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

Core Viewpoint - The article discusses the construction and performance of a "limited attention" factor in stock selection, highlighting how investor attention is a scarce resource that influences market behavior and stock performance [1][2]. Limited Attention Factor Construction - The traditional efficient market hypothesis assumes that investors can instantaneously process all new information, but in reality, investors have limited attention, leading them to focus on high-attention stocks [1]. - The article constructs the limited attention factor using four indicators: abnormal turnover rate, abnormal trading volume, extreme returns, and whether a stock has appeared on the "Dragon and Tiger List" [2][3]. - The abnormal turnover rate is calculated by comparing a stock's daily turnover to its average turnover over the past 252 trading days [2]. - The abnormal trading volume is similarly calculated by comparing a stock's daily volume to its average volume over the past 252 trading days [2]. - Extreme returns are determined by measuring the deviation of a stock's daily return from the average return of all stocks on that day [2]. - The final limited attention factor is constructed using both linear combination and random forest methods, with the latter providing better predictive power for returns [3][4]. Factor Performance - The performance of the limited attention factor is evaluated based on its ability to capture retail investor interest, with higher attention stocks showing a significant increase in shareholder accounts [5][7]. - The random forest method shows higher information coefficient (IC) and win rate compared to the linear combination method, indicating better performance in distinguishing between high and low attention stocks [8][12]. - The factor performs best in smaller stock pools, where retail investors' trading behavior can significantly impact stock prices [13]. Implications of Limited Attention Factor - The limited attention factor can indicate "money-making effects" in the market, with its performance varying across different market conditions [14][17]. - The factor's IC showed a notable decline from 2019 to mid-2021, suggesting that high attention stocks were profitable during that period, while subsequent periods indicated poor performance for these stocks [17][19]. - The article explores the use of the limited attention factor for market timing and size rotation strategies, achieving a monthly win rate exceeding 70% [19][22]. Application of Limited Attention Factor - The limited attention factor can be directly used in index enhancement strategies, either by adding it to existing predictive factors or by excluding high attention stocks from the selection process [25][29]. - The results indicate that directly adding the limited attention factor improves performance in the CSI 300 and CSI 500 indices, while excluding high attention stocks does not yield better results [30][31]. - The article also examines the performance of other factors within different limited attention domains, finding that growth and low volatility factors perform better in high attention stocks, while profitability and value factors show decreased effectiveness [32][33]. Conclusion - The limited attention factor effectively represents the degree of retail investor interest in stocks, with its average IC being negative, indicating that high attention stocks may face greater pullbacks due to lack of long-term support [41][42]. - The factor's performance can reflect market "money-making effects," and its application in stock selection can enhance portfolio performance, particularly in simpler selection methods [41][42].