UPDATE 6/14: We've just released 'Cloning' for notebooks. If you have access to Research and are looking to see how you can conduct your very own event study, take a look at this notebook and post back with questions and comments.
Previously, we had released a notebook and algorithm that detailed using Share Buybacks Announcements as a trading signal. In this post, we're going to show you an event study conducted in the same Research Environment that takes an in-depth look at share buybacks announcements as a singular event. We collaborated with EventVestor, a data vendor who provides information about corporate events. Find more information about the data and how you can gain access to it by clicking here.
Below is a chart from the notebook that summarizes our findings from the study. In total, we found that while there is a large ~1% movement in stock prices immediately following a buybacks announcement (which most retail investors can't trade on), there is also a drift that follows for several days afterwards with average abnormal returns closing up on .5~1%. This abnormal drift is what we can create a strategy around and we did so here in this notebook and algorithm.
Click the "VIEW NOTEBOOK" button and scroll through the notebook. There's a lot of interesting findings here and I promise you're going to learn a lot.