research: Task 2 closed — SUE dead, earnings gap informational

Earnings backfill sourced from the public DoltHub earnings repo at a
pinned commit rather than the FMP API: reproducible for anyone re-running
the study, and it burns no request quota. 12,414 events, 98.6% of symbols
with >=8 announcements, 99.2% paired actual/estimate, no keyed duplicates.

2a earnings-gap diagnostic: INFORMATIONAL, no filter shipped. The
pre-earnings cohort's right tail was better, so the registered
avoid-earnings condition failed. Note the raw 23/266 vs 115/574 incidence
gap is largely a duration confound -- severe losses stop out fast and have
less time to span an announcement -- so it is not evidence that holding
through earnings is safe.

2b SUE: FAIL against the pre-registered +0.03 bar (unconditional IC
+0.0151 over 56 reliable windows, momentum-conditional +0.0213). Signs
stable across eras, so this is a clean null rather than an ambiguous one,
consistent with post-earnings drift having decayed in large caps.

Closes the Tier-1 arc: Task 1 dead on deep evidence, Task 2 dead here,
Task 3 complete as diagnostic. No in-sample research thread remains open.

Co-Authored-By: Claude Fable 5 <noreply@anthropic.com>

reports/earnings-2b-sue-20260720-dolthub-final.md

@@ -0,0 +1,62 @@
+# Earnings Task 2b - SUE / PEAD
+
+### Data quality gate
+
+Approved earnings window: 2020-01-22 to 2026-07-17. Source mode: dolthub_public_bulk_clone.
+
+| check | result |
+|---|---:|
+| Prod symbols requested / tradable | 506 / 505 |
+| Manifest complete + live counts match | True |
+| Prod symbols with pre-2021 bars | 491 (97.2%) |
+| SPY benchmark depth | 2649 rows, 2016-01-04 to 2026-07-17 |
+| Snapshot depth gate | True |
+| Bulk source windows / requests logged | 1/1 / 1 |
+| Source repository / pinned commit | https://www.dolthub.com/repositories/post-no-preference/earnings @ 9n0et3hpj9j7vue8f3qsldon3qa5sdjj |
+| Source license / upstream provider documented | CC-BY-SA-4.0 / False |
+| Existing-source conflicts preserved | 940 rows / 1526 fields |
+| Symbols with >=8 announcements | 498 (98.6%) |
+| Symbols with >=8 paired announcements | 495 (98.0%) |
+| Events with estimate + actual | 12311/12414 (99.2%) |
+| Duplicate rows in keyed table | 0 |
+| Duplicate / restated payload rows fetched | 0 / 940 |
+| Mean announcements per active symbol-year | 4.08 (expected about 4) |
+| Symbols far off (<2 or >6/year, incl. zero) | 1 |
+| Recognised BMO/AMC/during | 92.8% (reliable=True) |
+| Point-in-time policy | announce_date_plus_1_trading_day_for_all_events |
+| SUE price fallback | not_used |
+
+Deduplication: UNIQUE(symbol, announce_date); normalise dot/dash symbols; retain one calendar row per key; preserve existing non-null session/EPS values from the prior FMP/Alpha Vantage partial backfill, then fill nulls and all remaining symbols from DoltHub; attach DoltHub period-end alignment
+
+Far-off announcement-rate symbols: SPCX
+
+### Experiment 2b - SUE / post-earnings drift
+
+Mechanical verdict: **FAIL** - SUE DEAD for this stack
+
+Identical cross-sections:
+
+| signal | mean IC | t | windows | avg N | IC positive % | reliable |
+|---|---:|---:|---:|---:|---:|---|
+| sue_latest | 0.0148 | 1.27 | 56 | 450.9 | 51.8 | true |
+| mom_12_1 | 0.0195 | 0.74 | 56 | 450.9 | 58.9 | true |
+| mom_12_1_resid | 0.0262 | 1.07 | 56 | 450.9 | 55.4 | true |
+
+Unconditional SUE grade row:
+
+| signal | mean IC | t | windows | avg N | IC positive % | reliable |
+|---|---:|---:|---:|---:|---:|---|
+| sue_latest | 0.0151 | 1.29 | 56 | 451.4 | 51.8 | true |
+
+Era stability:
+
+| era | mean IC | t | windows | avg N | IC positive % | reliable |
+|---|---:|---:|---:|---:|---:|---|
+| pre-2021 | 0.0286 | 0.7 | 9 | 398.3 | 55.6 | false |
+| post-2021 | 0.0172 | 1.34 | 48 | 461.9 | 64.6 | true |
+
+Coverage: 501 symbols with live SUE; avg weekly N=453.1; scored non-overlap avg N=451.4.
+
+Cross-section is not flagged thin at the registered <100-name read.
+
+Momentum-conditional top-quintile SUE: mean IC=0.0213, t=1.3, windows=56, avg N=89.8.