{
 "method": "Event study. Entry = close of the first trading day after the EDGAR filing date (point in time even for after-hours filings); exit 21 or 63 trading days later; return minus SPY over the same days (adjusted closes, Yahoo Finance chart data). Baseline = better of always-up and always-down vs SPY over every non-overlapping 21/63-day window of the same stocks in the same years. Independent events = per ticker, a new event only if more than 63 trading days after its last counted one. Pass = independent hit rate's 95% Wilson lower bound above the baseline. Data hygiene (applied to events and baseline alike, decided after seeing absurd adjusted prices in the first run): skip windows starting under $1 adjusted or moving more than 500%.",
 "tests": [
  {
   "id": "form4-buys",
   "name": "Insider open-market buying (Form 4, code P, officers/directors) in current S&P 500 stocks",
   "direction": "up",
   "source": "SEC EDGAR Insider Transactions Data Sets (Forms 3/4/5), 2012 Q1 - 2026 Q1",
   "sourceUrl": "https://www.sec.gov/data-research/sec-markets-data/insider-transactions-data-sets",
   "bias": "Survivorship: uses today's S&P 500 list, so companies that left the index are missing. Filing date only (no acceptance time), so entry is the next trading day.",
   "results": {
    "21d": {
     "raw": {
      "n": 6491,
      "hitVsSpy": 50.1,
      "ci": [
       48.9,
       51.4
      ],
      "meanExcess": 0.51,
      "meanExcessCI": [
       0.28,
       0.73
      ],
      "flippedHit": 49.9,
      "flippedMeanExcess": -0.51,
      "medianExcess": 0.02
     },
     "independent": {
      "n": 3340,
      "hitVsSpy": 49.0,
      "ci": [
       47.3,
       50.7
      ],
      "meanExcess": 0.03,
      "meanExcessCI": [
       -0.22,
       0.29
      ],
      "flippedHit": 51.0,
      "flippedMeanExcess": -0.03,
      "medianExcess": -0.13
     },
     "baseline": 50.3,
     "baselineWindows": 80073,
     "passes": false,
     "years": [
      "2012",
      "2026"
     ],
     "tickers": 475,
     "samples": [
      {
       "ticker": "ITW",
       "filed": "2017-10-26",
       "link": "https://www.sec.gov/Archives/edgar/data/49826/000157706417000007/",
       "entry": "2017-10-27",
       "exit": "2017-11-28",
       "stock": 3.41,
       "spy": 2.0,
       "excess": 1.41,
       "right": true
      },
      {
       "ticker": "FCX",
       "filed": "2014-10-30",
       "link": "https://www.sec.gov/Archives/edgar/data/831259/000124636014004227/",
       "entry": "2014-10-31",
       "exit": "2014-12-02",
       "stock": -9.23,
       "spy": 2.69,
       "excess": -11.92,
       "right": false
      },
      {
       "ticker": "HIG",
       "filed": "2018-12-13",
       "link": "https://www.sec.gov/Archives/edgar/data/874766/000122520818016585/",
       "entry": "2018-12-14",
       "exit": "2019-01-16",
       "stock": 9.84,
       "spy": 0.78,
       "excess": 9.06,
       "right": true
      }
     ]
    },
    "63d": {
     "raw": {
      "n": 6491,
      "hitVsSpy": 52.5,
      "ci": [
       51.3,
       53.7
      ],
      "meanExcess": 1.89,
      "meanExcessCI": [
       1.47,
       2.32
      ],
      "flippedHit": 47.5,
      "flippedMeanExcess": -1.89,
      "medianExcess": 0.69
     },
     "independent": {
      "n": 3340,
      "hitVsSpy": 51.2,
      "ci": [
       49.5,
       52.9
      ],
      "meanExcess": 1.05,
      "meanExcessCI": [
       0.54,
       1.57
      ],
      "flippedHit": 48.8,
      "flippedMeanExcess": -1.05,
      "medianExcess": 0.31
     },
     "baseline": 50.7,
     "baselineWindows": 26391,
     "passes": false,
     "years": [
      "2012",
      "2026"
     ],
     "tickers": 475,
     "samples": [
      {
       "ticker": "ITW",
       "filed": "2017-10-26",
       "link": "https://www.sec.gov/Archives/edgar/data/49826/000157706417000007/",
       "entry": "2017-10-27",
       "exit": "2018-01-30",
       "stock": 10.66,
       "spy": 9.89,
       "excess": 0.77,
       "right": true
      },
      {
       "ticker": "FCX",
       "filed": "2014-10-30",
       "link": "https://www.sec.gov/Archives/edgar/data/831259/000124636014004227/",
       "entry": "2014-10-31",
       "exit": "2015-02-03",
       "stock": -32.49,
       "spy": 2.14,
       "excess": -34.63,
       "right": false
      },
      {
       "ticker": "HIG",
       "filed": "2018-12-13",
       "link": "https://www.sec.gov/Archives/edgar/data/874766/000122520818016585/",
       "entry": "2018-12-14",
       "exit": "2019-03-19",
       "stock": 19.97,
       "spy": 9.53,
       "excess": 10.44,
       "right": true
      }
     ]
    }
   }
  },
  {
   "id": "nt-late-filing",
   "name": "Late-filing notices (Form 12b-25: NT 10-K / NT 10-Q) in US-listed stocks",
   "direction": "down",
   "source": "SEC EDGAR full-index form.idx, 2012 Q1 - 2026 Q3, mapped to tickers with SEC company_tickers_exchange.json",
