Multi Factor Quantitative And Empirical Research Based On Chinese Stock Market

With the arrival of the era of Big-Data,the financial industry has also ushered in its"Big-Data",Quantitative investment.Quantitative investment not only exists in foreign countries,but also in China's financial market.Its ideas and concept in the financial market begin to rise.when China's financial reform getting intensified,research in quantitative investment to deal with the more open market is the irreversible trend.This paper applies multifactor model on three industry,and test the yield of each sector out of sample.Before the empirical analysis,in order to make the model more reasonable,the paper introduces the development of quantitative the main quantitative investment approach in detail.Besides,the paper explores the multifactor model which based on CDF and the rationality of the Fama-Macbeth test method.In th empirical process,after selecting the effective factors of various industries,the paper test the sample based on time-varing dynamic weighting method,applying the combination of Fama-Macbeth statistics.Excess return is followed after taking full account of the transtracion costs,the trading frequency and the time lag of financial statement and so on.Finally,this paper concludes that stock return rate of the different sectors,does have a different performance on different fundamentals.Even if the weak market,the portfolio which is constructed by the strategy followed with different sectors through using its effective factor still has higher income.The multi factor model can be used as an investment strategy,and it also provides a foundation for the deeper and more extensive mining in other facors.