Advances in Economics, Management and Political Sciences

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Proceedings of the 2nd International Conference on Financial Technology and Business Analysis

Series Vol. 64 , 28 December 2023


Open Access | Article

Empirical Research on Multi-Factor Alpha Strategy in the A-Share Market

Liu Kaiqi * 1
1 Shanghai Jiao Tong University

* Author to whom correspondence should be addressed.

Advances in Economics, Management and Political Sciences, Vol. 64, 81-89
Published 28 December 2023. © 2023 The Author(s). Published by EWA Publishing
This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Citation Liu Kaiqi. Empirical Research on Multi-Factor Alpha Strategy in the A-Share Market. AEMPS (2023) Vol. 64: 81-89. DOI: 10.54254/2754-1169/64/20231496.

Abstract

Among many quantitative investment means, Alpha strategy, as a typical strategy, has ushered in unprecedented development opportunities. Therefore, how to obtain excess Alpha returns stably and how to select the portfolio with higher future returns from the massive stock pool has attracted more and more attention from investors. This paper uses the ranking score method to determine the effective factors in the candidate factors and constructs a multi-factor Alpha strategy stock selection model in the A-share market. This paper first uses historical data to conduct sample analysis of stocks, studies the correlation between various indicators of listed companies and Alpha returns of individual stocks, and selects candidate factors that can effectively screen stocks with high Alpha returns. After that, the strategy model was established for back testing to test the application and feasibility of Alpha strategy in China's A-share market. Four effective factors are selected according to previous studies. And use the market data from January 2022 to December 2022 to back test the alpha strategy. The back test results show that the multi-factor Alpha strategy in this paper meets the expected performance in the A-stock market and can outperform the market to obtain excess returns. This paper studies the multi-factor Alpha strategy in the A-stock market, aiming to improve the feasibility of this strategy in the Chinese stock market, hoping to provide objective and effective investment ideas for asset managers and obtain investment methods that can obtain excess returns.

Keywords

Alpha strategy, Multi-factor model, Quantitative investment

References

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Data Availability

The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.

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Volume Title
Proceedings of the 2nd International Conference on Financial Technology and Business Analysis
ISBN (Print)
978-1-83558-229-9
ISBN (Online)
978-1-83558-230-5
Published Date
28 December 2023
Series
Advances in Economics, Management and Political Sciences
ISSN (Print)
2754-1169
ISSN (Online)
2754-1177
DOI
10.54254/2754-1169/64/20231496
Copyright
© 2023 The Author(s)
Open Access
This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited

Copyright © 2023 EWA Publishing. Unless Otherwise Stated