nhtsa recall drift short
What it checks
When NHTSA announces a vehicle recall, we short the manufacturer for the next 1-3 months, weighting by recall size.
Mechanism
Product-recall events deliver announcement-day CARs of -1.4% to -3.4% with cumulative drift to -6% over 20 trading days. Severity-weighted recalls extend the negative drift to -4% CAR over 30 days. NHTSA ticker_link is pre-mapped during ingest.
Signal rule
NHTSA recall event for ticker -> SHORT T+1 weighted by log(1 + potential_units), hold 21/60/90d.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
nhtsa_vehicle_recallsNHTSA vehicle recall campaign data mapped to auto manufacturers.
Expected edge
- Paper alpha
- -4% CAR over 30d, severity-weighted
- Paper window
- 1967-1981 (Jarrell-Peltzman), 2004-2014 (Liu-Liu-Luo)
-4% CAR over 30d (Liu-Liu-Luo 2016, severity-weighted).
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
auto recall drift shortEvent-DrivenNHTSA recall clusters create warranty-cost, brand, and regulatory overhang for auto manufacturers. A high z-score in affected units triggers a short signal.
product review velocityAlt-DataAmazon review-count 7d acceleration z > +1 โ consumer-discretionary outperformance via revenue-surprise channel.
Explore nhtsa recall drift short on alphactor.ai
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