post earnings layoff timing
What it checks
Miss earnings + announce layoff within two weeks = short for a month, then long for 2-3 months on the cost-cut rebound.
Mechanism
Two-stage drift: a miss (surprise_pct<0) followed by a layoff within 14d signals confirmed demand stress. Bernard-Thomas drift continues the underperformance 30d; post-cost-cut margin rebound mean-reverts long 60-90d later.
Signal rule
earnings miss followed by layoff within 14d → SHORT on T+1 for 20-30d; then LONG starting +30d for 60-90d.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
earnings_historyWorker data table — see services/worker schema.
layoffs_fyi_eventsPublic layoffs.fyi layoff announcements with company-to-ticker resolution.
Expected edge
- Paper alpha
- 75-250 bps
- Paper window
- T+1 to T+120d
75-250 bps net of round-trip costs.
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
layoff wave shortLabor / corporate eventsLarge announced layoffs proxy demand stress, margin pressure, or post-hype cost cutting. The first-pass signal shorts unusually large layoff events after a T+1 lag.
peadEventPost-Earnings Announcement Drift (Bernard-Thomas 1989): buy after an earnings surprise greater than 1σ, hold 30-60 days. Surprise is computed as (actual − consensus) / |consensus|, with σ taken from a trailing expanding window so prior thresholds don't leak future variance.
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