# Buying a token after its treasury company's SEC filing does not pay

> Buying a token 15 minutes after its treasury company's SEC 8-K earned +6.6 bp over 24 hours, the same as a week earlier (+6.1 bp), and -25.5 bp once the alt-market move is removed.

E802 · Verdict: KILL · Cause: No signal · Market: Crypto & DeFi · Mechanism: Public intent · Horizon: 24h · Tested: October 2026

Source: https://alphanotfound.eu/experiments/E802-treasury-company-filings-do-not-move-the-token

Listed companies now raise money from ordinary investors to buy a single crypto token and keep it on their balance sheet. The belief is that their SEC filings show buying that has to happen and that the token then rises. We read 592 candidate filings from 21 such companies, kept 118 for 15 alternative-token companies, and bought the token's perpetual future 15 minutes after each filing for 24 hours. After a 10 bp cost the average was +6.6 bp, with an interval from -85 to +89 bp. The same trade one week earlier made +6.1 bp.

## Key numbers

- **Filing events:** 118 (15 companies, 11 tokens, 2025-04 to 2026-10)
- **Net per trade:** +6.6 bp (95% company-clustered interval -85 to +89 bp; required +30 bp)
- **Same hour, 7 days earlier:** +6.1 bp (the filing adds +0.6 bp, paired per event)
- **Market-adjusted:** -25.5 bp (after subtracting the average move of the other tokens of a 15-token list)

## The idea being tested

**Belief:** When a company that holds a crypto token for its treasury files with the SEC about a new raise or new holdings, that token rises as the money is deployed.

**Why people believe it:** These companies sell shares or notes to traditional investors and are expected to turn the proceeds into the token. The filing is public and arrives as plain text on the filing system. Most crypto derivatives traders do not read it, so the buying should reach the token price after the filing, not before.

**Why it would persist:** Parsing hundreds of filings takes work, the tokens involved are thinner than the largest coins, and people argue the purchases are spread over days, so the price response would be slow enough to remain available.

## How it was tested

We fixed a list of 16 alternative-token treasury companies and a set of text rules before reading any filing or price. Every 8-K in the search window (from January 2025; the first qualifying event was in April 2025) that mentioned the company's token and read like a closed financing or a holdings update became an event. We bought the token's perpetual future 15 minutes after the filing was accepted, sold 24 hours later, and charged 10 bp for the round trip. Each trade was compared with the same token at the same clock time one week earlier, and with the average move of the other tokens of a 15-token list.

**Pre-registered:** yes

**Data:** 8-K filings (items 1.01, 3.02, 7.01, 8.01) with exhibits, and acceptance timestamps, for a frozen list of treasury companies (the public SEC EDGAR filing system; per filing; 2025-01..2026-10); Perpetual futures 1-minute and 5-minute prices (largest USD-margined crypto perpetual venue, public market data; 1 minute; 5 minutes for the alt index; 2025-01..2026-10)

**Universe:** Primary: 16 companies on the frozen list, each holding one alternative token (11 distinct tokens); 15 produced events. Secondary, reported only: 5 companies holding Ether. Bitcoin treasuries and foreign filers of form 6-K were excluded. 592 candidate 8-Ks from 21 companies in total.

**Signal:** Candidate: an 8-K or 8-K/A accepted from 2025-01 to 2026-10 with item 1.01, 3.02, 7.01 or 8.01 whose main document or exhibit 99 contains the company's token symbol or name. Class "raise": the word closed, closing, consummated or completion within 300 characters of private placement, offering, PIPE, financing or subscription, and the word proceeds or cash anywhere in the text. Class "holdings": a number followed within 15 characters by the token symbol or name, with hold, holdings, acquired, purchased or treasury in the 200 characters before it. Both: raise. Automatic rules, no manual reclassification after prices were seen. One event per company per day (earliest acceptance). Event time is the acceptance timestamp. Classifier result: 106 raise, 138 holdings, 348 neither.

**Execution:** Long the token's perpetual at the first 1-minute open at or after acceptance + 15 minutes, exit at the first open at or after entry + 24 hours; simple return.

**Costs:** 10 bp round trip; funding ignored (stated).

**Controls:** Same token, same clock time, 7 days earlier (decides the verdict). Alt-adjusted: subtract the equal-weight 24-hour return of the other tokens of a 15-token list (5-minute prices), excluding the traded token. Secondary: Ether treasuries.

**Sample split:** Rule fixed before any filing text or price was read; results reported by quarter. No train/test split: one sample, one pass.

**Pass criterion:** At least 50 events from at least 12 companies; mean net at least +30 bp; company-clustered 95% interval above 0; median above 0; control below half the mean; if at least 30 raise events have a parsed dose, the top dose third above the bottom third. The market-adjusted mean also had to be above 0.

