Content: --------- 【金工】多视角打造事件驱动策略库 随着经济结构转型，传统依靠盈利增长进行选股的模式难度加大，偏股混合基金指数超额收益面临衰退，而事件 驱动策略的定价逻辑清晰可以作为机构选股方法的重要补充。 主营产品涨价选股策略：冷门股由于关注度低常存在反应不足的特点，跟踪400种产品现货价格和相应的1300家 上市公司股价，当产品价格上涨而股价未有显著变化时，买入相应个股的性价比较高。 平稳创新高选股选股策略：根据对股市微观结构的研究，成交量平稳且上行延续性较好的股票其价格上涨更加稳 定。通过对个股涨幅、上涨平稳性、量比等条件的定量刻画筛选出符合条件的个股，可作为趋势交易策略的参 考。 指数成分股调整套利策略：随着被动投资理念的普及和股票ETF规模增长，当指数成分股发生调整时，被动资金加 仓有望驱动股票价格上涨，通过预测调入成分股并且提前布局可以实现套利收益。基于日历效应的选股策略：不 同行业板块的盈利存在淡旺季，会引发投资者关注度的季节性变化，而关注度提升容易带来增量资金，使得股价 产生日历效应。但是策略并非对收益率时间序列的简单统计，而应该结合关注度等指标进行综合选股。 盈利超预期策略：盈余公告后价格漂移现象在A股较为显著，通过上市公司财报、分析师预测行为变化定义业绩超 预期信号，从而筛选出符合条件的个股。入通选股策略：南下资金规模近些年持续增长，当新股首次入港股通后 有望获得南下资金的加仓，进一步对个股盈利模式以及与A股上市公司差异性比较，可筛选出容易被内资关注的个 股。 风险提示：本报告结论完全基于公开的历史数据进行计算，不构成投资收益的保证或投资建议。股市系统性风险 发生使得各类规律失效。宏观和产业政策超预期改变市场交易环境。报告中的模拟组合构建在实际投资中难以完 全复制，主要是证明方法论的有效性。本报告所涉及个股案例仅用来证明量化选股方法的有效性，而不构成个股 推荐。 >>以上内容节选自国泰君安证券已经发布的研究报告：多视角打造事件驱动策略库，具体分析内容（包括风险提示等）请详见完整版报告。 --------- Quantitative Models and Construction Methods Model Name: Main Product Price Increase Stock Selection Strategy - Construction Idea: Focus on stocks with low attention that often have insufficient reactions to price changes[26] - Construction Process: Track the spot prices of 400 products and the stock prices of 1300 listed companies. When the product price rises but the stock price has not changed significantly, buy the corresponding stocks[26] - Evaluation: High cost-effectiveness due to low attention and insufficient reaction[26] Model Name: Stable New High Stock Selection Strategy - Construction Idea: Stocks with stable trading volume and continuous upward trend have more stable price increases[27] - Construction Process: Quantitatively describe conditions such as stock price increase, stability of price increase, and volume ratio to screen out eligible stocks[27] - Evaluation: Can be used as a reference for trend trading strategies[27] Model Name: Index Component Stock Adjustment Arbitrage Strategy - Construction Idea: Passive funds increase positions when index component stocks are adjusted, driving stock prices up[27] - Construction Process: Predict the stocks to be included in the index components and layout in advance to achieve arbitrage returns[27] - Evaluation: Beneficial due to the growth of stock ETFs and the popularity of passive investment concepts[27] Model Name: Calendar Effect Stock Selection Strategy - Construction Idea: Different industry sectors have seasonal changes in profitability, leading to seasonal changes in investor attention[27] - Construction Process: Combine attention indicators to comprehensively select stocks, rather than simply statistically analyzing the time series of returns[27] - Evaluation: Takes advantage of seasonal changes in investor attention to bring incremental funds[27] Model Name: Earnings Surprise Strategy - Construction Idea: Price drift phenomenon after earnings announcements is significant in A-shares[27] - Construction Process: Define earnings surprise signals through changes in company financial reports and analyst forecast behavior to screen out eligible stocks[27] - Evaluation: Effective in capturing price drift phenomenon after earnings announcements[27] Model Name: Southbound Stock Selection Strategy - Construction Idea: Southbound funds have been growing in recent years, and new stocks entering the Hong Kong Stock Connect are likely to receive increased positions from southbound funds[27] - Construction Process: Compare the profitability model of individual stocks and the differences with A-share listed companies to screen out stocks that are likely to be noticed by domestic investors[27] - Evaluation: Beneficial due to the continuous growth of southbound funds[27] Model Backtest Results - Main Product Price Increase Stock Selection Strategy: No specific test results provided[26] - Stable New High Stock Selection Strategy: No specific test results provided[27] - Index Component Stock Adjustment Arbitrage Strategy: No specific test results provided[27] - Calendar Effect Stock Selection Strategy: No specific test results provided[27] - Earnings Surprise Strategy: No specific test results provided[27] - Southbound Stock Selection Strategy: No specific test results provided[27]
