An Empirical Analysis Of Quantitative Stock Selection Strategy Based On Multi Factor Model Scoring Method

In early twentieth Century the Dow Jones and his successors proposed Dow Theory,the two kinds of average index to determine the overall situation of the market.In Graham in 1934 published the famous "security analysis" before the market is full of speculation atmosphere,after this masterpiece,to a rational and scientific investment,investment is the main method of Graham:the importance of financial statements analysis and quantitative analysis,his investment approach is based on the correct attitude,intrinsic value and the safety margin of the three on the basis of A.On this basis,Graham put forward to find undervalued common stock investment strategy:ordinary shares from the qualitative point of view and make all investors happy,and at the same time to quantitative indicators of earnings,dividends and net assets have a low price relative to the sale,but the condition is very difficult to be satisfied,in order to the first condition of relaxation by qualitative research promising future,but the quantitative qualified securities.With the development of financial theory,economists put forward effective market theory,the theory that the stock price can appear on the information quickly make adjustments,so that the new stock price can reflect all relevant market information,the capital asset pricing model is a typical representative of the effective market theory.But many economists have verified that the market is not always effective,and most of the global market are not effective,based on this,he put forward the weak efficient market,semi strong efficient market and strong efficient market theory.Since the proposed Markowitz mean variance model,security analysis and portfolio management into the mathematical model of the era,including the arbitrage pricing model later,of which Fama-Freanch risk factor model provides an explanation and measure of the risk premium.Especially with the wide application of computers and the continuous improvement of large data processing,quantitative investment in the ascendant,quantitative funds become a market can not be ignored.China's stock market started late,in early 90s,the Shanghai stock exchange and Shenzhen stock exchange have been established,marking China's stock market has entered a new stage,the Shanghai stock exchange turnover from the early years of less than 100 million,but now the daily turnover broken trillion,has been considerable the development,also occupy an increasingly important position in the world financial market.But the development of China's securities market is still not perfect,the market speculation atmosphere is strong,institutional investors as the main value of the investment in the market position is very small.The innovation of this paper is through the establishment of an effective factor library,analyses each factor,and the interaction between factors were discussed,finally got some influential factors on the rate of stock return,in order to explore the combination among the factors,in order to obtain greater returns.This paper constructs a kind of wind style factor,growth factor value class and contains all factor integrated style factors,and each factor on the stock style group after the monthly return and cumulative yield to evaluate the performance and effectiveness of the model in the.In addition,this paper also verifies the excess return,momentum effect and scale effect of the low market rate combination.In this paper,the relevant theory is reviewed,and on this basis to expand,establish a multi factor model,and use the model to analyze,construct portfolio,guide the investment practice of the securities market.This paper is divided into five parts:The first part,introductionThis paper introduces the research background,research significance,introduces the research content and the innovation of this paper.The second part,the related theory and literature reviewThis paper introduces the theory related to the model,including the development of value investment and quantitative factors theory,and reviews the relevant literature at home and abroad.The third part,empirical studyThis paper introduces the research design,sample and data,constructs the factor library which is needed in this paper,and tests the factors,and the performance of different styles of factors is also studied.The fourth part,robustness test.In order to study the stability of the model in the conditions change,the change of the statistical range,and at the same time the empirical part group group number is composed of five groups is divided into ten groups,compared to the maximum and minimum score portfolio portfolio and benchmark rate of return,in order to verify whether the model is valid.The fifth part,the conclusion and Prospect of this paper.This chapter summarizes the main conclusions of the empirical study,and the conclusions are analyzed.After that,there are still some defects in this paper and some problems that need to be further studied,and some ideas are put forward.Through the empirical research,the main conclusions are as follows:Through the analysis of many factors,a composite factor way to obtain excess returns relative to the reference,there is a monotonic relationship between the portfolio yield,the highest score of the combination of the highest yield,the lowest score of the portfolio return rate is the lowest,t test in combination with the highest score on the benchmark results showed the presence of significant difference.