The Application Of Value Investment Strategy In China's Stock Market

Since the birth of the capital market,effective investment strategies have been the subject of scholars and investors.Many investment theories and analytical methods have emerged,and the value investment theory has had a profound impact.With the rich and practical application of value investment theory by researchers,the value investment theory has been further deepened and developed.At the same time,the development of China's stock market is becoming more and more mature.The irrationality of the market and the growing variety of risks are challenges for market participants.In view of the pattern of individual investors in China's stock market,it is necessary to study the value investment theory that is in line with individual investors'stock selection operations in China's stock market.Based on the value investing concept,this paper empirically analyzes the CSI 300 Index stock pools with reference to the principle of F-score stock picking strategy proposed by Prof.Piotroski,and examines the applicability and the effectiveness of value investment strategies in China's stock market.The F-score stock picking strategy is to use the company's fundamental analysis to select effective financial indicators to score the target company's stock.The highest score is the stock whose value may be underestimated.Based on the financial indicator data published in the financial statements of the CSI 300 Index in the 2010-2018 range,this paper scores the performance of the constituent stocks,and divides the score according to the score and assigns the same weight to construct the blue chip combination and the performance stock portfolio.In the poor performance stock portfolio,it was found that the yield of the blue-chip stock portfolio was significantly higher than that of the poor stock portfolio.Considering that the holding period of China's stock market investors is generally short,this paper then adopts the method of increasing the sampling frequency to examine the market performance of the F-score strategy after the segmentation period.The results of the test results on the surface of the semi-annual and quarterly holding period,the yield of the combination of outstanding stocks is still significantly better than the poor performance portfolio and the broader market index,and the performance of the strategy under the semi-annual holding period is better.Combined with the actual situation of China's stock market,this paper has made reasonable improvements to the original strategy.The improved strategy(NewF-score)market performance beat the original stock picking strategy.In the historical backtesting of the two strategies,the new strategy achieved higher yields,while the strategy volatility and the maximum drawdown ratio both declined to some extent.Through the test and improvement of F-score strategy,this paper thinks that the stock selection strategy based on value investment theory is applicable to China's stock market,and individual investors can also flexibly use the improved stock selection strategy to achieve stable returns,and also hope to The investment strategy guided by value investment theory can be continuously optimized and developed.