中金：基于事件信号的绝对收益策略

Core Insights - The report focuses on the application of event signals in the A-share market and the construction of strategies based on these signals [2][11] - Short-term event signals show a high win rate and can capture market inefficiencies, while long-term event signals indicate potential investment opportunities but require multi-dimensional analysis for better certainty [11][25] Short-term Event Signals - Short-term events include high dividend announcements, deep report coverage recommendations after a year, upward profit forecast adjustments, earnings announcements exceeding consensus expectations by 20%, and index inclusion announcements [12][13] - The cumulative excess return win rate for these events is close to 60% within 20 trading days, indicating significant market reaction inefficiencies [4][12] - A strategy based on these short-term events has achieved an annualized return of 18.0% and a Sharpe ratio of 1.47 from 2015 to 2025, with positive returns even in years of high systemic risk [4][41] Long-term Event Signals - Long-term events include announcements of share buybacks, upward profit forecast adjustments, and stock incentive plans, which generally have a higher risk-reward ratio and moderate win rates [5][25] - The annualized excess return for a strategy based on long-term events can reach 14%, with a significant portion of excess returns generated from 2021 to 2025 [5][25] - Basic factors such as shareholder count changes and earnings quality contribute positively to long-term event strategies, while price-volume factors show limited effectiveness [5][25] Mechanisms of Excess Returns - Excess returns arise from the mispricing of stocks relative to their actual value, driven by factors such as market overreaction, underreaction to positive news, and specific fund flows during index adjustments [7][8][9] - Short-term price deviations often occur due to market sentiment and insufficient reactions to positive earnings announcements, particularly in small-cap stocks [8][14] - Long-term price deviations can be attributed to low market attention and insufficient pricing of fundamental trends, which can be exploited through in-depth fundamental analysis [9][25] Strategy Optimization - The report suggests optimizing short-term event signals by incorporating robust growth factors and liquidity factors to enhance returns [28][39] - For index adjustment events, the strategy should focus on stocks with low prior performance and good liquidity, as these factors have shown predictive power for future returns [39][41] - The strategy's performance is sensitive to the amount invested per signal, with recommendations to keep individual signal investments below 20 million yuan to maintain optimal returns [46][47]