0
$\begingroup$

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?

$\endgroup$
  • $\begingroup$ 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
2
$\begingroup$

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.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.