Foreign Securities Firms' Related Network Traction Strength Factor
factor.formula
Stock correlation network traction strength factor Expave:
in:
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The number of related stocks that are held by foreign brokerage firms together with Stock A. It represents the breadth of the connection of Stock A in the network.
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The degree of correlation between the common holdings of stock A and related stock i by foreign brokerage firms. The specific calculation method can be the common holding ratio of foreign institutions in stock A and stock i, or other indicators to measure the similarity of the holdings of the two. The higher the value, the closer the foreign holding structure of the two is, and the stronger the correlation is.
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The rise and fall of associated stock i in the past 20 trading days is used to measure the recent market performance of 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. It represents the average market performance of the overall foreign holdings and is used to benchmark the rise and fall of related stocks.
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The excess return (Alpha return) of the associated stock i relative to the overall foreign holdings. This value measures the performance of the associated stock i relative to the overall foreign holdings. If it is positive, it means that the associated stock i performs better than the overall foreign holdings, and vice versa.
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The weighted traction value of stock A by the excess return of associated stock i. This value reflects the potential impact of the excess return of associated stock i on stock A, and the weight depends on the degree of correlation between the two.
factor.explanation
This factor is based on the "same institution effect", that is, the market performance of stocks held by the same foreign brokerage firm often has linkage. By constructing a stock association network based on the holdings of foreign brokerage firms, this factor quantifies the pull strength of each stock on the returns of its associated stocks. Specifically, if the associated stocks of a certain stock have higher excess returns and are more strongly correlated with the stock, the factor value of the stock will be relatively high, and vice versa. Therefore, this factor can help investors capture the potential linkage effect between stocks caused by the behavior of foreign institutions and assist in judging the future performance of individual stocks.