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__new__ return type too
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pandas-stubs/core/indexes/period.pyi

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@@ -32,7 +32,7 @@ class PeriodIndex(DatetimeIndexOpsMixin[pd.Period, np.object_], PeriodIndexField
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dtype: Dtype | None = None,
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copy: bool = False,
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name: Hashable | None = None,
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): ...
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) -> Self: ...
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@property
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def values(self) -> np.ndarray[tuple[int], np.dtype[np.object_]]: ...
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@overload

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