新聞情緒數(shù)據(jù)在中低頻Alpha中的應(yīng)用

新聞情緒數(shù)據(jù)介紹數(shù)據(jù)相關(guān)統(tǒng)計(jì)分析總結(jié)與后續(xù)研究展望新聞情緒因子測(cè)試結(jié)果新聞情緒因子改進(jìn)提升融合了新聞情緒因子的選股策略新聞情緒因子對(duì)傳統(tǒng)因子的改進(jìn)和提升章節(jié)大綱新聞情緒數(shù)據(jù)介紹數(shù)據(jù)相關(guān)統(tǒng)計(jì)分析總結(jié)與后續(xù)研究展望新聞情緒因子測(cè)試結(jié)果新聞情緒因子改進(jìn)提升融合了新聞情緒因子的選股策略新聞情緒因子對(duì)傳統(tǒng)因子的改進(jìn)和提升前言因子構(gòu)建應(yīng)用探討總結(jié)展望第一節(jié)第一節(jié)前言：新聞情緒數(shù)據(jù)概覽AlpAlp研究傳統(tǒng)Alp的改進(jìn)另類Alp的挖掘因子擇時(shí)反轉(zhuǎn)因子進(jìn)價(jià)值因子進(jìn)…電商消費(fèi)數(shù)據(jù)高頻數(shù)據(jù)衛(wèi)星數(shù)據(jù)新聞情緒基于外生量基于內(nèi)生量“青出藍(lán)”列報(bào)告 “藍(lán)海航”列報(bào)告 “因時(shí)宜”列報(bào)告與展心新聞與個(gè)股的相關(guān)程度，取值為新聞與個(gè)股的相關(guān)程度，取值為0-1之間新聞結(jié)果所對(duì)的概率新聞分類結(jié)果，0為中性，1為負(fù)面，2為正三種分類的概明細(xì)sokoecmaydcieeaeegihaenwIdnwTsrlvneeoinniaoreoinegteoinealTL_QEQCF00016特斯拉Tsa2076622//1:00751085{=.81,=.56,=.4}070H_QCF00025騰訊控股TNETHD2077822//1:10041086{=.32,=.61,=.E-617_HEQCF00024長(zhǎng)沙銀行BnkfCagha2077822//1:10831088{=.19,=.79,=.1}023_ZEQCF00046科大訊飛Iltk2077822//1:10041087{=.36,=.67,=.E-018H_QCF00028青島港QndoPrt2078122//1:10070043{=.28,=.8,2012}619_HEQCF00028青島港QndoPrt2078122//1:10070043{=.28,=.8,2012}088H_QCF00043CB2078522//1:10060054{=.31,=.51,=.5}026_ZEQCF00055申通快遞SOEpes2070422//1:21002075{=.71,=.74,=.5}…………Chnacoe,研究與發(fā)展中心不同月份所覆蓋的A股相關(guān)新聞總數(shù)

三類新聞數(shù)量及占比30002000

負(fù)面,64592,1720001000

正面,14090,3910005000全A 滬深30 中證50

中性,16011,44Chnacoe，研究與發(fā)展中心，統(tǒng)計(jì)區(qū)間：21613-22090截至20200930，新聞數(shù)據(jù)在全、滬深300和中證500指數(shù)中的覆蓋股票數(shù)目分別為3957、299和500；股覆蓋比例分別為97.92%、99.67%和100%。不同指數(shù)成份股中覆蓋股票數(shù)目 不同指數(shù)成份股中覆蓋股票占比60

