# LIMITATIONS.md — living list (WP39)

# Data

• Survivor-conditioned accounting panel. Fundamentals and earnings-release rows exist only for the 5,451 tickers active on 2026-11-01. Firms that delisted during 2012–2026 (including those that deteriorated and failed) are absent from the firm-quarter sample, although their minute bars exist. Base rates of severe deterioration are therefore understated and H3/H5 effects for the most vulnerable firms are not identified. A delisted-fundamentals backfill is proposed (DATA_AUDIT §8).
• PIT is a documented proxy. available_at = filing_date + 1 day is a policy; all facts are revision_id = 1 observed on 2026-11-01/02, i.e. the vendor's current (possibly restated) history. Original-as-reported values are not available. Inputs use prior quarters only, so restatements affect the measurement of inputs and targets, not the direction of time.
• OHLCV bars, not ticks. No quotes, no trades, no order flow. Bar-based statistics (down-bar volume share, bar autocorrelation) are descriptive proxies and are never interpreted as informed trading or spreads.
• Vendor merges ticker changes under the latest ticker (fully since 2022); CIK/SIC come from the SEC's current company_tickers.json, so historical ticker reuse before 2022 is only partially auditable (formerNames check).
• release_time is unknown for ~35 % of release events; we never use release-day bars, so this affects only the descriptive timing exhibit.
• The vendor eps_estimate has an unknown vintage and is missing for a quarter of events → exploratory only.
• 1-minute coverage is thinner before ~2005 and for illiquid names; the sample starts in 2012 and requires ≥ 100 regular bars per session, which excludes the most illiquid firm-days (a documented selection on liquidity).

# Design

• The event-time cohort conditions on the existence of a release in the next 65 trading days; a hypothetical observer knows the approximate schedule but not the exact date. The fixed-calendar design is reported as the robustness check.
• Prediction, not causation: a positive H1 shows that bar-level information is statistically informative; it does not establish who traded on private information.
• No B7/B8 (neural/text) models by owner instruction; the frequency comparison is therefore within linear and gradient-boosted families only.

# To be completed as results arrive

• (Phase 3) achieved sample sizes, base rates, coverage gaps by year/size.
• (Phase 5) which placebo/stress tests failed or were inconclusive.

# Completed from results (2026-11-02)

• Achieved sample: 3,796 firms, 102,522 firm-quarters (2013–2026); the sample starts in 2013 because eight prior quarters are needed for the seasonal expectation; 2020 lies in the validation period, so the COVID subgroup is not part of the test.
• The logistic-family confidence interval around the 1-minute increment (±0.0027) is comparable to, not narrower than, the pre-registered MDE (0.0025); the precise-null claim rests on the boosted family (±0.0006) and on the consistency of the sign across horizons, targets and subgroups.
• The announcement-window CAR coefficient on the incremental 1-minute component is positive and nominally significant (t = 2.9); it is one of several H5 tests, has the "wrong" sign for an information story, and is reported, not exploited.
• The placebo differential on shuffled labels is of the same order (−0.0004) as the primary LightGBM differential (+0.0016), so differences of this size should be read as zero.
• Delisted-firm stress tests and as-originally-reported specifications were not run (data not available from the vendor).