Empirical Study On Multi-Factor Stock Selection Model Based On Emotional Coefficient

The year of 2015 is a profound memory of our investors,in this year,the stock market experienced a big drop,there are thousands of daily limit also has thousands of shares limit,many investors reflect that there are many opportunities in the market but still can't get profit.Even in the crash market suffered heavy losses,and observed that foreign quantitative investment strategy is able to fall in the stock market in the sudden emergence of a stable profit.In recent years,domestic investors are widely circulated a word is"Once you get the quantity,you get the world",quantitative investment has also begun in the rapid development of China's stock market,but comparing to foreign countries,the kind of quantitative investment strategy is still not rich enough,both in the number or size are very different between China and developed countries of the quantitative fund.It is believed that with the development of mathematical finance and behavioral finance,the increasing number of investment targets and the continuous enrichment of financial products,the development of quantitative investment strategy will become the inevitable trend in China.At the same time,because most of the quantitative funds in our market are adopted by the traditional multi-factor stock selection model,and the lack of market risk description,resulting in can't choose the time to buy and sell.Therefore,this paper optimizes the traditional multi-factor stock selection model,fuses the emotion coefficient when constructing the multi-factor stock selection model,and proves that the multi-factor stock selection model based on the emotion coefficient is superior to the traditional multi-factor stock selection model.The quantitative strategy of this paper is divided into two steps,timing and stock picking.Timing is to determine the risk of the broader market in the broader market when the high risk to avoid investment;stock pick is to choose the probability of rising stocks to build stock pool.Specifically,the first choice of six emotional indicators to do the main component analysis,to build the sentiment factor,through the sentiment factor of the broader market to choose the smaller risk of investment;secondly,the composition of small and medium-sized 300 stocks of the fundamentals and technical factors Multi-factor stock selection model,selected the basic earnings per share growth rate,operating net cash flow growth rate,the number of holdings,book value and turnover rate of five factors,through the five effective but not redundant Factor to build a comprehensive score selection model.The empirical results show that the multi-factor stock selection model based on the emotion coefficient is more effective than the traditional multi-factor stock selection model in the sample space,and it enriches the quantitative investment strategy.