How to measure an event driven investment strategy?
Say I have a strategy which I assume that if a firm has positive momentum and it has a refinance corporate action, it's value will increase.
For strategies like this? How do I measure it?

  • $\begingroup$ Get a list of all Corporate Refinancing events for the S&P 500 for the last 10 years and compute what percent return you could have made and with what volatility. $\endgroup$
    – noob2
    Apr 25 '16 at 20:49

I would do regression analysis with a dummy variable. Take a large sample of companies, and add a 0 - 1 dummy variable where that variable is equal to 1 if it meets the momentum and refi criteria, and 0 otherwise. The coefficient will indicate the magnitude and the t-statistic the significance.


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