事件驱动投资策略及其影响因素的实证研究

Empirical Study of Thematic Investing Strategy and Its Factors

本文以东方证券主题投资策略库为研究样本,运用事件分析法,实证检验了事件驱动投资策略在中国A股市场上的累计超额收益及其影响因素。实证结果发现,事件确实存在显著的累计超额收益率,但为负值,分析发现这与策略库的荐股不够典型有关,需要投资者在实际操作中进一步删选。通过对累计超额收益影响因素的实证分析发现,加息周期和震荡市是事件驱动投资策略实施的有利条件,在个股的选择上,着重考虑股本大且具有行业代表性的龙头股。

This paper analyzes the Thematic Investing Strategy and its Factors.According to the thematic investing database from Oriental Securities,the author studies the Thematic Investing Strategy empirically using the Event Study Method.The empirical results show that,Thematic Investing Strategy is significant on the Cumulative Abnormal Return,but it is negative.In the advanced empirical study about the factors of the Cumulative Abnormal Return,the author argues that the Cumulative Abnormal Return is positively correlated to the monetary policy,the feature of the stock market and the size of the firm.So,we should choose the big and representative one in the asset allocation,and should decide the right time to use Thematic Investing Strategy in the market.