**Kill criterion:** Mean below +10 bp, or the interval includes 0.

**Power:** Pre-registered minimum detectable effect about 145 bp at 60 events (24-hour market-adjusted standard deviation about 4.5%): only a large effect could be seen.

## Result

**Why it was rejected:** The mean (+6.6 bp) is below the +10 bp kill line and the company-clustered interval (-85 to +89 bp) includes 0; the control earned +6.1 bp.

**Observations:** 118

**Net mean:** +6.6 bp

**95% interval:** -85 bp to +89 bp

**Median:** -6.4 bp

**Worst:** -1,147 bp

- Across 118 filing events (one per company-day, 15 companies) the long earned +6.6 bp net over 24 hours; the median trade lost 6.4 bp, 48.3% of trades made money, and the worst lost 1,147 bp (the last event in the sample).
- The same trade one week earlier earned +6.1 bp. Paired per event, the filing adds +0.6 bp (bootstrap by company, 4,000 draws, interval -126 to +98 bp).
- Market-adjusted, subtracting the average 24-hour move of the other tokens of a 15-token list (14 when the traded token is on it), the mean is -25.5 bp (interval -83 to +22 bp): the raw average sat inside normal alt-market movement.
- The 122 Ether-treasury filings (secondary) averaged +0.9 bp.
- The planned test of larger raises against smaller ones could not be run: proceeds were parsed from the text for too few events. A hand audit of 10 random classified filings found about 7 sensible; misfires were risk-factor text and an in-kind exchange of a locked token.

### The filing adds nothing to a normal day (bp)

Mean 24-hour net return of the long with 95% company-clustered intervals. Event and control sit at +6.6 and +6.1 bp, their paired difference at +0.6 bp, and the market-adjusted event at -25.5 bp. Every interval includes 0 and the +30 bp pass line is out of reach.

|   | Mean | 95% low | 95% high |
| --- | --- | --- | --- |
| After the filing (n 118) | 6.6 | -85 | 89 |
| Same hour, 7 days earlier | 6.1 | -45 | 59 |
| Filing minus control (paired) | 0.6 | -126 | 98 |
| After the filing, market-adjusted | -25.5 | -83 | 22 |

### Wide, and the same with or without a filing (number of trades)

Trades by 24-hour net return in bp, filing against the same hour a week earlier (118 each). Both are wide and centred near zero, with no visible shift to the right after a filing.

| Bin | After the filing (count) | 7 days earlier (count) |
| --- | --- | --- |
| < -800 | 2 | 1 |
| -800..-400 | 11 | 16 |
| -400..-200 | 19 | 16 |
| -200..-100 | 11 | 13 |
| -100..0 | 18 | 18 |
| 0..100 | 12 | 14 |
| 100..200 | 17 | 10 |
| 200..400 | 12 | 16 |
| 400..800 | 11 | 8 |
| > 800 | 5 | 6 |

## Interpretation

**Why it failed (interpretation, not established):** The filing date may simply be too late: a raise may be announced by press release first, and the token may be bought before the filing is accepted, so the filing may record news the market already has (not measured here). 58% of events fall in the second half of 2025, one alt-market regime, where the market-adjusted figure is the more informative one and it is negative.

**Lesson:** A filing may be a late record of news already public (press-release timing was not measured here); an information event is best timed at the first public disclosure. A raw average over a single market regime mostly measures that regime. When the 24-hour spread across events (several hundred bp) dwarfs the effect sought, even 118 events can only rule out large effects.

**Scope:** Covers 8-Ks of 15 alternative-token treasury companies (11 tokens) from April 2025 to October 2026, a 24-hour long on the perpetual future with entry 15 minutes after acceptance and a 10 bp cost, funding ignored. The text classifier was automatic and imperfect. Ether treasuries are reported as a secondary group. The result does not cover other filing forms, other tokens, or other entry delays.

## Reproducibility

**Steps:** 1) Fix a list of treasury companies and their EDGAR identifiers; download each company's filing index and every 8-K with items 1.01, 3.02, 7.01 or 8.01 accepted from 2025-01 to 2026-10, plus exhibit 99 text. 2) Apply the raise and holdings text rules above; keep one event per company per day, timed at acceptance. 3) Using 1-minute perpetual prices, go long at the first open 15 minutes after acceptance, exit 24 hours later, subtract 10 bp; repeat at the same clock 7 days earlier and subtract the equal-weight return of the other tokens of a 15-token list (5-minute prices). 4) Bootstrap by company; report by class and by quarter.

**Grade:** COMPLETE

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AI-generated research, checked but not peer-reviewed. Historical, experimental research, not investment advice. Dataset Terms of Use: https://alphanotfound.eu/terms