Application Of Multi Factor Model In The Research Of Stock Selection In China's Small And Medium Board Market

With the gradual improvement of the efficiency of China's stock price reflecting the information,more and more investors and institutions in the market try to build a model to adapt or predict the change of the stock market by studying the driving factors of the stock prices change.At the same time,computer is also developing rapidly and rapidly for information processing,The ability to process large amounts of data and high frequency data provides a solid hardware foundation for stock research,The application of factor model in stock market has attracted more and more attention.Although many existing research results affirmed the adaptability of multi factor model in Chinese stock market,but due to the strong volatility of stock market and other characteristics,it is difficult for the application of quantitative model.Analysis of the annual yield income data of the quantitative investment fund in 2017,It shows the possibility of applying multi factor stock selection model in small and medium-sized board market.According to the analysis of the characteristics of China's small and medium-sized board market,the multi factor stock selection model based on scoring method is superior to the multi factor stock selection model based on regression in the small and medium-sized board market.By analyzing and analyzing the financial and market data of small and medium-sized listed companies,the applicability of multi factor stock selection model in the small and medium-sized board market is verified,but the gains obtained from the analysis are unstable and time-varying.Improving application effect of multi factor stock selection model in small and medium sized Market,It is necessary to build a social network of institutional investors based on the social network theory combined with the current macroeconomic environment.At the same time,we need to pay attention to the change of strategic validity caused by industry wheel motion,momentum and reversal effect and investor sentiment.