Stock Selection Strategy,Excess Return And Its Feasibility Study

After decades of development,value investing strategies are still very hot stock investing ideas.Adhering to the concept of value investment and constantly enriching stock investment strategies is also the direction of continuous research by domestic and foreign scholars.By analyzing the relationship between corporate fundamentals and financial indicators and stock returns,this paper verifies the effectiveness and strategic advantages of value investment strategies in the A-share market on the basis of seeking a stock selection model that can obtain excess returns.Guided by the concept of value investment,a large number of financial indicators involved in the fundamental analysis of listed companies are selected,and the single-factor validity of each financial indicator is tested according to the combination of IC mean,T value,P value and Alpha value.Financial factors with high correlation with stock returns are synthesized into six categories of factors through Z-score standardization,and a six-factor stock selection model is constructed according to the six categories of factors.Through the Z-score comprehensive scoring model,the constructed six-factor model is evaluated.According to the final Z-score synthesized by the six categories of factors as the scoring basis,the top 50 stocks in each quarter are selected to construct a stock portfolio.And perform a return test.Finally,it is found that the six-factor stock selection model constructed through fundamental financial indicators can more effectively and stably obtain a cumulative return that is greater than the market performance,and can still maintain a good level of profitability after deducting the risk-free return.According to the income effect and analysis conclusion of the stock selection model,we found that the multi-factor stock selection model constructed by selecting effective financial indicators based on the fundamental financial indicators,and the stock portfolio constructed by this,are the basis for effectively outperforming the market.The return level of the index,and then the excess return is obtained.At the same time,the conclusions of the article also provide theoretical support for the effectiveness of value investment strategies in my country’s A-share market,and the new factors screened for predicting stock returns can also be used for reference by investors.