Research On Event Driven Quantitative Investment Strategy

In the company’s daily business activities,various events often occur,such as mergers,reorganizations,distribution of dividends,increase in shareholder holdings,and so on.These events will directly affect the performance of the stocks of related companies in the capital market,which means investment opportunities for investors.As one of the quantitative investment strategies in overseas mature markets,eventdriven strategy is a strategy that takes advantage of the opportunity of a specific event to affect the stock price to make an investment profit.In the field of quantitative investment,event-driven strategies have long been widely recognized and used,and have become one of the mainstream strategies adopted by hedge fund managers.According to the statistics of Eurekahedge,the asset scale of hedge funds using eventdriven strategies currently accounts for 13% of all hedge fund assets.Among them,the largest event-driven strategy fund,Elliott International,has managed assets of 15.6billion US dollars.As far as the returns of a single strategy are concerned,event-driven strategies have performed well in the field of quantitative investing.With the rapid development of my country’s capital market,event-driven strategies have been deeply studied by major fund companies and launched related products,and have achieved good returns.This paper analyzes the investment logic of multiple events in combination with relevant financial theories,constructs event-driven strategies for each event after determining the validity of the event,and conducts back-testing and optimization.First,after the conceptual definition and investment logic analysis of the event,based on the Jukuan quantification platform,we crawled the days of asset restructuring,high transfer,performance forecast,major shareholder holdings and private placement events from2009 to 2018.Transaction data,market data,event characteristics,financial indicators,technical analysis indicators,momentum indicators,sentiment indicators,etc.,use the event research method to construct a market reaction model for each event,and determine the event attributes according to the market reaction,and select continuous alpha events to construct Event-driven strategy.Taking January 2018 to December 2020 as the test period,determine the optimal holding days for each event strategy,and finally conduct back-testing of each event-driven strategy through the 2021 extrapolation period,using the HS300 Index as the benchmark to evaluate Strategy back-testing effect.In the strategy optimization stage,taking the cross-sectional excess rate of return as the explained variable,and the event factors,financial factors,technical factors,momentum factors,and emotional factors of each event as the explanatory variables,the stepwise regression method is used,and the regression method is obtained by using the stata15.0 measurement software.Excess rate of return forecasting model used to optimize the original strategy.This paper also solves the problem of idle funds by dynamically adjusting the capital channel,and further optimizes the combination event strategy.The following conclusions are drawn from the above research:(1)The five types of events can continue to obtain significant excess returns after the event occurs,all of which are persistent alpha events and are suitable for constructing event-driven strategies.The market performance of each event varies under different circumstances.(2)The optimal holding days for asset reorganization,high transfer,performance forecast,major shareholder increase and private placement strategies are 30 days,15 days,20 days,30 days and 25 days respectively.The private placement strategy performed the best,with a strategic return of 24.45%,far exceeding the market cap,while the high-send and transfer strategy had poor strategic returns and stability;(3)The prediction effect of the excess return forecast model was better,and a single event after optimization The rate of return of the strategy has increased significantly,among which the optimization effect of the private placement strategy is the most obvious.The rate of return of the strategy during the test period increased from 31.30% to 64.35%;(4)Affected by the irregular frequency of events,the rate of return of the portfolio event strategy was 21.36 %,which is lower than the strategy of increasing holdings by major shareholders and private placement.After optimization,the return rate of the combined event strategy increased to 45.83%.Compared with the single event strategy,the combined event strategy had a better optimization effect in the extrapolation period.At the same time,the proportion of its holdings has increased significantly,and the cost of capital has been significantly reduced.Based on this,this paper proposes countermeasures and suggestions:(1)Small and medium investors should objectively view the incidents and behaviors of listed companies,make rational investment decisions,and pay more attention to private placements and major shareholders’ increase in holdings;(2)Listed companies should use shareholders’ wealth to The goal is to maximize the capital operation,reasonably carry out capital operations,and disclose information on various major events in a timely manner;(3)The regulatory agency shall take timely and effective supervision over listed companies,improve the information disclosure system of listed companies,strengthen investor education,and improve investment risk awareness of investors,thereby reducing the irrational behavior of investors.