Research on the investment strategy of new energy vehicle industry based on multi-factor stock selection

Fenglin Cui; Beizhu Li; Yingchen Liu

doi:10.54691/bcpbm.v26i.2056

Authors

Fenglin Cui
Beizhu Li
Yingchen Liu

DOI:

https://doi.org/10.54691/bcpbm.v26i.2056

Keywords:

component; Multi-factor stock selection model; New energy vehicle industry; Regression method.

Abstract

With the development of the Chinese stock market and the continuous improvement of financial engineering technology, quantitative investment represented by the multi-factor stock selection strategy has been developing and growing in the Chinese stock market. This paper takes the quarterly data of the China Securities New Energy Vehicle Index from January 2017 to March 2021 as the research object, uses the Fama-Macbeth test to select factors, and constructs the regression equation based on the regression method. The regression equation is used to predict the stock return rate of the next quarter through the factor data of each quarter in 2020. The top 7 stocks with returns are selected to construct the investment portfolio in the way of equal-weighted capital allocation, and the investment portfolio is updated quarterly. Through the empirical test, this paper mainly draws the following three conclusions: First, the driving factors of stock return in the new energy vehicle industry mainly include the ratio of long-term debt to working capital (LTDWC), total profit growth rate (TPG), price/earnings to growth ratio (PEG), and equity turnover ratio (ET); secondly, the portfolio return based on the stock selection model in this paper is higher than the average level of the industry, and the investment return obtained is stable, suitable for investment targets; third, the new energy vehicle industry is in a period of rapid development, and the portfolio return rate is higher than the average level of A-share market. Therefore, it has huge potential investment value. This paper provides suggestions and solutions for investors' stock investment in the new energy vehicle industry.

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