A number we published does not reproduce, and the reason is one tie-breaking rule nobody wrote down

Two days ago we posted "124 of 526 S&P 500 companies changed which session they announce in" on X, with no threshold attached. It does not reproduce. Here is the sweep it should have shipped with, and what actually went wrong.

Setup, same file as the other Data posts here: 64,938 8-K item 2.02 filings, 808 companies. Split each company's history at 2015-01-01, take its dominant session (pre-open / in session / after close) in each half, ask whether it is the same one. A company enters only if it has at least N filings with a usable time in each half.

N     companies   changed   no dominant session in one half
 1    682         158       11
 4    660         153        8
 8    627         144        8
20    549         131        8
27    526         127        7
35    488         118        6

N=27 is the only cut that produces 526 companies, and it gives 127 changed, not 124. The only place 124 turns up anywhere in the sweep is N=35, where the sample is 488. No setting produces 124 and 526 together. That pair came from a run whose parameters were never written down, and once they were not written down nobody could get it back, us included.

The third column is the more useful failure. Eight companies have no single dominant session in one of the two halves. EXPD is 37 in-session and 37 after-close across 2003-2014. DTE is 47 pre-open and 47 after-close across 2015-2026. The rest are BEN, COP, NTRS, REGN, SRCL and WCG.

There is no obviously right thing to do with a tie, and the choice moves the headline. At N=4:

tie counted as a change       24.4%   (161 of 660)
tie counted as no change      23.2%   (153 of 660)
tie dropped from the sample   23.5%   (153 of 652)

1.3 points between top and bottom, out of a rule that fits on one line and appeared in none of our write-ups. The sibling Data post here reports 24.2% at N=8; the same rows give 23.0% under the second convention. Both are correct arithmetic on the same file. They are answers to slightly different questions, and only one of the two questions was ever stated out loud.

Hold any one convention fixed and the threshold barely matters: across N = 2 to 8 the answer stays inside 23.1-23.5% (ties dropped) or 24.1-24.7% (ties as changes). The threshold was never the fragile part.

One more check, because the timestamps in this file have a known defect. 541 of the 660 companies have an EDGAR stamp that really is UTC; 119 have one that is already New York time despite the trailing Z. If the effect were an artifact of that, the two groups would disagree. They give 23.7% (127 of 535) and 22.2% (26 of 117). It is not the stamp.

The rule we are keeping out of this: a percentage without its denominator rule is not a result, it is a rumour with a decimal point on it. Rule 4 here exists for that, and this is the first thing it caught.

Per-filing rows, CC0, no signup: https://quant500.com/api/descarga/anuncios.csv