Market value (Log)
factor.formula
Market capitalization = Closing price of the day × circulating shares of the day; Market capitalization factor = log(market capitalization)
The formula first calculates the company's market capitalization, which is the total value of shares that can be freely traded on the market. Then, the natural logarithm of the market capitalization is taken to smooth the data and reduce the impact of extreme values.
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Refers to the last transaction price of a stock at the end of the trading day, in currency units (such as yuan, US dollars, etc.). This data reflects the market's final assessment of the company's value.
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Refers to the number of shares that can be freely traded in the market. It usually does not include restricted shares, such as options held by internal employees and shares held by management. This data reflects the actual tradable scale of the company's shares in the market.
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Refers to the total value of a company's shares that are freely traded in the market. It is an important component of calculating the total value of the stock market and reflects the market's assessment of the company's overall value.
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Refers to the natural logarithm function. Taking the logarithm can smooth the market value data, reduce the impact of extreme values, and make the factor distribution more consistent with statistical assumptions.
factor.explanation
The market capitalization factor is usually negatively correlated with stock returns, that is, companies with smaller market capitalizations tend to generate higher returns in the long run, which is called the small market capitalization effect. However, this effect may be affected by a variety of factors such as market sentiment, economic cycles, and market style rotation. Using logarithmic transformation can reduce the impact of extreme values of the original market capitalization and make the factor more robust.