unusually large layoff events after a T+1 lag.
Signal rule
Layoff event percentage >= 5% or employees affected >= 1000 -> SHORT issuer; hold 10/20/60 trading days.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
layoffs_fyi_eventsPublic layoffs.fyi layoff announcements with company-to-ticker resolution.
Expected edge
- Paper alpha
- untested - internal
- Paper window
- T+1 to T+60d
Untested internal alt-data family; event drift target 50-200 bps over 10-60d.
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
mdna tone deltaFilingsLoughran-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/).
item 502 executive departureEvent8-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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