400

1000400501000300403008.0302006.0200201004.0101002.05000000滬深30 中證50 全A 全A 滬深30 中證50Chnacoe，研究與發(fā)展中心，統(tǒng)計(jì)區(qū)間：21613-2209099個(gè)股相關(guān)新聞數(shù)目與市值關(guān)系我們將個(gè)股月平均流通市值的對(duì)數(shù)與該月相關(guān)新聞總數(shù)的對(duì)數(shù)進(jìn)行回歸。回歸結(jié)果表明個(gè)股相關(guān)的新聞數(shù)與其市值大小存在顯著正向相關(guān)性。0個(gè)股相關(guān)新聞數(shù)目與市值關(guān)系我們將個(gè)股月平均流通市值的對(duì)數(shù)與該月相關(guān)新聞總數(shù)的對(duì)數(shù)進(jìn)行回歸。回歸結(jié)果表明個(gè)股相關(guān)的新聞數(shù)與其市值大小存在顯著正向相關(guān)性。0605040302010216230217126217228217331217428217531217630217731217831217929217031217130217229218131218228218330218427回歸系數(shù)與對(duì)應(yīng)回歸系數(shù)與對(duì)應(yīng)t值回歸系數(shù)218629回歸系數(shù)218731218831218928218031218130t值（右軸）218t值（右軸）219131ChnacChnacoe，商證研究發(fā)展心，計(jì)區(qū)：21613-220902193292194302195312196282197312198302199302190312191292192312201232202282203312204302205292206302207312208315045403530252050454035302520151050第二節(jié)第二節(jié)新聞情緒因子的構(gòu)建及延伸單個(gè)新聞情緒得分如何計(jì)算？※單個(gè)新聞得分=單個(gè)新聞的正面概率–負(fù)面概率過去一段時(shí)間內(nèi)個(gè)股新聞情緒如何刻畫？※對(duì)過去一段時(shí)間內(nèi)所有新聞的情緒分求和。是否應(yīng)該根據(jù)相關(guān)性對(duì)新聞進(jìn)行過濾？

是否應(yīng)該考慮新聞的時(shí)效性

是否剔除中新聞？新聞情緒

單個(gè)新聞的緒得分如何算？※考慮用相關(guān)性對(duì)單個(gè)新聞的得分進(jìn)行修正，并剔除相關(guān)性小于0.7的新聞。

因子構(gòu)建是否應(yīng)該考慮新聞的時(shí)效性？※越新的新聞?dòng)绊懺酱?，我們采取時(shí)間衰減法對(duì)不同事件得分進(jìn)行加權(quán)求和。是否剔除中性新聞？※中性新聞同樣帶來過多噪音，我們對(duì)中性新聞進(jìn)行剔除。

是否應(yīng)該根相關(guān)性過濾聞？研究與發(fā)展中

過去一段時(shí)內(nèi)的新聞情如何刻畫？因子因子 定義方式Avg_Score 對(duì)過去一段時(shí)間所有相關(guān)新聞的情緒得分求和Avg_Score_RELAvg_Score_REL 對(duì)過去一段時(shí)間所有相關(guān)新聞的相關(guān)性修正緒得分求和Avg_Score_T 按照時(shí)間衰減的加權(quán)方式，對(duì)過去一段時(shí)間有相關(guān)新聞的情緒得分求和Avg_Score_REL_TAvg_Score_REL_T 按照時(shí)間衰減的加權(quán)方式，對(duì)過去一段時(shí)間有相關(guān)新聞的相關(guān)性修正情緒得分求和Avg_Score_REL_Ex 剔除相關(guān)性低于0.7的新聞后，對(duì)過去一段間所有相關(guān)新聞的相關(guān)性修正情緒得分求和Avg_Score_REL_T_ExAvg_Score_REL_T_Ex 剔除相關(guān)性低于0.7的新聞后，按時(shí)間衰減的加權(quán)方式，對(duì)過去段時(shí)間所有相關(guān)新聞的相關(guān)性修正情緒得分和m Avg_Score_Num_ExAvg_Score_Num_Ex 剔除相關(guān)性低于0.7的新聞后，正負(fù)面新聞目之差占二者總數(shù)的比重研究發(fā)展心I_RISr()AgSoe209865-8211.802416423611146AgSoeNm116564-3371.002013923606246AgSoeNmEx108608-0421.601812127205446AgSoeRL175778-0881.102215223609346AgSoeRLEx178808-4471.302214927208846AgSoeRLT159759-0131.802114223608546AgSoeRLTEx165785-3971.102114327208246AgSoeT193843-8391.402315523610346因子平均值標(biāo)準(zhǔn)差因子平均值標(biāo)準(zhǔn)差最小值最大值I_R統(tǒng)計(jì)量平均股票數(shù)I×Sr()有效期數(shù)AgSoe3751.1-1352.80332232206446AgSoeNm0811.0-2391.40080542201446AgSoeNmEx-.6973-6121.9-.5-.226-.846AgSoeRL3011.8-6612.50251712205146AgSoeRLEx3191.1-6252.40271802605346AgSoeRLT3391.6-3682.20302032205846AgSoeRLTEx3721.7-5143.90322202606246AgSoeT3881.3-0392.30352392206646因子平均值標(biāo)準(zhǔn)差因子平均值標(biāo)準(zhǔn)差最小值最大值I_R統(tǒng)計(jì)量平均股票數(shù)I×Sr()有效期數(shù)AgSoe107895-6892.60120814102346AgSoeNm084812-8851.80100704101846AgSoeNmEx147829-3761.30181203102946AgSoeRL011843-8931.90010094100246AgSoeRLEx-.0862-3941.0-.7-.731-.246AgSoeRLT021822-1971.50030174100446AgSoeRLTEx-.8863-7341.6-.4-.031-.846AgSoeT094865-7402.40110734102046因子總收益率年化收益率波動(dòng)率Sap比率最大回撤率AgSoe8.01.91.11721.5AgSoeNm2.45846670881.4AgSoeNmEx2.1568634090732AgSoeRL7.21.19421681.5AgSoeRLEx7.81.79651701.1AgSoeRLT6.31.69231521.2AgSoeRLTEx7.01.19471631.3AgSoeT8.31.21.51651.4因子總收益率年化收益率因子總收益率年化收益率波動(dòng)率Sap比率最大回撤率AgSoe7.01.61.61321.2AgSoeNm0910249310031.5AgSoeNmEx2.36041.60582.7AgSoeRL4.31.21.60842.5AgSoeRLEx4.01.51.10832.1AgSoeRLT3.87901.00682.3AgSoeRLTEx2.86011.40512.2AgSoeT8.61.61.01631.3因子總收益率年化收益率因子總收益率年化收益率波動(dòng)率Sap比率最大回撤率AgSoe1.62681.90241.6AgSoeNm13AgSoeNmEx4.39729711001.3AgSoeRL-.6-.81.7-.12.9AgSoeRLEx-461-.31.3-.62.3AgSoeRLT0480121.10011.4AgSoeRLTEx4881251.00121.9AgSoeT2.16671.50601.0 從相性析來看我所構(gòu)建新情緒因大偏大市。201年以來大市值格能夠貢明的Alp。因此，必對(duì)值的影予剔除。因子與流通市值的對(duì)數(shù)的相關(guān)性 因子與總市值對(duì)數(shù)的相關(guān)性045040035030025020015010005000

