摘要本文基于多因子选股模型的综合评分法，选取 A 股市场所有股票（不含 ST 股），用 2011 年 1 月至 2016 年 6 月的数据进行实证检验。对样本分别按照 17 个候选因子大小排序，求出 各因子对基准指数的四大评价指标，得出 17 个因子的综合评分。根据 50%的有效因子比率 挑出前 9 个因子作为初步有效因子，删除冗余且超额收益较低的因子，最终确定：自由流通市值、经营活动现金流量净额增长率、市净率、市盈率和主营收入增长率 5 个精选因子，进而构建选股评分模型。本文对 2016 年 7 月至 2017 年 2 月做样本外检验，结果显示通过以上 步骤所构得等权重组合能在样本外检验中获取超额收益。88568

毕业论文关键词：量化投资； 多因子选股模型； 综合打分法

Abstract Based on the comprehensive scoring method of the multi-factor selecting Stock model in this paper, we extract the whole stocks in A-stock market except special treatment stocks to do empirical test with around 5 years of the data from Jan,2011 to June,2016 。 To get the excess return, success probability, information ratio and factor intensity of every factor, all stocks are sorted by the 17 alternative factors successively。 By this step, we get the comprehensive scores of the 17 alternative factors。 According the 50% effective factor ratio of the subjective judge, we pick out the top nine factors as initial effective factors。 Then we delete the factors which are redundant and have lower excess return 。Finally, we get 5 selected factors include: Free circulation market value, net cash flow growth of operating activity, PE ratio , PB ratio and revenue growth to construct the stock-scoring model。 We do the out-of-sample test with the data of the rest months in 2016 and the first 2 months in 2017, the get the conclusion that the equal weighted portfolio constructed by the scoring model can get the excess return 。源Q于D优G尔X论V文Y网wwW.yOueRw.com 原文+QQ75201`8766

Keyword: Quantitative Investment; Multi-factor Selecting Stock Model; Comprehensive Scoring

目录

摘要 2

ABSTRACT 2

1。 引言 4

2。 模型设立 5

2。1  模型简介 5

2。2  模型构建 5

3。 实证检验 7

3。1  数据来源 7

3。2   因子选取 7

3。3   因子有效性From优T尔K论M文L网wWw.YouERw.com 加QQ75201^8766 检验 7

3。3。1 滞后性处理 8

3。3。2 取值替换 8

3。3。3 评价指标计算 8

3。3。4 因子去冗 10

3。4   因子权重分配 10

3。5  样本内检验 10

3。6   样本外检验 12

4。 结论与展望 12

4。1  结论 12

4。2  展望