Aggregate net equity issuance intensity (long-history, FRED Z.1)

The question

Do dated corporate-event shocks (IPO lock-up expiries, post-IPO drift) produce a tradeable, cost- and survivorship-honest edge — or do apparent effects dissolve under proper method?

How it was tested

The hypothesis, its exact trigger, the outcome it predicts, and the pass/fail bar were written down and cryptographically hash-locked before any data was tested, then held through a mandatory cooling-off period. The backfill ran exactly once against those frozen parameters — no re-tuning, no curve-fitting — using adversarial statistics (stationary-bootstrap confidence intervals, multiple-testing correction, purged cross-validation with an embargo, and walk-forward out-of-sample splits). The specific trigger thresholds are proprietary and omitted here.

The outcome

RAN 2026-07-04 (attended; operator 'complete what is not date-gated' — the one eligible-and-unrun gate) → NOISE / DISCONFIRMED — RIGHT-SIGNED but UNCONDITIONALLY UNDERPOWERED (NOT subsumed, NOT a clean refutation). 253 quarterly obs 1962-2026 (post-40q warmup; IS 1952-94 / OOS 1995-2026), 17 K1 flood onsets incl. 1999-01/2001-01/2002-10 — the dot-com episode IN-sample = the clean test the [[net-share-issuance]] EDGAR construct structurally MISSED. PRIMARY SPX-12mo continuous IC −0.031 (RIGHT sign, Baker-Wurgler NEG) BUT Politis-Romano bootstrap 95% CI [−0.219, +0.136] STRADDLES 0 (bootP(IC≥0)=0.34, 4q horizon-block) → fails ci_excludes_0 → the mechanical NOISE branch; Holm-Sidak n.s. Secondary SPX-6mo IC +0.047 wrong-sign; tertiary NDX-maxDD lift +0.052 (lo −0.099, fails ≥0.15). ⚠️ NOT a subsumption failure — the OPPOSITE: it SURVIVES the binding no-subsumption-vs-valuation bar (icLowValuation −0.279, CI hi −0.018 EXCLUDES 0, n=114; beatsVixCredit −0.005) AND the gross-share Wurgler-adjacent cross-check agrees sign (−0.191) → genuinely NOT a rich-valuation proxy (distinct from the {liquidity-valuation, absorption, yield-curve} cluster). It fails on UNCONDITIONAL POWER + episode-dependence: full-sample CI straddles 0 + only 3/5 purged folds negative + ex-1999/2000 jackknife FLIPS to +0.006 (edge leans on dot-com; ex-2020/21 holds −0.025). The honest-prior 'modest episode power' (~6-8 true floods) outcome — a FAIRER test than the EDGAR sibling (episodes now observed) that still can't clear CI-excl-0. Class = right-signed-but-underpowered null: kept in DISCONFIRMED (non-scored, earns ZERO forecast-ledger weight per the mechanical verdict + Rule #5 no-re-interpret) but DISTINCT from the merit-based subsumed graveyard (it BEATS valuation; closer to [[aggregate-short-interest]]'s power-limited tag). DISCLOSED optimistic bias honored (pre-2003 final-revised Z.1, ALFRED vintages thin) → near-miss discounted not promoted. Even a full-power PASS was INFO-grade BY CONSTRUCTION (crowded, annual-horizon, non-beta-neutral macro context) → ZERO trade-path impact regardless; there was NO STRATEGY_GRADE outcome. Harness `scripts/backfill-net-equity-issuance-longhistory.ts` on the backfill-kit (verifyPreReg SHA 4076ca79 + eligibility), point-in-time release lag (period-end+72d), bootstrap horizon-block in QUARTERS; pre-run 4-lens adversarial review = lookahead-airtight + spec-faithful, --validate-data confirmed the Z.1 join + episodes. Both issuance siblings now RUN — the Baker-Wurgler/ipo-issuance thesis is real-ish (right sign, survives valuation-subsumption) but not harvestable as an independent scored signal on the observable episode count, and never tradeable for this fund. `data/backfill/net_equity_issuance_longhistory_2026-07-04.json`. Rule #10: no iterate on THIS construct (a Wurgler gross-SHARE test or an ALFRED-vintaged version = NEW pre-reg). Memo project_net_equity_issuance_longhistory_backfill_2026_07_04.md.

The backfill ran and the hypothesis failed its pre-registered bar. It is recorded and retired — not re-tested without a fresh, separately-registered hypothesis.