Entity-Graph / Event#422tier 2experimental liveNew

`tnic peer event contagion`

cadence: Event-triggereddata: mediumshort only

2008

Cohen-Frazzini 2008 JF (event-window).

What it checks

When a stock similar to ours files an awful 8-K, ours often drifts down too over the next 1-3 weeks. We short alongside.

Mechanism

When a TNIC text-similar peer files a negative 8-K (bankruptcy, restatement, delisting, auditor change, material impairment), the focal ticker drifts negatively over 5-21 days. Salience under-reaction to shared product-market risk.

No production champion data for this family yet. Stats appear once the discovery pipeline promotes at least one strategy with this family tag, or once a multi-family blend that includes it earns a champion slot.

Signal rule

Negative 8-K item code (1.02/1.03/2.04/2.05/2.06/3.01/4.01/4.02) on TNIC peer -> SHORT focal T+1, hold 5/10/21d.

Data dependencies

daily_prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
tnic_peers
Hoberg-Phillips text-based industry classification peer lists (annual).
sec_8k_events
Item-coded 8-K events (1.01 material agreements, 4.02 non-reliance, etc.).

Expected edge

Paper alpha: 113 bps/mo (peer return basket)
Paper window: 1980-2005 (Cohen-Frazzini)

Event analog of Cohen-Frazzini 113 bps/mo customer-supplier alpha.

Related families

tnic momentum spilloverMomentum

Lee, Sun, Wang & Zhang (2023) RFS "Technology Spillovers and Cross-Predictability": the lagged 1-month return of a focal stock's TNIC-3 peer basket predicts the focal's next-month return. Sharpe 1.3, +9% annualised alpha after Fama-French 5. The signal is orthogonal to industry/sector momentum because TNIC peers cross industry boundaries (text-similarity, not SIC-similarity).

customer momentumAlt-Data

When a firm's major customer has a return shock, the supplier's stock drifts in the same direction over the following month — investors fail to update on the link. 113bps/month alpha.

competitor bad news relative longEntity-Graph / Event

In concentrated industries, severe bankruptcy / restatement events on one firm produce a *competitive* effect for surviving peers (share reallocation). Net +0.5% to +1.5% CAR over 5-20d.

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tnic peer event contagion