An Empirical Research On Selecting Stocks Multi-Factor Model

Since 90 s,the capital market and the securities market of our country have made rapid development.China's capital market from the first only dozens of listed companies,to more than 3000 listed companies today,the total market value ranked second in the world.However,we should still see that there are many imperfections and imperfections in China's capital market and stock market compared with those in western developed countries.After hundreds of years of development and change of the stock market in the western developed countries,improve the mechanism,standardized operation,and China's securities market,also faces a variety of non-standard or insider trading,price manipulation and other illegal phenomenon,is in transition to a mature market,immature characteristics.In the securities market of our country,there are a large number of non professional investors,compared with professional investors,their knowledge and experience are not enough,can not change to the stock market make a timely response,therefore,to them,get a higher excess return is very difficult.In this case,what kind of investment theory is used and what kind of investment strategy is chosen is of vital importance.This study is based on Benjamin Graham's value investment theory,and constructs a multi factor model from the point of view of value investment,and tests the model.First,we selected 15 candidate factors and 15 candidate factors to valuation factor,quality factor,financial factor three categories;then stocks selected CSI 300 and CSI 500 stock data from January 1,2008 to December 31,2017 as the number of samples according to the time interval,test the validity of 15 a candidate factor selected by scoring method,determined from four effective factors;finally,to construct the model of effective use of selected factors,and the validity of the model is verified.The multi factor stock selection model based on the theory of value investment is suitable for China's securities market.On the one hand,investors can use value investment theory to construct proper stock picking strategy,which can obtain excess returns from the stock market;on the other hand,the multi factor model stock value investment can effectively promote the rapid development of China's securities market based on health,can achieve the real economy for a better integration of financial markets,has important significance for our overall economic development.