The research question in this paper is a study of the investment value of stocks in the Growth Enterprise Market (GEM) sector. To address this question, 15 variables from 50 stocks in the GEM sector were randomly selected for factor analysis in this paper. Through steps such as KMO and Bartlett's spherical pre-test, the 15 variables were summarized into five common factors, namely: financial risk factor, profitability factor, growth factor, total asset utilization factor and collection capacity factor. Finally, based on the five common factors, the factor scores of each of the 50 stocks were calculated and ranked to obtain the five stocks with the most investment value: Goldfish, Win Style, Aier Eye Care, Anchor Innovation, Vacheron Constantin and the five stocks with the least investment value: Huatu Shanding, Venture Blackhorse, Mei Ansen, He Ren Technology, Gu Ao Technology. In the subsequent further validation, the top five stocks were found to have high investment value.