At present, most academic research on asset pricing is focused on the stock markets of developed countries such as the United States. Compared with developed countries, China's stock market is quite different, and systematically sorting out and screening which factors are effective in China is a research topic that is of interest to domestic and foreign investors. Hou, Qiao, and Zhang (2019) based on A-share transaction data, accounting indicators and analyst forecast data, constructed 426 factors, and detected and screened which factors can effectively predict the return of the Chinese stock market.