Event#161tier 1live in productionNew
seo underperformance
cadence: Dailydata: mediumshort only
paper
1995
Source
Loughran, T., Ritter, J. R. (1995). "The New Issues Puzzle." Journal of Finance, 50(1), 23-51 (SEO leg).
Read the paper →
What it checks
Follow-on stock offerings → 3y underperformance.
Mechanism
SEO issuers underperform ~7-8%/yr over 5y.
No production champion data for this family yet. Stats appear once the discovery pipeline promotes at least one strategy with this family tag.
Signal rule
short between months 6-36 post-424B filing; hold 90/180/365d
Data dependencies
sec_seo_filingsWorker data table — see services/worker schema.
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
- Paper alpha
- -7 to -8%/yr
- Paper window
- T+6m to T+36m
-7 to -8%/yr over 36m.
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
ipo underpricing driftEventIPO firms underperform by ~7%/yr over 5y; 12-36m band is where it accumulates.
secondary offering dilutionEventShelf takedowns (424B5) → -2 to -4% on announcement; continuation 30d.
private placement driftEventPIPEs go to firms that can't tap public markets → 3y -23% mean abnormal return.
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