Research Article
An Empirical Study on Quantitative Investment Stock Selection Strategy Based on Fundamental Factors and Coefficients Combined with Entropy Method
@INPROCEEDINGS{10.4108/eai.18-11-2022.2327127, author={Lu Nan}, title={An Empirical Study on Quantitative Investment Stock Selection Strategy Based on Fundamental Factors and Coefficients Combined with Entropy Method}, proceedings={Proceedings of the 4th International Conference on Economic Management and Model Engineering, ICEMME 2022, November 18-20, 2022, Nanjing, China}, publisher={EAI}, proceedings_a={ICEMME}, year={2023}, month={2}, keywords={stock selection strategy; stock market; quantitative investment; fundamentals; multi-factor}, doi={10.4108/eai.18-11-2022.2327127} }- Lu Nan
Year: 2023
An Empirical Study on Quantitative Investment Stock Selection Strategy Based on Fundamental Factors and Coefficients Combined with Entropy Method
ICEMME
EAI
DOI: 10.4108/eai.18-11-2022.2327127
Abstract
In order to investigate the impact of fundamental factors on stock returns, this article selects earnings price ratio, book-to-market value ratio, price-to-market ratio, market-to-sales ratio, market capitalization, net sales margin, return on total assets, return on net assets, and gross profit margin and other 22 indicators, using the CSI 300 constituents in January 2011 - December 2020 quarterly data for empirical analysis. The results show that 13 indicators such as earnings-price ratio, book-to-market value ratio, price-to-market value, and market capitalization have a significant impact on stock returns. Based on these indicators, this article uses coefficients combined with the entropy method to assign weights to each indicator and uses historical data to rank the companies in each quarter. Then make equal investments and adjust positions in the top 15 companies of every quarter, and finally get 16.99% annualized income.
