Net share issuance (aggregate timing + cross-sectional)

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 2026-06-27 (attended; operator-directed completion pass) → NOISE / DISCONFIRMED. 305 issuance months 2001-01→2026-05 (EDGAR full-text S-1+424B4+424B5), 13 K1 flood onsets. PRIMARY SPX-12mo continuous IC −0.053 (RIGHT sign expected NEG, but) CI [−0.163, +0.057] STRADDLES 0 + bootstrap p(IC≥0)=0.131 + purged only 3/5 negative (fails 4/5) + Holm-Sidak n.s. + FAILS the binding no-subsumption-vs-valuation bar (beatsValuation false). Secondary SPX-6mo IC +0.084 WRONG sign; tertiary NDX-12mo-maxDD lift −0.122 (wrong direction). EQSHARE robustness leg agrees sign (−0.112). **⚠️ DATA-WINDOW-LIMITED / UNDERPOWERED — NOT a refutation of Baker-Wurgler (alpha-research review 2026-06-27, operator-prompted).** EDGAR full-text inception is 2001, so the DEFINING BW episode (1999-2000 issuance peak → 2000-02 dot-com crash) is STRUCTURALLY EXCLUDED, and the post-peak 2001-02 early sample INVERTS the sign (purged folds 0/3 strongly +0.26/+0.23 drag IC→0). MIN_OBS 36 + expanding-pctile ⇒ first K1 onset 2010-04, ZERO onsets 2001-09 (incl. 2007); the binary leg rests on ~1 clean in-window flood (2020-21→2022) which the jackknife shows is HELPING the right sign (icExFlood −0.083 more negative than −0.053). So the EDGAR slice is right-signed-but-CI-straddling on near-zero power, not a clean null. Honest class = INCONCLUSIVE/underpowered (kept in DISCONFIRMED bucket = non-scored, earns no weight; but distinct from the merit-based subsumed graveyard — yield-curve/vol-term/net-fed-liq/macro-nowcast/aggregate-short-interest DID have regime coverage and failed on merits). Pure info-layer — zero trade-path. The data-blocked [[ipo-issuance-intensity]] thesis is NOT closed by this — only the 2001+ EDGAR slice is tested. Forward path = a NEW pre-reg on Wurgler's FREE public 1927-2008 equity-share-in-new-issues series (or FRED NCBEILQ027S w/ ALFRED vintaging) — Rule-#10-clean (different source + the missing episodes, NOT a retune of this construct). Honest ceiling even fully-powered = INFO-grade (fails no-subsumption-vs-valuation BY CONSTRUCTION — firms issue when equity is rich → clusters w/ CAPE/NDX-M2/fractal; maximally crowded, annual-horizon, non-beta-neutral) → never tradeable alpha for this fund. Cross-sectional SECONDARY (Pontiff-Woodgate) stays deferred/report-only — a clearing version would only motivate a future broad-universe pre-reg, never this verdict. Run note: first attempt hung on an EDGAR efts dead-connection (harness had no per-request fetch timeout); minimal methodology-neutral fix added (15s AbortSignal.timeout + per-year progress log; pre-reg JSON hash 05f13ded untouched + re-verified) → clean single run. `data/backfill/net_share_issuance_2026-06-27.json`. Rule #10: no iterate (longer history or a tradeable cross-sectional factor = NEW pre-reg). Memo project_net_share_issuance_backfill_2026_06_27.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.