Proceedings of the 3rd International Conference on Internet Finance and Digital Economy (ICIFDE 2023)

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Electrical Vehicle Companies’ Quantitative Stock Selection Strategy Based on Fundamental Factors in China A-Share Market

Authors
YiTong Liu1, XuanYu Lai2, Mi Yan3, *
1Department of Social Science, University of California, Irvine, CA, USA
2Department of Letter and Science, University of California, Davis, CA, USA
3Department of Apparel, Events, and Hospitality Management, Iowa State University, Ames, IA, USA
*Corresponding author. Email: miyan@iastate.edu
Corresponding Author
Mi Yan
Available Online 29 October 2023.
DOI
10.2991/978-94-6463-270-5_48How to use a DOI?
Keywords
quantitative stock selection strategy; fundamental factors; multifactor model; electrical vehicle company
Abstract

As one of the most rapidly evolving industries, Electric Vehicles (EV) have drawn significant attention due to their tremendous growth and development potential. In this paper, we used a multifactor model to develop a quantitative stock selection strategy based on fundamental factors of EV companies in the China A-share market. We scrutinized 33 fundamental factors of 12 listed EV companies from February 1, 2016, to July 15, 2023, and narrowed them down to 11 useful factors by assessing their IC values. The backtest revealed that using a 30-day rolling weighting method to compound the 11 factors to select top-performing EV stocks could yield an additional 19.15% annualized return compared to the benchmark.

Copyright
© 2023 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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Volume Title
Proceedings of the 3rd International Conference on Internet Finance and Digital Economy (ICIFDE 2023)
Series
Atlantis Highlights in Economics, Business and Management
Publication Date
29 October 2023
ISBN
978-94-6463-270-5
ISSN
2667-1271
DOI
10.2991/978-94-6463-270-5_48How to use a DOI?
Copyright
© 2023 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.

Cite this article

risenwbib
TY  - CONF
AU  - YiTong Liu
AU  - XuanYu Lai
AU  - Mi Yan
PY  - 2023
DA  - 2023/10/29
TI  - Electrical Vehicle Companies’ Quantitative Stock Selection Strategy Based on Fundamental Factors in China A-Share Market
BT  - Proceedings of the 3rd International Conference on Internet Finance and Digital Economy (ICIFDE 2023)
PB  - Atlantis Press
SP  - 429
EP  - 435
SN  - 2667-1271
UR  - https://doi.org/10.2991/978-94-6463-270-5_48
DO  - 10.2991/978-94-6463-270-5_48
ID  - Liu2023
ER  -