A Single Factor Strategy Based on the Announcements of Shareholders Increasing Stakes in Chinese Financial Market

DOI

10.2991/aebmr.k.210917.015How to use a DOI?

Keywords

Stock, strategy, shareholder, announcement

Abstract

In this study, we use the public announcements of shareholders increasing stakes to examine the impact of the events to stock prices. We prove that shareholders increasing stakes have a positive impact on stock prices as the number of stocks with a higher daily return after the release of the announcements is larger than the number of stocks with a decrease in return. Among companies, managers, and individuals in companies, the announcements associated with managers increasing their stakes yield the highest number of stocks with an increasing return and provide the best performing strategy comparing the other two. We, then, design an investment strategy based on the announcements of managers increasing stakes, and justify the effectiveness and efficiency of it by showing the excess return in comparison to the market return.

Copyright

© 2021, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Jiayi Wang
AU  - Yibing Chen
PY  - 2021
DA  - 2021/09/18
TI  - A Single Factor Strategy Based on the Announcements of Shareholders Increasing Stakes in Chinese Financial Market
BT  - Proceedings of the 2021 International Conference on Financial Management and Economic Transition (FMET 2021)
PB  - Atlantis Press
SP  - 87
EP  - 94
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.210917.015
DO  - 10.2991/aebmr.k.210917.015
ID  - Wang2021
ER  -