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

At present,investors in A-share market are mainly retail investors.The irrational behavior of investors in the investment process is widespread,making the A-share market ineffective for a long time.As a scientific and rational investment method,quantitative investment can effectively reduce irrational behaviors such as excessive reflection and insufficient reflection in investors' investment process.First of all,by referring to some research results of securities trader,we select 17 factors that may be related to the growth of quoted companies and may affect stock returns.And then,we do the correlation test on these factors and the growth index to get the factor based on the growth of the company.After that,we do significance tests on factors which based on the growth of the company to build multi-factor stock selection model.At last,we take the return of the stock as a dependent variable,and take gross profit margin and inc revenue annual as independent variables,to build multiplelinear regression.Firstly,We test the data from 2008 to 2016 through monthly,quarterly,half a year and annual adjust the position.The results show that the rate of return of four kinds of frequency transfer positions model significantly higher than that of benchmark index.However,the best drawdown is is higher.So,we adjust the number of the model.The results show that with the increase of holdings,the risk has been dispersed,but its profit is also decreasing.And then,we divide the market and test the performance of the model.Finally,we extended the model's return period to 2017,and conducted a sample extrapolation test.The results show that our model is able to gain stable excess returns.This paper combines fundamental analysis with quantitative investment,providing a way of growth stock investment to investors.