Research On Quantitative Transaction Of Mixed Multifactor Based On Disposal Effect

Behavioral finance is a hot research topic in the field of finance since the 21 st century.It is subject to the rational human hypothesis of classical financial theory.Many irrational and morphological behaviors appearing in the market cannot be reasonably explained.In this context,the research and application of behavioral finance has received increasing attention.The Fama-French five-factor model is based on the three-factor model and adds the profit level risk factor and the investment level risk factor to try to interpret the market from a more perfect perspective.From the perspective of behavioral finance,this paper adds the CGO factor that measures the effect of treatment to the Fama-French five-factor model,constructs a new mixed six-factor model,and based on the full test of the validity of the model factor,A comprehensive empirical backtesting work was carried out on the single factor CGO strategy,the Fama-French five factor strategy,and the mixed six factor strategy.All the backtest conditions were in line with the actual situation of the market transaction.After backtesting,we found that the mixed six-factor model with CGO factor considerations has a better performance,achieving a one-factor CGO strategy and an Fama-French five-factor strategy on key indicators such as total return,annualized returns,and Alpha,Beta,and Sharpe.The all-round winning performance.This fully shows that the profitability and anti-risk ability of the mixed six-factor model is stronger than that of the single-factor CGO strategy and the Fama-French five-factor strategy.It adapts to the market situation in China in recent years,and the strategy has good timeliness and vitality.The main chapters of this paper include the introduction and construction of behavioral financial factors,model construction and factor testing,and actual backtesting analysis of multifactorial models.In the introduction and construction of behavioral finance factors,this paper first introduces the important behavioral finance knowledge such as prospect theory,disposal effect,and psychological account,and then builds the capital gains based on the disposal effect(Capital Gain Overhang,The CGO factor is introduced,including the consideration of the investment reference cost price and the specific calculation method of the CGO factor,and systematically introduces many classical factors and their construction methods.In the model construction and factor test,around the multi-factor stock selection model,the factor validity test method and the standardization process of the factor are introduced first,and then several weighting methods are comprehensively compared on the multi-factor model weighting method.Advantages and inferiority,combined with the short-term volatility characteristics of today's securities market,introduces a half-life IC weighting method in the model construction to achieve multi-factor model optimization.In the actual back-testing analysis stage of the multi-factor model,based on the actual market data,the stocks of the Shanghai and Shenzhen 300 Index stocks were used as stock pools,and the trading strategy based on the CGO single factor model and the trading based on the Fama-French five-factor model were respectively measured.The strategy and the six-factor trading strategy constructed by the CGO factor and the Fama-French five-factor model are analyzed,and the benefits and risks of the three trading strategies are analyzed,compared and summarized.