feed 496 names, 572,414 P/S rows · panel 501 names · officers/directors · entry next-session close, exit +Hd · excess vs EW · IS<2016/OOS>=2016 · sqrt252
P buys 23,062: opportunist 21,567 (non-10b5 21,080) / routine 1,495.
H = 5 sessions
| arm | n | IS excess | OOS excess | OOS net10 | OOS hit | boot p | placebo p | n OOS |
|---|---|---|---|---|---|---|---|---|
| P opp non-10b5 | 10704 | +0.22% | +0.00% | -0.20% | 48% | nan | nan | 5235 |
| P opp all | 10853 | +0.22% | +0.03% | -0.17% | 48% | nan | nan | 5384 |
| P routine | 1316 | -0.12% | +0.01% | -0.19% | 43% | nan | nan | 832 |
| P all | 12169 | +0.19% | +0.03% | -0.17% | 47% | nan | nan | 6216 |
H = 10 sessions
| arm | n | IS excess | OOS excess | OOS net10 | OOS hit | boot p | placebo p | n OOS |
|---|---|---|---|---|---|---|---|---|
| P opp non-10b5 | 10704 | +0.65% | +0.05% | -0.15% | 49% | nan | nan | 5235 |
| P opp all | 10853 | +0.65% | +0.10% | -0.10% | 49% | nan | nan | 5384 |
| P routine | 1316 | -0.12% | -0.25% | -0.45% | 50% | nan | nan | 832 |
| P all | 12169 | +0.59% | +0.05% | -0.15% | 49% | nan | nan | 6216 |
H = 21 sessions
| arm | n | IS excess | OOS excess | OOS net10 | OOS hit | boot p | placebo p | n OOS |
|---|---|---|---|---|---|---|---|---|
| P opp non-10b5 | 10704 | +0.48% | -0.00% | -0.20% | 47% | 0.047 | 0.000 | 5235 |
| P opp all | 10853 | +0.48% | +0.04% | -0.16% | 47% | 0.032 | 0.001 | 5384 |
| P routine | 1316 | -0.54% | -0.45% | -0.65% | 44% | 0.907 | 0.690 | 832 |
| P all | 12169 | +0.40% | -0.02% | -0.22% | 47% | 0.100 | 0.002 | 6216 |
Beta audit (P opp non-10b5, H=21)
beta 1.11 | raw +0.25% | beta-adj +0.07% | up +0.45% | down -0.18%
Verdict (H=21)
| check | result | detail |
|---|---|---|
| A alignment (PIT next-session) | PASS | engineered |
| B incrementality (OOS excess>0) | FAIL | -0.00% |
| C economics (OOS net10>0) | FAIL | -0.20% |
| D stability (IS same sign & boot p<0.05) | PASS | IS +0.48%, p 0.047 |
| E null+power (n>=50 & placebo p<0.05) | PASS | n 10704, placebo p 0.000 |
| M mechanism (opp > routine OOS) | PASS | opp -0.00% vs routine -0.45% |
PRIMARY verdict: REJECT / near-miss
Notes
- Opportunistic = not (same calendar month in each prior 3y); refined primary additionally excludes 10b5-1 filings.
- Filing-date PIT; txnDate<=filingDate enforced. Event study, not a compounded daily book.