data/edgar_13d.py · 832 panel events / 3155 total tickers · entry next-session close, excess vs EW panel · IS<2016/OOS>=2016
Event response (excess vs EW panel)
| horizon | IS excess | OOS excess | OOS net10 | OOS hit | boot p(+) | placebo p | n OOS |
|---|---|---|---|---|---|---|---|
| 5d | +0.15% | +0.08% | -0.12% | 47% | 0.735 | 0.431 | 415 |
| 21d | +0.13% | +0.46% | +0.26% | 52% | 0.815 | 0.570 | 415 |
| 63d | -0.42% | +0.51% | +0.31% | 47% | 0.499 | 0.953 | 415 |
Beta audit
beta 1.18 | raw OOS +0.46% | beta-adj OOS +0.24% | up-window +1.08% | down-window -1.13%
Verdict: REJECT / near-miss
| check | result | detail |
|---|---|---|
| A alignment (next-session, lag-safe) | PASS | engineered |
| B incrementality (OOS excess > 0) | PASS | OOS +0.46% |
| C economics (OOS net@10 > 0) | PASS | net10 +0.26% |
| D stability (IS same sign) | PASS | IS +0.13% |
| E null+power (boot p<0.05 & n>=50 & placebo<0.05) | FAIL | boot 0.815, placebo 0.570, n 415 |
| beta-adj OOS > 0 | PASS | +0.24%, beta 1.18 |
Notes
- efts index ends 2024-12 in this environment; 2025-26 events not available (stated, not worked around).
- Primary SC 13D only; amendments (SC 13D/A) excluded.