考虑股市网络因子的多因子选股策略研究  

Research on Multi-Factor Stock Selection Strategy Considering Network Factors in the Stock Market

作　　者：戴云飞 朱宗元 

机构地区：[1]浙江财经大学数据科学学院,浙江 杭州

出　　处：《统计学与应用》2024年第4期1033-1046,共14页Statistical and Application

摘　　要：本文基于中国A股市场数据,选取四个节点网络指标构建了网络因子,将其与传统的Fama-French三因子模型相结合,提出了新的四因子选股模型。实证研究表明,该模型比三因子模型更能解释收益率的变动。基于四因子模型进行的选股策略的回测结果显示,网络因子构建的投资组合在收益率、风险和最大回撤率等方面均优于上证A股指数。This paper, based on data from China’s A-share market, constructs a network factor using four network indicators and combines it with the traditional Fama-French three-factor model to propose a new four-factor stock selection model. Empirical research shows that this model can better explain variations in returns compared to the three-factor model. Back-testing results of the stock selection strategy based on the four-factor model indicate that the investment portfolio constructed with the network factor outperforms the Shanghai A-share index in terms of returns, risk, and maximum drawdown rate.

关 键 词：FAMA-FRENCH三因子模型 复杂网络 因子分析 量化选股 

分 类 号：F83[经济管理—金融学]