Research on Stock Picking Strategies Based on the Three-Factor Model: The case for the SSE STAR and A-share Markets

Investors care about how to choose a portfolio that is worth investing in from the huge stock market China because they want obtain high rate of return (RoR) by controlling investment risk. Then, three-factor model as quantitative strategy can effectively satisfy investors’ requirements selecting influential factors highly related prices. Moreover, current existing journals on selection strategies mostly use constituent stocks CSI 300 research data, and there are few studies SSE Composite Index, especially STAR Market which was officially opened June 2019. Therefore, based demand investors innovation sample this paper selects pool construct uses data A-share another simultaneously for comparison. Finally, result demonstrates predict RoR well, so it be used actual process then provide an objective suggestion real-world market.