Investor attention ratio
factor.formula
The calculation formula of this factor is relatively simple. It is essentially a statistical analysis of the self-selected stock pool. The implicit formula can be understood as:
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Represents a specific target stock.
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The total number of times stock i is selected (or the number of investors) in the pool of all investors' self-selected stocks.
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Represents all the stocks selected into the watchlist pool, including the target stock i.
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In all investors' self-selected stock pools, the total number of times all stocks are selected (or the number of investors) can be considered as the total size of all self-selected stock pools.
factor.explanation
The investor attention ratio factor is designed to quantify the degree of attention that investors pay to a particular stock. Its core assumption is that stocks that are added to the watchlist by more investors can better reflect the overall preferences of the market. Since the watchlist represents the active screening and preferences of investors rather than passive information reception, the information it contains is of higher value. A high attention ratio may mean that the market has high expectations for the stock, but it may also lead to a stock price bubble, so it often shows a negative correlation with the stock's future returns. This factor can be used to capture market sentiment and used as a reverse indicator in quantitative trading strategies, that is, when the attention ratio is high, the stock should be treated with caution.