Quantitative Multi-factor Stock Selection Strategy Based on Internet Service Industry

Abstract

As a matter of fact, with regard to stock investment practice, quantitative strategies have become popular with the rapid development of China's capital market. Plenty of quantitative strategies have been proposed and implemented into the Chinese markets, where multi-factor stock selection is one of them. Based on the multi-factor model commonly used in quantitative investment, this article selects relevant data of the Internet service industry in the A-share market from 2018 to 2022, conducts an industry-level empirical test on 15 factors in 5 categories that are widely used, and constructs investments accordingly combination. According to the analysis, the research found that the stock portfolio constructed based on the above method can outperform the market, far exceeding the performance of the CSI 300 during the same period, indicating that the multi-factor model is still effective in the Internet service industry, and this industry has high investment value. Overall, these results shed light on guiding further exploration of quantitative analysis of stock market.