Research On Constructing Multi-factor Stock Selection Trading Strategy By Using Investor Limitied Attention

In the capital market,investors have always had a wide range of needs for constructing effective investment strategies.At present,due to the rapid development of behavioral finance theory and Internet information technology,the formation process and results of investor behavior have the opportunity to form new information on the Internet.This phenomenon allows us to have a deeper understanding of investors’ information search.Therefore,predict its subsequent investment behavior and the corresponding stock price market performance.Therefore,we can use this information and existing research results to construct new effective investment strategies.Based on the theoretical results of behavioral finance and the support of Internet information platforms,this article uses the stock Baidu search index data from 2011 to 2021 as the proxy variable that investors pay attention to,as an important stock selection index for this article,and considers the corresponding stock company The fundamental data of the stocks is used as the basis for measuring the quality of stocks.It draws on the Fama-French multi-factor model to construct the stock selection model,draws different trading rules from the past,and designs an effective stock strategy.In the case of risk control,back-testing is performed using asset transaction data from 2019 to 2021,and back-testing analysis is performed for trading strategies that include investor concerns and those that do not include investor concerns.The results show that,compared with the investment strategy that only focuses on the company’s fundamental data,the strategy that includes Baidu’s search factor has more robust returns,and the strategy’s effectiveness and feasibility are stronger.The research results and demonstration ideas in this article provide investors with analytical methods and ideas for obtaining relevant information,and demonstrate the feasibility of adding investors’ attention to the multi-factor stock price prediction framework,which can provide investors with more reasonable allocation of investment portfolio methods,and provides a certain reference meaning for investors to obtain more stable and efficient investment income.