Event#46tier 1live in production

`lazy prices`

cadence: Quarterlydata: mediumlong only

Mechanism

Stocks whose 10-K (or 10-Q) text barely changes year-over-year OUTPERFORM those with big language shifts. The intuition: boring filings ≈ stable business ≈ slow-and-steady cash flow. Big text changes signal management hiding bad news with new

Signal rule

cosine_sim(10K_t, 10K_t-1) >= 0.85 → long; large drop → short

Data dependencies

sec_filing_similarity
Document-cosine similarity between successive 10-K / 10-Q filings.
sec_filings_text
10-K / 10-Q / 8-K cleaned text + section maps.

Expected edge

~22% ann. long-short in Cohen-Malloy-Nguyen 2020; ~0.4 Sharpe in 2020-2024 OOS

Illustrative pattern only

NOT a backtest

Illustrative pattern only — see /app for live backtests and the actual current equity curve.

Example tickers where this is likely to fire

BRK.B JNJ PG KO

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

Related families

transcript tone driftText-NLP

Loughran-McDonald 2011, Price et al. 2012: changes in management's linguistic tone on earnings calls predict near-term price drift. We compute a per-call LM tone = (positive - negative) / (positive + negative) on the FULL transcript, then signal on the quarter-over-quarter

transcript obfuscation bloomfieldText-NLP

Bloomfield (2002) Incomplete Revelation Hypothesis: managers obfuscate bad news through reduced readability. Bochkay-Chychyla-Nanda (2020) *JAR* formalized the test on conference calls: the Gunning Fog Index Q/Q delta predicts 12-month negative drift on the readability-decay decile (~4% underperformance

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lazy prices