事件驱动选股：量化识别主线行情下的补涨机会

• The report introduces a "Market Concentration Indicator" to quantify the phenomenon of stock price concentration during major market trends[1][11] - The Market Concentration Indicator is constructed by calculating the average price increase of the top 30% of stocks and subtracting the median price increase of the entire market[16][17] - The indicator has shown significant predictive power for short-term market returns (1-6 weeks) but negative predictive power for medium-term returns (8-12 weeks)[2][18] - The "Event-Driven Strategy" identifies lagging stocks within a leading industry/theme and buys them, holding for 60 trading days[28][29] - The strategy is tested using two classification standards: industry-based and theme-based, with industry-based classification showing higher returns and win rates[29][37][44] Model Backtest Results - Market Concentration Indicator: Positive correlation with future market returns for 1-6 weeks (2.60%, 4.20%, 4.90%, 1.60%)[21] - Event-Driven Strategy (Industry-based): 60-day return of 5.42%, highest return of 8.65% at T+24, win rate of 65% at T+14[29] - Event-Driven Strategy (Theme-based): 60-day return of 4.18%, highest return of 6.11% at T+24, win rate of 61% at T+11[37]