Company Events & EarningsExtended setexperimental liveNew
Nhtsa Recall Drift Short
Updated event-triggeredData needs: lowshort only
paper
1985
Source
Jarrell-Peltzman 1985 JPE / Liu-Liu-Luo 2016 J. Marketing.
Read the paper →
In plain terms
When NHTSA announces a vehicle recall, we short the manufacturer for the next 1-3 months, weighting by recall size.
How it works
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.
No live results for this strategy yet. Charts appear once it has earned a top spot on at least one stock, either on its own or as part of a blend of several strategies.
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Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- NHTSA vehicle recalls
NHTSA vehicle recall campaign data mapped to auto manufacturers.
Expected edge
- Reported return
- -4% CAR over 30d, severity-weighted
- Tested over
- 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
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