0290029030028029012013

038

050045040035030025020015010005000

0340034036033034017018

044 I_RISr()AgSoe124536-2541.402315723606646AgSoeNm108471-13592702315523605746AgSoeNmEx078486-26096201610927203946AgSoeRL110512-1891.602214623605946AgSoeRLEx125533-4451.602416027206246AgSoeRLT097510-1791.901912823605146AgSoeRLTEx109532-4801.702013927205446AgSoeT108533-2281.302013823605846因子平均值標(biāo)準(zhǔn)差因子平均值標(biāo)準(zhǔn)差最小值最大值I_R統(tǒng)計(jì)量平均股票數(shù)I×Sr()有效期數(shù)AgSoe233863-6231.30271832204046AgSoeNm091738-8181.90120832201646AgSoeNmEx-.2679-3601.2-.6-.226-.746AgSoeRL172910-6342.10191282202946AgSoeRLEx187899-7452.00211412603146AgSoeRLT217860-4692.00251712203746AgSoeRLTEx253850-5322.00302022604246AgSoeT242815-4331.80302012204146因子平均值標(biāo)準(zhǔn)差因子平均值標(biāo)準(zhǔn)差最小值最大值I_R統(tǒng)計(jì)量平均股票數(shù)I×Sr()有效期數(shù)AgSoe056730-5902.20080524101246AgSoeNm091759-4421.90120814101946AgSoeNmEx089697-5811.50130863101846AgSoeRL-.6702-6111.3-.2-.541-.346AgSoeRLEx-.3737-4421.3-.9-.831-.246AgSoeRLT-.0685-3871.7-.1-.041-.246AgSoeRLTEx-.9725-6521.4-.7-.631-.046AgSoeT039710-3131.70060384100846因子總收益率年化收益率波動(dòng)率Sap比率最大回撤率AgSoe6.61.8698209946AgSoeNm3.3911557164850AgSoeNmEx3.0835546153848AgSoeRL6.91.6645204998AgSoeRLEx6.31.4676218967AgSoeRLT6.31.16412091.0AgSoeRLTEx6.01.46732171.4AgSoeT7.21.0688222956因子總收益率年化收益率因子總收益率年化收益率波動(dòng)率Sap比率最大回撤率AgSoe5.31.39971301.0AgSoeNm2.85239050581.8AgSoeNmEx3050798800091.9AgSoeRL3.17831.00781.0AgSoeRLEx2.55061.80502.9AgSoeRLT4.09439790961.8AgSoeRLTEx1.04821.20481.6AgSoeT6.71.09471461.9因子總收益率年化收益率因子總收益率年化收益率波動(dòng)率Sap比率最大回撤率AgSoe-.6-.7978-.71.2AgSoeNm3.28958601041.1AgSoeNmEx1.73138630361.1AgSoeRL-.8-.7947-.61.7AgSoeRLEx-.0-.4992-.12.9AgSoeRLT1660439310051.5AgSoeRLTEx3140819700081.4AgSoeT9582419680251.8行業(yè)市值性化以，IC整體略有下降。由整體動(dòng)和最撤顯降所以因子多空組合的風(fēng)險(xiǎn)調(diào)整后表現(xiàn)多數(shù)反而有所提升。進(jìn)行了相關(guān)性加權(quán)和剔除的因子，整體表現(xiàn)受中性化的影響較。無論是否行中性，聞情緒全A和滬深300中的選股效果均更為突出，而在中證500中則表現(xiàn)一般。表：十分位組合測(cè)試結(jié)果 十分位組合年化超額收益組合總收益率年化收益率波動(dòng)率S組合總收益率年化收益率波動(dòng)率Sap比率平均換手率最大回撤率超額收益率年化超額益率跟蹤誤差信息比率0-.8-.52.3-.66634.51.23313880851-086-.52.8-.38544.46851743200552-210-.12.9-.48804.15521412710523-.7-.02.2-.28924.07872002330864-.3-.92.6-.09004.11.22542361085-086-.52.7-.39004.06491652310726-540-.72.2-.98994.01190312380137-771-.52.5-.28934.4-.4-.3249-.78-171-.82.1-.88644.2-.0-.4300-.89-529-4552.1-.67155.5-503-063453-.5LS7.21.0688222——956————————400200000-.0-.0-.0-.0-000-200

