Research On Multi-factor Stock Selection Strategy Based On Innovation Ability Of Growth Enterprise Market Enterprises

In recent years,the number and quality of patents in China continue to grow steadily,and patent-related data has gradually become one of the key indicators to evaluate the level of enterprise R&D innovation.When studying the relationship between firms’ innovation capability and stock returns,most scholars focus on evaluating firms’ innovation capability based on the number of patents,but fail to fully consider industry characteristics and patent value when measuring firms’ innovation capability based on patent quality.This paper comprehensively considers the innovation ability of enterprises from the dimensions of patent quantity and quality,and establishes a multi-factor stock selection model of GEM market on this basis,so as to verify whether enterprises with innovation ability can obtain excess returns in the capital market.In this paper,on the basis of quantitative investment and technological innovation theory,the use of Z-Score method,IC method,principal component analysis and other data processing and factor test synthesis method to construct the innovation factor,and then build a multi-factor stock selection model containing innovation factor,innovation factor and stock selection model effect analysis.Firstly,between January 2011 and December 2015,as a factor screening test interval,with gem stocks 10 patents related data,including the number of an application for a patent for invention,the invention patents authorization number,an application for a patent for utility model number,number of utility model patent licensing,patent cited frequency and the number of active inventor,a total of six innovation statistical factor,Four innovation strength factors,including the proportion of core patents,technology layout,R&D stability and R&D efficiency,were created and screened to obtain the innovation factors,and then synthesized to obtain the innovation statistics factor(category)factor and innovation strength segmentation factor.Secondly,the innovation factor and the traditional factors that have passed the inspection and screening in the sample are taken as the factor pool,and the model test period from January 2016 to December 2021 is taken as the model back test period.Different positioning frequencies are set,and the stock selection model is established and tested.Then,the effect of the innovation factor is compared with the strategy without innovation factor,and the two-year position adjustment strategy is selected as the multi-factor stock selection strategy constructed in this paper.Finally,the results of the backtest of the strategy constructed in this paper are compared with the returns of relevant indexes and the GEM index benchmark under bull and bear markets to verify the validity of the stock selection scheme.Based on the above strategic thinking,this paper successfully constructed and screened out effective innovation factors,improved the patent evaluation index of enterprises’ innovation ability,and constructed an effective multi-factor stock selection model based on the innovation ability of gem enterprises,indicating that the constructed innovation factor does have the Alpha attribute that traditional factors do not have.Through the comparison between results of different frequency test next time the storehouse and found that the constructed innovation factors can improve the strategy and make it more stable returns,choose a role in when the cycle is longer than the more highlights,at the same time with the other index and cattle bear market benchmark index returns the gem contrast it is concluded that the constructed innovation factor can actually select stocks can get excess returns innovation,Traditional factors can also supplement innovation factors in terms of factor exposure.