recall severity premium
What it checks
When a carmaker has a recall involving death or injury, we short more aggressively than for routine recalls.
Mechanism
Top-severity-tier recalls (death/injury language) produce ~2-3x the absolute return effect of routine product-quality recalls; effect concentrated in the upper quartile.
Signal rule
Severity-weighted (3x death, 2x injury, 1x baseline) recall units rolling 7d z >= +2 -> SHORT auto sponsor T+1; hold 10/20 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
- 2-3x routine recall
- Paper window
- T+1 to T+20d
Hendricks-Singhal 2003: 2-3x routine recall effect on top-quartile severity.
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 first of model yearConsumer / autosFirst safety incident on a newly-introduced model reveals previously-unknown design risk; ~2x the negative drift of recalls on mature models.
Explore recall severity premium on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.