331980 1 2 3 4 5 6 98

-063400300200100000

多空組合累計(jì)凈值

1816141221/130-.0-.0-.0

21/130

21/130

21/130

10806多空收益率 多空凈值（右軸）表：十分位組合測(cè)試結(jié)果 十分位組合年化超額收益組合總收益率年化收益率波動(dòng)率S組合總收益率年化收益率波動(dòng)率Sap比率平均換手率最大回撤率超額收益率年化超額益率跟蹤誤差信息比率0-.7-.02.80007614.81.54314011071-316-.12.1-.68934.33280842770302-208-.02.4-.59044.24701202500483-.5-.22.8-.99094.89972512371064-243-.02.2-.59174.94201082380455-538-.62.5-.99224.90460122310056-076-.32.5-.39184.16121562410657-793-.22.9-.29064.5-.8-.3258-.48-110-.92.3-.78984.0-.9-.1287-.99-175-3142.8-.97785.8-106-.4435-.3LS6.01.4673217——1.4————————400200000-.0-.0-.0-.0-000

431980 1 2 3 4 5 6 98

-.4300200

多空組合累計(jì)凈值

181610000021/130-.0

21/130

21/130

21/130

14121-.0-.0

多空收益率 多空凈值（右軸

0806組合總收益率年化收益率波動(dòng)率組合總收益率年化收益率波動(dòng)率Sap比率平均換手率最大回撤率超額收益率年化超額益率跟蹤誤差信息比率03.37812.30354523.42.150562008212.06102.40287723.41.533061305421.13972.40198273.444411458202032.15612.80278543.91.826351705142.25102.90258603.579220155803651.03001.90168642.7-.8-.8529-.36-120-.51.0-.68653.0-114-.0544-.071.53391.10178562.308402255300488032031.70108203.9-.9-.5594-.89-874-.72.4-.67043.8-776-.3668-.2LS6.71.0947146——1.9————————1.050596500960000 -.0

2 3 4 5 7 8-000

年化超額收益率

-.3300200

多空組合累計(jì)凈值

171510000021/130-.0-.0

21/130

21/130

21/130

13110907-.0

多空收益率 多空凈值右軸)

05表：十分位組合測(cè)試結(jié)果

800600400200000

十分位組合年化超額收益組合總收益率年化收益率波動(dòng)率Sap組合總收益率年化收益率波動(dòng)率Sap比率平均換手率最大回撤率超額收益率年化超額益率跟蹤誤差信息比率02090542.90027854.38182074990421-.3-.62.5-.08393.5-.6-.9520-.92-.5-.32.5-.58494.72440635170123-192-.62.6-.48453.4-.1-.0480-.347411882.60088654.41.43565110705-199-.72.4-.48654.1-.7-.6486-.261.23692.50168604.02.25645071117-124-.62.5-.48524.3-.9-.8469-.98-071-.12.4-.38374.8-.9-.2573-.19-835-.32.7-.67654.6-348-.4646-.4LS3.2895860104——1.1————————-.0-.0-.04.03.02.01.00.0

