开源量化评论（118）：股权激励与股票回购事件在选股中的应用

Quantitative Models and Construction Methods 1. Model Name: Event-Driven Stock Selection Strategy Based on Internal Incentive and Commitment Events - Model Construction Idea: The model leverages three core internal incentive and commitment events—equity incentives, employee stock ownership plans (ESOPs), and stock repurchase plans—to construct an event-driven stock selection strategy. These events are considered to have significant pricing implications for stock performance[3][4][14] - Model Construction Process: 1. Equity Incentive Strategy: - Select stocks that announced equity incentive plans within the past 60 calendar days - Exclude stocks that terminated equity incentives by the end of the month - Use equity incentive scale as a positive indicator and executive shareholding ratio as a negative indicator - Normalize scores using z-score and select the top 15 stocks for equal-weighted holding - Rebalance monthly with a transaction fee of 0.3% per side[119][121] 2. ESOP Strategy: - Select stocks that announced ESOPs within the past 60 calendar days - Exclude stocks that terminated ESOPs by the end of the month - Use ESOP scale as a positive indicator and select the top 15 stocks for equal-weighted holding - Rebalance monthly with a transaction fee of 0.3% per side[124][127] 3. Stock Repurchase Strategy: - Select stocks that announced stock repurchase plans within the past 60 calendar days - Rank stocks by trailing twelve-month (TTM) net profit and select the bottom 15 stocks for equal-weighted holding - Rebalance monthly with a transaction fee of 0.3% per side[131][133] 4. Multi-Strategy Fusion: - Combine the above three strategies into a unified portfolio using equal weighting - Rebalance monthly to form a composite investment strategy[138][140] 2. Model Evaluation - Equity Incentive Strategy: Demonstrates strong long-term performance with significant excess returns over the benchmark, indicating its effectiveness in capturing pricing signals from equity incentive events[121] - ESOP Strategy: Shows robust excess returns, with larger ESOP scales generally leading to higher future returns, reflecting the market's positive response to employee ownership[127] - Stock Repurchase Strategy: Exhibits higher volatility and less stable excess returns compared to the other two strategies, but still provides meaningful pricing signals, especially for companies with low current profitability[136] - Multi-Strategy Fusion: Combines the strengths of individual strategies, achieving complementary effects and delivering stable excess returns over the benchmark[141] --- Model Backtesting Results 1. Equity Incentive Strategy - Annualized Return: 27.02% - Annualized Volatility: 33.16% - Sharpe Ratio: 0.83 - IR: 1.13 - Maximum Drawdown: -54.89%[121][122] 2. ESOP Strategy - Annualized Return: 20.92% - Annualized Volatility: 29.00% - Sharpe Ratio: 0.73 - IR: 1.05 - Maximum Drawdown: -57.34%[127][128] 3. Stock Repurchase Strategy - Annualized Return: 16.04% - Annualized Volatility: 27.75% - Sharpe Ratio: 0.6 - IR: 0.8 - Maximum Drawdown: -36.15%[136][137] 4. Multi-Strategy Fusion - Annualized Return: 22.62% - Annualized Volatility: 29.58% - Sharpe Ratio: 0.77 - IR: 1.13 - Maximum Drawdown: -56.03%[141][142] --- Quantitative Factors and Construction Methods 1. Factor Name: Equity Incentive Scale - Factor Construction Idea: The scale of equity incentives reflects the intensity of management's commitment to improving company performance and aligning interests with shareholders[87] - Factor Construction Process: - Calculate the proportion of granted shares to total shares based on equity incentive announcements - Group samples into quintiles and analyze cumulative returns over 60 trading days post-announcement[87][88] - Factor Evaluation: Larger equity incentive scales are positively correlated with stronger stock performance, indicating effective alignment of management and shareholder interests[87] 2. Factor Name: ESOP Scale - Factor Construction Idea: The scale of ESOPs indicates the degree of employee engagement and alignment with company performance[89] - Factor Construction Process: - Calculate the proportion of ESOP shares to total shares based on ESOP announcements - Group samples into quintiles and analyze cumulative returns over 60 trading days post-announcement[89][91] - Factor Evaluation: While not strictly monotonic, larger ESOP scales generally lead to better stock performance, making it a useful positive indicator[91] 3. Factor Name: Stock Repurchase Scale - Factor Construction Idea: The scale of stock repurchases reflects management's confidence in the company's valuation and future prospects[93] - Factor Construction Process: - Use the maximum repurchase amount as a proportion of total shares to measure repurchase scale - Group samples into quintiles and analyze cumulative returns over 60 trading days post-announcement[93][95] - Factor Evaluation: Higher repurchase scales are associated with better stock performance, particularly for mid-to-high scale groups[95] --- Factor Backtesting Results 1. Equity Incentive Scale - Highest Quintile Annualized Return: >35%[90] 2. ESOP Scale - Highest Quintile Annualized Return: ~30-35%[92] 3. Stock Repurchase Scale - Second-Highest Quintile Annualized Return: ~50-60%[95] 4. Multi-Strategy Fusion - Annualized Return Range: 21%-28% across different parameter settings[149][150]