Analysis of the effectiveness of multi-factor stock selection model under COVID-19

School of Business, University of Nottingham, NG7 3LP, Nottingham, United Kingdom

^* Corresponding author: Ke.Xu@calhoun.edu

Abstract

Contemporarily, quantitative finance and multi-factor stock selection have begun to develop in China. Meanwhile, the new coronavirus from 2020 has brought a huge impact on the market, so it is very important to explore the effectiveness of multi-factor stock selection model during the period. In this study, stocks in the medical industry are selected as the research object, and price-earnings ratio, total market value and market sales ratio are selected as the research indicators. In this study, RiceQuant quantitative trading platform was used to conduct backtesting during the epidemic period, and the effectiveness of stock selection indicators during the epidemic period was analysed through data results. The results showed that under the epidemic situation, changing the P/E ratio, total market value and price-to-sales ratio had an impact on the earnings of stock selection portfolio, which proved that the P/E ratio, total market value and price-to-sales ratio were all effective indicators. These results prove the effectiveness of multi-factor stock selection model under the COVID-19, and list the effective stock selection factors under the epidemic situation. It can provide an in-depth understanding of the impact of the epidemic on the market and enrich the study of multi-factor stock selection model.