Value Investment:Factor Analysis On The Stock Selection Model And Portfolio Performance

Nowadays, the capital market plays a more and more important role in the national economy, the future do poineering work board the market can develop directly from the GEM Listing Corporation with investment value and determines whether the overall. With the economic system reform of continuously thorough, the smooth implementation of enterprise merger and reorganization, the reform of share-holding system has become an important form of enterprise organization enterprise indispensable, as publicly listed on the stock market in recent years, the issuance of shares of companies are more and more. The capital market has become the core of modern economic development, the listing Corporation as a whole operating performance directly determines whether the securities markets can develop healthy and stable.Described as this paper, with the development of time and the economic situation, more and more choice of listing on the GEM market enterprises, should rely on the traditional qualitative value investment analysis is difficult in many listed companies choose a high investment, high growth and value stocks, as individuals or institutional investors how to choose more valuable, more growth stocks? This is a complex problem which has academic significance and practical significance. And China’s capital market by many scholars and confirmed that still is not a complete and efficient capital market, information asymmetry phenomenon of market failure is more also exist, so in this market to deviate from the intrinsic value or the mispricing of stock is also more.The analysis of this research method chosen is based on qualitative value of the investment on the basis of the analysis, the scientific selection of evaluation indexes of non cyclical industries, the gem, and precise mathematics model, factor analysis model of selected indicators were comprehensive evaluation by establishing, by a few factors to describe the many links between indicators, and in order to do poineering work board the non cyclical industry listing Corporatione valuation and order, at the same time that the comprehensive score. In this paper, based on the factor of stock selection model, on the basis of the theory of value investment, the use of the method of fundamental analysis details of some financial indicators of noncyclical industries listing Corporation do poineering work board, and combined with the statistical test method, in order to help investors identify the most investment value of the stock portfolio. This paper first introduces some related knowledge of value investment, the development of the situation at home and abroad, literature review, and then introduces some basic concepts involved in the factor of stock selection model. Then we established factor stock selection model, we can get a comprehensive scoring model, and verifies its effectiveness.In this paper, the author according to economic logic and the domestic and foreign scholars for many years the potential market experience, and according to the availability of data in the initial screening out8indicators for China gemnon cyclical industry listing Corporation, respectively, the net asset value, ROE,ROA, the growth rate of business income, operating profit growth rate, net profit growth rate, sales gross margin, the interests of the shareholders. Through factor analysis, this paper will be8indicators are reduced to a factor of four, and the establishment of the contribution rate of Z comprehensive evaluation model weights, to determine the optimal portfolio of stocks of a number is5. The model was tested using2014July to2014September the gem index returns, the rate of return of the portfolio and the same period the gem index returns, can prove by the establishment of factor stock selection model portfolio is effective, which can provide reference and suggestion for the investment shares the purpose of investors. Through inspection by the gem index, and validate the stock portfolio in most cases better than the gem index.The innovation of this paper lies in, the fundamental value of the investment analysis theory was introduced Chinese gem market, and will do poineering work board the stock were distinguished according to the cyclical industry and noncyclical industries, the successful elimination effect for different industry cycles, each index, moreover, through the use of factor analysis to classify the indicators selected and calculation score, and based on the GEM stocks and the gem index higher scores to select the yield comparison.The shortage of this article is, because of my ability and time is limited, the index selection and data processing is not fine; this paper selects stocks for gem noncyclical industry stocks, testing time is short, so the index of less sample data according to the structure, resulting in higher factor scores do pioneering work board the stock portfolio yield curve robustness is poor, the existence of large retracement.