Research On Investment Strategy Of Comprehensive Quality Factors Of A-Share Listed Companies

The fundamental quality of the company is the fundamental factor affecting the stock price of the company.The quality investment of the company is also the bottom line of investment that the investment masters stick to for a long time.But in the real world of investing,people are influenced by subjective factors and more or less abandon fundamental principles.In order to avoid irrational behavior,it is the main idea of fundamental quantitative investment in recent years to use various quantitative models to model and analyze company quality.The core content of this paper is comprehensive quality factor strategy of listed companies.Since corporate quality involves a whole set of processes from raising funds,production and operation,profit from sales to accumulation and reproduction,it is difficult for a single factor to fully reflect the essence of corporate quality.Therefore,this paper applies a variety of corporate quality factors to construct a comprehensive quality factor strategy,and studies the practicability of fundamental quantitative investment in China.In this paper,a company quality factor system consisting of capital structure quality,asset growth,asset turnover,profit quality,cash flow quality and market position with 23 single quality factors is established.Ten effective single factors from five dimensions are selected by single factor analysis,and a comprehensive quality factor weight strategy is established after the factors are synthesized.Weights in this paper,explores the strategy of the potential problems,and carries on the two-step optimization,the first step factor sharing mode is adopted to establish the open stock pool,using PROBM model based on the second step in the first step to eliminate the potential financial fraud risk,establish new stock pool,in the end all get good results the comprehensive quality factor of the strategy.The results show that: first,quality single factor can obtain excess returns,the traditional growth dimension factor and profit dimension factor are still valid,the payable structure factor of market position dimension and the profit accumulation factor of capital structure dimension have significant premium effect;Second,compared with the single dimension of quality factor,the comprehensive quality factor strategy can fully reflect the quality of the company and obtain more stable excess returns.Thirdly,by introducing a screening mechanism in fundamental investment,companies with fraud risk can be eliminated through the model to enhance the robustness of the original strategy and significantly improve the strategic returns.