0 1

4 5 年化超額收益率多空組合累計(jì)凈值

20798720798731.51.31.10.9206/1/30-100-200-300

207/1/30

208/1/30

209/1/30

0.70.5多收率 多凈值右) 由于新聞息的有性常衰減快一方面?zhèn)冞m當(dāng)提升組合的調(diào)倉頻率；另方面，在子建層面我可以縮短回溯期，考通近期的聞構(gòu)建因。提升組合調(diào)倉頻率半月調(diào)倉提升組合調(diào)倉頻率半月調(diào)倉周度調(diào)倉縮短因子構(gòu)建的回溯期限回溯10D回溯5DI_RISr()AgSoe084664-7361.001312123604492AgSoeNm079539-5011.701514023604192AgSoeNmEx081579-4111.201413425203992AgSoeRL094631-4981.601514223604992AgSoeRLEx120652-4351.501817725205892AgSoeRLT085622-5291.501413123604492AgSoeRLTEx111639-4681.601716725205492AgSoeT072650-7561.201110623603792因子平均值標(biāo)準(zhǔn)差最小值因子平均值標(biāo)準(zhǔn)差最小值最大值I_R統(tǒng)計(jì)量平均股票數(shù)I×Sr()有效期數(shù)AgSoe187842-7152.90222132803292AgSoeNm058740-0702.80080752801092AgSoeNmEx042720-5271.80060562900792AgSoeRL201859-8832.60232242803492AgSoeRLEx224827-6142.30272592903792AgSoeRLT230845-9042.90272612803992AgSoeRLTEx259803-6642.40323092904292AgSoeT209820-7222.80262452803692因子平均值標(biāo)準(zhǔn)差最小值因子平均值標(biāo)準(zhǔn)差最小值最大值I_R統(tǒng)計(jì)量平均股票數(shù)I×Sr()有效期數(shù)AgSoe-.6816-1141.9-.3-.147-.692AgSoeNm106799-9592.30131274702292AgSoeNmEx046784-5232.70060573200992AgSoeRL-.4775-0961.3-.8-.947-.392AgSoeRLEx-.6824-5492.4-.6-.332-.992AgSoeRLT-.0751-9181.5-.8-.747-.392AgSoeRLTEx-.4786-6302.1-.7-.632-.092AgSoeT-.5789-0981.3-.3-.147-.592因子總收益率年化收益率波動(dòng)率Sap比率最大回撤率AgSoe7.01.37112211.3AgSoeNm2.66405921081.8AgSoeNmEx2.2575592097786AgSoeRL8.11.06542661.3AgSoeRLEx9.81.76872811.7AgSoeRLT7.31.36462371.8AgSoeRLTEx8.71.96882561.2AgSoeT6.41.17032111.7因子總收益率年化收益率波動(dòng)率因子總收益率年化收益率波動(dòng)率Sap比率最大回撤率AgSoe6.91.4995139890AgSoeNm2.06978650811.7AgSoeNmEx-.6-.6897-.31.2AgSoeRL5.41.91.21151.4AgSoeRLEx4.79361.60911.7AgSoeRLT5.51.39701311.1AgSoeRLTEx5.71.19861251.6AgSoeT9.11.0976189777因子總收益率年化收益率波動(dòng)率因子總收益率年化收益率波動(dòng)率Sap比率最大回撤率AgSoe7431891.00181.8AgSoeNm5.41.49051271.5AgSoeNmEx6791739170191.4AgSoeRL1.73599600371.5AgSoeRLEx9752461.30241.5AgSoeRLT1.84849600501.3AgSoeRLTEx1.03521.10341.5AgSoeT1.32771.20271.8I_RISr()AgSoe073611-0021.401216825203816AgSoeNm076531-4231.201420025203916AgSoeNmEx070554-3821.801317726203316AgSoeRL082574-6961.601420025204216AgSoeRLEx108588-6511.201825726205116AgSoeRLT063557-7461.001115825203216AgSoeRLTEx089571-7051.901621726204216AgSoeT051591-0611.000912025202616因子平均值標(biāo)準(zhǔn)差最小值因子平均值標(biāo)準(zhǔn)差最小值最大值I_R統(tǒng)計(jì)量平均股票數(shù)I×Sr()有效期數(shù)AgSoe124905-5162.00141922602116AgSoeNm065680-5721.70101342