Study On The Construction Of Multi-factor Stock Selection Model Based On Growth

In recent years, an upward tendency doesn't show in A-share market, investors couldn't get a good revenue by passive investment method. Meanwhile, the performance of traditional active investment method is not satisfactory either. Therefore, multi-factor mode appears.This article starts from the perspective of firm growth. By setting YoY growth rate of net cash flow per share from operating activities as growth factor, author analyses all listed companies in A-share market in nearly a decade. By dividing the stocks into five groups of portfolio, according to the factor value, the effectiveness of factor is tested. The results show that the YoY growth rate of net cash flow per share from operating activities is a good growth factor. It identifies the firm growth well. The highest excess return (CAGR) of portfolio reaches 2.7%, with good stabilization.By adding price-to-sales ratio factor, the investment performance gets better. Excess return (CAGR) reaches 5.4%, with improvement in stabilization. The effect of P/E ratio factor is poor. It doesn't improve the excess return of growth stock investment.As growth stock investment is subjective, a lot of information and logic cannot be used through quantitative method. Therefore, this article also offers a promotion project of the quantitative model. On the basis of narrowing the investment scope by multi-factor mode, subjective investment theories are considered. By using the life-cycle theory, five model, competitive strategy theory, etc, growth stock investment becomes more scientific.By the combination of quantitative method and subjective investment ideas, this article offers a complete growth stock investment system.