Event / Litigation#448tier 3experimental liveNew

`litigation shock short`

cadence: Event-triggereddata: mediumshort only

2018

Bhattacharya-Galpin-Ray-Yu 2018 + earlier securities-class-action event studies.

What it checks

When a federal lawsuit naming a public company is filed in the categories that historically hurt the most (securities fraud, patent, antitrust), we go short for 1-6 months.

Mechanism

Federal court filings in nature_of_suit 850 (Securities), 830 (Patent), or 410 (Antitrust) naming a public company as a party predict -2% to -6% drift over 1-3 months. CourtListener RECAP free webhooks fire within minutes of new federal filings.

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.

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Signal rule

PACER docket filed against ticker with NOS in {850, 830, 410} -> short hold 21/63/126d, targeted.

Data dependencies

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

Expected edge

Paper alpha: 2-6%/yr
Paper window: 2010-present (RECAP coverage)

2-6%/yr post-filing drift (Bhattacharya-Galpin-Ray-Yu 2018).

Related families

sec comment letter driftText & Filings

Receiving an UPLOAD/CORRESP comment letter predicts ~2-4% negative drift over 12m.

patent litigation loss driftEvent-Driven

Defendant-win → bullish drift (overhang lifts); plaintiff-win → bearish drift for defendant.

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litigation shock short