Company Events & EarningsExtended setexperimental liveNew

TNIC Peer Event Contagion

Updated event-triggeredData needs: mediumshort only

2008

Cohen-Frazzini 2008 JF (event-window).

In plain terms

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.

How it works

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.

Live results

30 times picked on its own · 49 times inside a blend (48 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 49 such blended picks (48 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

Loading substrate evidence…

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

Reported return: 113 bps/mo (peer return basket)
Tested over: 1980-2005 (Cohen-Frazzini)

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

Related families

TNIC Momentum SpilloverPrice & Market Behavior

The 1-month lagged return of a stock's text-similarity peer basket (TNIC, crosses sectors) predicts the focal stock's next-month return.

Customer MomentumReal-World & Alternative Data

When a firm's major customer has a return shock, the supplier under-reacts — its stock drifts in the same direction the following month.

Competitor Bad News Relative LongCompany Events & Earnings

When a competitor blows up (bankruptcy, delisting, auditor disagreement), we go LONG the survivors because they pick up the market share.

Explore TNIC Peer Event Contagion on alphactor.ai

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