Network traction factor of foreign securities firms' holdings
factor.formula
Stock correlation network traction factor Expave:
in:
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The number of related stocks held by foreign securities firms at the same time as the target stock A. This value reflects the connection strength of the target stock A in the network.
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The degree of common holdings of foreign securities firms between target stock A and related stock i. There are many ways to calculate $K_i^A$, such as: correlation coefficient of holding ratio, weight of common holdings, etc. The higher the value, the more relevant the two stocks are in the holding preferences of the same foreign institution.
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The rise and fall of the associated stock i in the past 20 trading days. This indicator reflects the recent price performance of the associated stock i.
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The median of the cross-section of the rise and fall of all stocks held by foreign brokerages in the past 20 trading days. This median represents the average return level of the overall foreign holdings of stocks and can be used as a benchmark return to calculate excess returns.
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The excess return (Alpha) of the associated stock i relative to the overall holdings of foreign securities firms. This value reflects the relative performance of the associated stock i during the same period, excluding the impact of overall market factors.
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The weighted value (Alpha anchor value) of the traction strength of associated stock i on target stock A. Combining the association strength with the excess return measures the potential impact of associated stock i on target stock A.
factor.explanation
This factor is based on the following assumption: the future market performance of stocks held by the same foreign brokerage custodian has a certain degree of correlation. By analyzing the holdings of foreign brokerages, a stock association network can be constructed to characterize the traction relationship between stock price changes. The larger the factor value, the better the recent performance of stocks associated with the stock, and the higher the degree of correlation. The stock is more likely to be positively pulled in the future, and vice versa. This factor can be used to capture the investment preferences of foreign institutions in the market and assist in stock selection decisions.