Event Driven Strategy Based On The Behavior Of Executives Holdings

As a new investment approach of security analysis,quantitative investment can choose stocks and manage them efficiently within the whole market. As an important link of quantitative investment,the event-driven investment strategy has developed into a strategy research,keeping up with the fundamental analysis and the industry configuration. By study the information of events in market comprehensively and systematically,getting access to more accurate and predictable probability event,we can capture the profit opportunities caused by mispricing and wrong valuation.The thesis use event study to calculate and test the investment value brought by the event of executive holdings. Analyzing the driving factors,which influence the performance of stock with the combination model of single factor and multi factor. The results of the study show that: firstly, the behavior of executive holdings has brought significant positive effect to the capital market. In addition, during the process of research, we found that the investment strategy with short holding period will lead to increase of transaction costs. With the rolling investment strategy of 10 day fixed holding period, the utilization efficiency of fund is higher and the compound annual return could reach 57%. At last, relative to the basic group, there are 1 to 5 times return by used the single factor, but based the single factor, multi factor had significant improvement on evaluating index, such as the combined earnings, winning percentage and Sharpe ratio, etc.The research framework and results of event-driven strategy can be used as a tool for investors to make investment decisions and provide a new investment ideas and options in the study of event-driven strategy. Therefore, from the actual operation level and the level of theoretical research, this thesis attaches great importance to the research of quantitative investment and event-driven strategy.