Portfolio Analysis Of Multi-factor Stock Selection Model Based On Regression Method

Recent years have seen the blooming of the quantitative trading throughout the world,and quantitative trading has also attracts more and more attention from the security industry.Meanwhile,the market has begun to understand the philosophy of the quantitative trading,and besides this quantitative trading has become a hot issue in the market.Although quantitative trading is on the starting point in China,quantitative trading has shown its positive effect with a good outlook.Base on the financial reform being on the progress,there will be a lot need to do further studying with the quantitative trading.As a hot issue in foreign quantitative trading area,Multi-Factor is also popular in China.The Multi-Factor model tries to use some factors to explain the reason of the movement of the price.What's more,it's also very useful for the security industry and funds to do some further research in quantitative trading.As we know,most models is based on the Multi-Factor model.So,it will be very important to look for an effective model for the whole security industry.The sample data selected in this paper is the financial indicators and other factors in the CSI 300 stock market during 2011-2016.As for the selection of factors,the market experience and the meaning of the factors are considered.Firstly,this article carried on single factor test.Secondly,the article took the Fama-MacBech test to delete the factors which were not obvious.Thirdly,the correlation coefficient matrix of residual factor was then calculated,and the factors which have multicollinearity were deleted.Lastly,the remained factors were analyzed by stepwise regression;the final regression model was decided.In the empirical part of innovative,the article added constraints to empower the effective stock,and the four group stocks performed well portfolio during the holding period,we can confirmed that the model is valid.The research stresses on the practice of the Multi-Factor model.And it is very useful for us to understand this model.I hope the paper could make readers have a deeply understanding on selecting stocks by Multi-factor model.