The Study Of Event-driven Strategy Based On "High Transfer"

Stock dividend policy is a way to distribute the profit of listed companies,which is a way to deal with the company's financial information,and cannot bring profit directly.The theory of dividend policy include irrelevant dividend view and relevant dividend view.Relevant dividend view support that Stock dividend policy has effect on the company's market value,however,irrelevant dividend view has opposite view.Scholars also have different ideas about the reason of stock split and the wealth effect of stock dividend.Domestic and foreign experts do research on it.And the results seems that the stock dividend policy will indirectly affect the market value of listed companies."High transfer" is a type of stock dividend policy.The extensive concern of the high transfer stocks in the annual report will cause the market speculation every year.In order to further explore this phenomenon,this paper select high transfer stocks from 2013 to 2015 listed on the A stock market as the research object and use event study method.The event window is 10 days and 240 days for the estimation window selection.The empirical results show that,there is indeed excess abnormal rate of return(AR).Then,this paper does empirical research of investors to obtain the excess abnormal returns in the short-term investment way.Using the idea of quantitative trading,select the 2016 years of "high transfer" stock as the sample to build strategy.Historical data show that the strategy has short-term positive returns,followed by significant negative returns.So the risk of this strategy is great and is cannot be recommended.Finally,the first two studies have found the existence of negative rate of return after excess returns.To study this phenomenon,this paper select the 2013-2015 listed A-share market "high transfer" stock data as sample as before.The event window is 30 days and the estimation window is 220 days.The results show that,there exists Announcement Effect and has no inside effect.Of course,this is only a statistical conclusion.It needs more research for each stock to explore insider trading.Finally,this paper argues that investors can use quantitative trading tools to study the "high transfer" stock characteristics.Select these stocks as a stock pool.Buy the pool before the announcement date and then sell it.At the same time,the paper pointed out that we should strengthen the supervision of financial markets and also prohibit insider trading.