Peer Price Shock Propagation
In plain terms
When a close TNIC competitor has a large price move, the focal stock tends to follow in the same direction over the next 1-5 days as the market slow-processes the related news.
How it works
Large price shocks at TNIC-peer companies propagate to the focal ticker with a 1-5 day lag. The market underreacts to economically linked news; the focal company's price subsequently adjusts in the direction of the peer shock. Similarity-weighted peer-shock magnitude is the signal.
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Tnic peers
Hoberg-Phillips text-based industry classification peer lists (annual).
Expected edge
- Reported return
- ~1.5% 5-day abnormal return
- Tested over
- 1980-2005 (Cohen-Frazzini)
Peer-price shock propagation: ~1.5% 5-day return in high-similarity peer pairs.
Related families
When a TNIC competitor beats (or misses) earnings, the focal stock tends to drift in the same direction before its own announcement.
When a TNIC competitor wins or loses a large government contract, the focal stock drifts in the same direction as the market recalibrates vendor revenue exposure.
Explore Peer Price Shock Propagation on alphactor.ai
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