因子新视野研究系列之六：“有限关注”因子的多种用法：“赚钱效应”提示与分域选股组合

Core Insights - The report constructs a "limited attention" factor that represents the degree of retail investor attention on individual stocks, using indicators such as abnormal turnover, abnormal trading volume, extreme returns, and whether the stock has appeared on the "Dragon and Tiger List" [3][6][56] - The limited attention factor can indicate a "money-making effect," showing a high success rate for timing signals, with an overall monthly success rate exceeding 70% when applied to the CSI 300 index [3][25][56] - The factor performs better in smaller stock pools, indicating that retail investors' "herding behavior" can lead to significant price fluctuations in these stocks [3][56] Limited Attention Factor Construction - The construction of the limited attention factor is based on the premise that retail investors prioritize stocks that attract their attention, leading to a focus on high turnover, high trading volume, and extreme returns [6][8] - The factor is constructed using both linear combination and random forest methods, with the latter showing better predictive power for returns [13][14][19] Performance of the Limited Attention Factor - The performance of the limited attention factor is evaluated through its information coefficient (IC) and the average change in shareholder accounts, indicating a clear relationship between higher attention levels and increased retail investor interest [18][19] - The factor's IC and monthly long-short returns are notably higher in the CSI 1000 index, aligning with the logic that smaller stocks are more susceptible to retail investor behavior [22][24] Money-Making Effect Indication - The report highlights that the limited attention factor's IC can reflect the strength of the market's "money-making effect," particularly during the period from 2019 to mid-2021 when retail investors showed strong interest in high attention stocks [25][27][32] - The correlation between the limited attention factor's IC and industry trend consistency indicates that higher IC values suggest better market performance [29][30] Application of the Limited Attention Factor - The factor can be directly used in index enhancement strategies, either by adding it to existing models or by excluding stocks with high limited attention [35][37] - The report finds that directly adding the limited attention factor improves performance in the CSI 300 and CSI 500 indices, while both methods fail to enhance returns in the CSI 1000 index [40][57] Performance of Other Factors in Limited Attention Domains - The report identifies that price-volume factors, particularly low volatility, low liquidity, and long-term momentum, perform significantly better in the limited attention domain, while profitability, valuation, and dividend factors show decreased effectiveness [41][42][43] - The analysis of different stock pools reveals that the performance of factors varies significantly between limited attention and non-limited attention stocks, with growth and price-volume factors being more effective in the former [41][44]