Turnover rate volatility coefficient
factor.formula
Turnover rate volatility coefficient:
Daily turnover rate (TR):
in:
- :
Represents the daily turnover rate sequence of the last K months (or trading days).
- :
It represents the standard deviation of the daily turnover rate series in the last K months (or trading days), which measures the volatility of the turnover rate.
- :
It represents the mean of the daily turnover rate series in the last K months (or trading days), representing the average level of turnover rate during this period.
- :
Represents the trading volume on day t.
- :
represents the outstanding shares on day t.
factor.explanation
The turnover rate volatility coefficient reflects the degree of volatility of a stock's turnover rate over a period of time. When the coefficient is high, it means that the stock's turnover rate fluctuates greatly, and investors may face greater liquidity risks in future transactions, that is, it is difficult to sell or buy stocks at the expected price and speed, resulting in higher transaction costs and uncertainty. Therefore, stocks with high turnover rate volatility usually require a higher risk premium to compensate investors for the additional liquidity risk they bear. This factor is often used to construct quantitative investment models as one of the indicators to measure stock liquidity risk, and may be used in combination with other risk factors to improve the accuracy of model predictions.