Investment strategy analysis based on three-factor stock selection model

—Take the CSI 500 Index constituent stocks as an example

DOI

10.2991/978-2-38476-257-6_66How to use a DOI?

Keywords

three-factor stock selection model; quantitative investment; debt leverage

Abstract

With the continuous development of quantitative investment concepts, multi-factor stock selection models, as an important part of it, have stable performance in different market environments. This article optimizes the three-factor stock selection model, taking the CSI 500 Index constituent stocks as an example. Based on the research on the three-factor model, the debt leverage factor is introduced to optimize the stock selection model. The empirical test results show that the new stock selection model is significant among the CSI 500 index constituent stocks. Based on this, this article believes that the new stock selection strategy has certain investment reference value.

Copyright

© 2024 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Junhao Liang
PY  - 2024
DA  - 2024/05/27
TI  - Investment strategy analysis based on three-factor stock selection model
BT  - Proceedings of the 2024 International Conference on Applied Economics, Management Science and Social Development (AEMSS 2024)
PB  - Atlantis Press
SP  - 552
EP  - 559
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-2-38476-257-6_66
DO  - 10.2991/978-2-38476-257-6_66
ID  - Liang2024
ER  -