Free float market capitalization
factor.formula
Free float market capitalization:
in:
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Free-Float Market Capitalization on day t.
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The stock closing price on day t (Closing Price). The closing price is the stock price at the end of the day's trading and is the market's final assessment of the stock's value.
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Free-Float Shares on day t. Refers to the number of shares of a listed company that can be freely traded on the exchange, excluding restricted shares, shares held by strategic investors, etc.
factor.explanation
Free float market capitalization is a commonly used size factor in quantitative investment, which is used to measure the actual tradable size of a company in the secondary market. It excludes the impact of non-tradable shares and can more truly reflect the market's assessment of the liquidity value of a company's stock. Compared with the total market value, the free float market capitalization can better reflect the actual tradable stock value in the market. In portfolio construction, free float market capitalization is often used for market capitalization weighting or as a benchmark for size factors for risk adjustment or construction of scale-style investment strategies. A larger free float market capitalization usually means higher market attention and better liquidity, but may also imply lower growth potential.