recall first of model year
What it checks
When a carmaker's brand-new model year has its first recall, we short more aggressively - the market reads it as a real design flaw.
Mechanism
First safety incident on a newly-introduced model reveals previously-unknown design risk; ~2x the negative drift of recalls on mature models.
Signal rule
First-ever NHTSA recall on a (model, model_year) combination -> SHORT auto sponsor T+1; hold 10/20/40 trading days.
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
- ~2x routine recall
- Paper window
- T+1 to T+40d
Borenstein-Zimmerman 1988: ~2x routine recall effect on new-model first recalls.
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 shortConsumer / autosNHTSA recall clusters create warranty-cost, brand, and regulatory overhang for auto manufacturers. A high z-score in affected units triggers a short signal.
recall severity premiumConsumer / autosTop-severity-tier recalls (death/injury language) produce ~2-3x the absolute return effect of routine product-quality recalls; effect concentrated in the upper quartile.
Explore recall first of model year on alphactor.ai
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