{
  "cff-version": "1.2.0",
  "message": "Please cite this exploratory working paper.",
  "type": "report",
  "title": "An Exploratory Study of Random-Day Placebos Under Persistent Conditioning: Calibration and Non-Overlapping Event Retention in Single-Stock Conditional Event Studies",
  "authors": [
    {
      "family-names": "Cai",
      "given-names": "Peilun",
      "orcid": "https://orcid.org/0009-0007-5364-6883"
    }
  ],
  "version": "1",
  "abstract": "Backtests are difficult to assess when specification searches and overlapping events are not disclosed. We examine a fixed single-stock rule that calls a direction at a random-day percentile of ≥ .95 or ≤ .05, nominally two-sided 10%. Across 124 stocks, circular shifts of persistent condition masks by at least 252 trading days yield a random-day rejection rate of 0.314 (95% CI 0.302–0.324), compared with 0.102 for a shift-based placebo. Thinning events to at least 20 trading days apart retains a median 0.366 of the nominal sample (95% CI 0.356–0.376). Most initially directional readings lose their direction after thinning. This does not establish that genuine return effects disappear: thinning removes information, and the shift placebo shares the mechanism used to construct the null. General false-positive control remains unverified. The stock pool is selected, thinned events may remain dependent, and stock-resampling intervals have unverified coverage under a shared calendar. This retrospective exploratory study was not prospectively preregistered. Evaluation requires the search history and event-overlap accounting; neither is replaced by a small reported p-value. A planned simulation comparison will test calibration and power against established methods.",
  "url": "https://axiocairn.com/en/research/ax-p-001",
  "preferred-citation": {
    "type": "report",
    "title": "An Exploratory Study of Random-Day Placebos Under Persistent Conditioning: Calibration and Non-Overlapping Event Retention in Single-Stock Conditional Event Studies",
    "authors": [
      {
        "family-names": "Cai",
        "given-names": "Peilun",
        "orcid": "https://orcid.org/0009-0007-5364-6883"
      }
    ],
    "year": 2026,
    "version": "1",
    "url": "https://axiocairn.com/en/research/ax-p-001"
  },
  "date-released": "2026-10-30"
}