The Empirical Analysis Of Multi-factor Stock Selection Model

Multi-factor model has a very important position in modern finance theory. Compared with other complicated investment theory, the multi-factor model is easier to apply in the actual market and the simulation result of it equipped with the considerable explanatory power. Therefore, this paper manage to build a stock selection method by using the multi-factor model and we can use the market portfolio to evaluate the effectiveness of the strategy. Multiple-factor assumes that the revenue of stock is influenced by various risk factors and decided combined by premium and exposure of the corresponding factors. When the benefit and risk achieved balanced, risk assets prices follow the arbitrage pricing theory.This paper can be divided into two parts:the part Ⅰ introduces the background of the asset pricing models and part Ⅱ will use the actual data of Chinese stock market to build the multi-factor model and select stocks by it then. Compared with the HS300 that we can examine the result of the model.