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中小微主题量化研究系列:上市公司股东增持行为分析及选股策略-20230615-中信证券

增持事件具备超额收益,但因事件特性差异较大,超额收益差异显著,故应择优参与投资。我们基于增持事件自身特征、被增持标的特点及增持公告的信息价值3个方面下共9个维度建立增持事件评分体系,有效区分增持事件收益情况。基于评分体系,我们构建了精选增持事件组合,我们认为其更适用于熊市或中小盘风格市场。 增持事件具备超额收益但差异较大,应择优参与投资。重要股东具备信息优势、且其增持行为或受市场追随,因而其增持事

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