Annual equity issuance adjusted market value growth rate
factor.formula
Annual equity issuance adjusted market value growth rate = ln(current total market value / total market value in the same period last year) - ln(1 + cumulative rate of return in the same time period)
This formula calculates the annual equity issuance-adjusted market capitalization growth rate by subtracting the logarithmic cumulative rate of return from the logarithmic market capitalization ratio. It aims to eliminate the impact of stock price fluctuations on market capitalization changes, thereby more accurately reflecting the impact of equity issuance on market capitalization.
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Current latest total market value. Refers to the total market value of the company at the current point in time when calculating this factor. The total market value is equal to the market price of all stocks issued by the company multiplied by its issuance volume.
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Total market capitalization of the same period last year. Refers to the total market capitalization of the company at the same point in time one year before the current point in time. Used to calculate the annual change in market capitalization.
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Cumulative rate of return in the same time period. Refers to the cumulative rate of return of stock prices between the current time point and the same period of the previous year. It is used to eliminate the impact of stock price fluctuations on market value, so as to more accurately calculate the contribution of equity issuance to market value. The cumulative rate of return can be obtained by calculating the percentage of price change or the rate of return during the holding period.
factor.explanation
This factor measures the change in market value caused by equity issuance during the year by calculating the difference between the annual market value growth rate and the cumulative stock return during the same period. The core idea is that when a company conducts equity financing, it will dilute the rights and interests of existing shareholders, and may be interpreted by the market as a signal that the company may face funding pressure or poor prospects, which may lead to negative impacts on future earnings. Therefore, this factor is usually negatively correlated with future stock returns, reflecting the "comprehensive equity issuance effect". This factor is applicable to different time intervals to capture the impact of equity issuance on the company's market value at different time scales. A high value usually means that the company issued more shares in that year, which may indicate a decrease in future stock returns.