   "sourceUrl": "https://www.sec.gov/Archives/edgar/full-index/",
   "bias": "Survivorship: only companies still listed today map to a ticker, so many late filers that later delisted (often the worst outcomes) are missing. Mostly small, illiquid stocks; real-world costs and shorting limits would eat into this.",
   "results": {
    "21d": {
     "raw": {
      "n": 8384,
      "hitVsSpy": 62.7,
      "ci": [
       61.7,
       63.8
      ],
      "meanExcess": -1.36,
      "meanExcessCI": [
       -2.33,
       -0.4
      ],
      "flippedHit": 37.3,
      "flippedMeanExcess": 1.36,
      "medianExcess": -3.9
     },
     "independent": {
      "n": 6067,
      "hitVsSpy": 62.4,
      "ci": [
       61.2,
       63.6
      ],
      "meanExcess": -2.05,
      "meanExcessCI": [
       -3.05,
       -1.06
      ],
      "flippedHit": 37.6,
      "flippedMeanExcess": 2.05,
      "medianExcess": -3.75
     },
     "baseline": 58.4,
     "baselineWindows": 198407,
     "passes": true,
     "years": [
      "2012",
      "2026"
     ],
     "tickers": 1823,
     "samples": [
      {
       "ticker": "BRT",
       "filed": "2020-03-16",
       "link": "https://www.sec.gov/Archives/edgar/data/14846/0001213900-20-006529.txt",
       "entry": "2020-03-17",
       "exit": "2020-04-16",
       "stock": -12.29,
       "spy": 11.05,
       "excess": -23.34,
       "right": true
      },
      {
       "ticker": "ACNT",
       "filed": "2016-03-15",
       "link": "https://www.sec.gov/Archives/edgar/data/95953/0000095953-16-000159.txt",
       "entry": "2016-03-16",
       "exit": "2016-04-15",
       "stock": -6.74,
       "spy": 2.71,
       "excess": -9.45,
       "right": true
      },
      {
       "ticker": "WLY",
       "filed": "2021-06-30",
       "link": "https://www.sec.gov/Archives/edgar/data/107140/0001140361-21-022843.txt",
       "entry": "2021-07-01",
       "exit": "2021-08-02",
       "stock": -2.07,
       "spy": 1.66,
       "excess": -3.73,
       "right": true
      }
     ]
    },
    "63d": {
     "raw": {
      "n": 8218,
      "hitVsSpy": 69.4,
      "ci": [
       68.4,
       70.3
      ],
      "meanExcess": -8.16,
      "meanExcessCI": [
       -9.45,
       -6.87
      ],
      "flippedHit": 30.6,
      "flippedMeanExcess": 8.16,
      "medianExcess": -11.33
     },
     "independent": {
      "n": 5971,
      "hitVsSpy": 68.9,
      "ci": [
       67.7,
       70.1
      ],
      "meanExcess": -8.16,
      "meanExcessCI": [
       -9.57,
       -6.74
      ],
      "flippedHit": 31.1,
      "flippedMeanExcess": 8.16,
      "medianExcess": -10.94
     },
     "baseline": 61.7,
     "baselineWindows": 65256,
     "passes": true,
     "years": [
      "2012",
      "2026"
     ],
     "tickers": 1799,
     "samples": [
      {
       "ticker": "MFIN",
       "filed": "2020-03-17",
       "link": "https://www.sec.gov/Archives/edgar/data/1000209/0001193125-20-075487.txt",
       "entry": "2020-03-18",
       "exit": "2020-06-17",
       "stock": -11.36,
       "spy": 30.62,
       "excess": -41.98,
       "right": true
      },
      {
       "ticker": "NWBO",
       "filed": "2016-03-15",
       "link": "https://www.sec.gov/Archives/edgar/data/1072379/0001144204-16-088241.txt",
       "entry": "2016-03-16",
       "exit": "2016-06-15",
       "stock": -52.94,
       "spy": 2.7,
       "excess": -55.64,
       "right": true
      },
      {
       "ticker": "TCRT",
       "filed": "2021-08-09",
       "link": "https://www.sec.gov/Archives/edgar/data/1107421/0001193125-21-240604.txt",
       "entry": "2021-08-10",
       "exit": "2021-11-08",
       "stock": -15.1,
       "spy": 6.27,
       "excess": -21.37,
       "right": true
      }
     ]
    }
   },
   "status": "passed3m",
   "statusNote": "Passed (3 months): Late filers lagged similar-sized stocks by about 4% on average over the following 3 months (2012\u20132026). 1 month: not proven. Historical pattern only. Mostly small, hard-to-trade stocks. Not a prediction for any single company. Education only.",
   "statusByHorizon": {
    "21d": "Not proven",
    "63d": "Passed: beats size-matched stocks"
   },
   "caveats": [
    "Survivorship: prices exist only for companies with a current ticker; 26,162 notices from delisted or never-listed companies could not be classified and are left out (counting them at 0% is shown only as a bound).",
    "Mostly small, illiquid stocks: real trades would be hard to fill at these prices.",
    "Trading costs and short-selling limits (borrow fees, unavailable shares) are not included and could erase the gap.",
    "This is a known effect in academic research on late filings, not a new discovery.",
    "Small companies broadly lagged in 2021\u20132026; the matched control is meant to remove that, and the gap shows up in both 2012\u20132020 and 2021\u20132026."
   ]
  }
 ]
}