Performance Analysis of "Event-study-based" Trading Strategies

Student: Nevskii Andrei

Supervisor: Marat Z. Kurbangaleev

Educational Programme: Economics (Bachelor)

Year of Graduation: 2020

This paper aims to construct an event-driven strategy and to compare its performance with one of a possible portfolio constructed using Buy and Hold strategy. Employing data on Russian Blue chips’ stocks prices from 2015 to 2018 and the corporate news this research shows that though event-driven strategy could significantly outperform Buy and Hold strategy in terms of return it is associated with a disproportionately higher amount of risk. Therefore there are better options on the market which could offer higher return at the same level of risk or lover risk at the same return level. The considered events are limited to dividend announcements, financial releases and Mergers and Acquisitions rumors and completions. The results are supposed to be useful for constructing trading portfolios and risk monitoring.

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