sec 8k disclosure velocity
What it checks
When a company starts filing many more 8-Ks than usual, it's often because something bad is being staged — short the stock through the disclosure storm.
Mechanism
Acceleration in 8-K filing frequency (per-90d count z-score vs trailing-2y own history) is an information-environment shock. Firms accelerate disclosures around adverse events (restatements, departures, litigation, Reg FD violations); tail-z velocity predicts both elevated realized vol and a negative drift over 1-2 quarters.
Signal rule
rolling-90d 8-K count z>=1.5 (or 2.0) vs 2y own-history baseline -> SHORT on T+1 of rising edge, hold 30/60/90d.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
sec_8k_eventsItem-coded 8-K events (1.01 material agreements, 4.02 non-reliance, etc.).
Expected edge
- Paper alpha
- -1-3% over 60d (velocity tail)
- Paper window
- T+1 to T+90d
Bushee-Matsumoto-Miller 2003 + Cohen-Lou-Malloy 2013; internal target -1-3% over 60d on velocity tail.
Related families
lazy pricesEventStocks whose 10-K (or 10-Q) text barely changes year-over-year OUTPERFORM those with big language shifts. The intuition: boring filings ≈ stable business ≈ slow-and-steady cash flow. Big text changes signal management hiding bad news with new boilerplate. Effect size: ~0.4 Sharpe alone, still replicating in 2020-2024. Long when the most recent 10-K's cosine similarity to prior year is in the top quartile (≥ 0.85); hold ~12 months until the next filing.
auditor change drift shortAccounting / GovernanceAn 8-K Item 4.01 filing (Changes in Registrant's Certifying Accountant) predicts ~9% underperformance over the subsequent 12 months. The signal subsumes audit disagreement, fee pressure, fragmenting governance, and (worst-case) management losing confidence in the prior auditor. The new SEC 8-K item-level parser writes item_4_01_excerpt + new_auditor_name + old_auditor_name so the family can gate on whether the change is interpretable.
filing text deltaText-NLPYear-over-year change in uncertainty/risk language in 10-K Item 1 ('Business' section). Spike in 'may', 'could', 'uncertain', 'challenging', 'risk' tokens per 10K words → management is privately more cautious → forward earnings miss / underperformance. Stable or decreasing language → quietly confident outlook → outperform.
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