601116AgSoeNmEx059676-9531.40091212401016AgSoeRL130900-9072.90142022602216AgSoeRLEx129885-0832.10152042402116AgSoeRLT119883-9412.40131892602016AgSoeRLTEx116874-2192.30131852401916AgSoeT116873-3662.80131872602016因子平均值標(biāo)準(zhǔn)差最小值因子平均值標(biāo)準(zhǔn)差最小值最大值I_R統(tǒng)計(jì)量平均股票數(shù)I×Sr()有效期數(shù)AgSoe036763-1101.00050654600716AgSoeNm176723-1072.20243404603616AgSoeNmEx121726-2832.50172343002316AgSoeRL015734-9771.20020284600316AgSoeRLEx045786-8682.40060793000816AgSoeRLT015712-2661.20020294600316AgSoeRLTEx053751-1532.90071003001016AgSoeT032737-4551.70040604600716因子總收益率年化收益率波動(dòng)率Sap比率最大回撤率AgSoe8.41.9711252929AgSoeNm2.96065671071.2AgSoeNmEx3.7909593153616AgSoeRL9.81.06522911.7AgSoeRLEx13902.66973151.4AgSoeRLT7.01.76432331.4AgSoeRLTEx8.41.16842631.4AgSoeT7.11.1708228937因子總收益率年化收益率波動(dòng)率因子總收益率年化收益率波動(dòng)率Sap比率最大回撤率AgSoe6.91.91.11291.0AgSoeNm4.3931866108894AgSoeNmEx-.2-.2899-.21.4AgSoeRL3.07541.80741.4AgSoeRLEx2.96611.90641.1AgSoeRLT2.86489690671.7AgSoeRLTEx3.77111.10701.6AgSoeT5.91.71.61181.9因子總收益率年化收益率波動(dòng)率因子總收益率年化收益率波動(dòng)率Sap比率最大回撤率AgSoe2.96351.60621.5AgSoeNm6.51.29321451.7AgSoeNmEx4.1953949100975AgSoeRL3.4782944083939AgSoeRLEx2.06071.70571.7AgSoeRLT5.01.19391281.4AgSoeRLTEx4.99931.50961.5AgSoeT3.08639950871.2 并非調(diào)倉頻率越高越好當(dāng)提升周調(diào)倉時(shí)因在滬深中的表現(xiàn)而所減弱。 隨著調(diào)倉頻率的提升，進(jìn)行了相關(guān)性加權(quán)和剔除的因子整體表現(xiàn)提升更為明。I_RISr()AgSoe096512-2631.401912728804746AgSoeNm038483-12385400805428801946AgSoeNmEx037483-43098900805214501646AgSoeRL084504-36698501711428804146AgSoeRLEx086542-71994101610714503846AgSoeRLT105484-2281.302214828805146AgSoeRLTEx114513-48696302215014505046AgSoeT110480-1951.902315528805446因子平均值標(biāo)準(zhǔn)差最小值因子平均值標(biāo)準(zhǔn)差最小值最大值I_R統(tǒng)計(jì)量平均股票數(shù)I×Sr()有效期數(shù)AgSoe261783-1622.90332262904446AgSoeNm-.7674-5541.9-.0-.829-.146AgSoeNmEx-.6703-7261.9-.9-.428-.046AgSoeRL209844-2832.50251682903546AgSoeRLEx150853-5972.10181202802446AgSoeRLT224788-2231.20281922903746AgSoeRLTEx171764-1741.30221522802746AgSoeT231746-3101.30312102903946因子平均值標(biāo)準(zhǔn)差最小值因子平均值標(biāo)準(zhǔn)差最小值最大值I_R統(tǒng)計(jì)量平均股票數(shù)I×Sr()有效期數(shù)AgSoe012779-6221.70020103500246AgSoeNm019777-8081.90020173500446AgSoeNmEx031764-6661.50040273200546AgSoeRL-.2753-8321.3-.4-.935-.646AgSoeRLEx-.6836-9252.8-.8-.432-.246AgSoeRLT013722-5081.40020123500346AgSoeRLTEx-.8802-6672.9-.2-.532-.346AgSoeT028723-2321.90040273500646因子總收益率年化收益率波動(dòng)率Sap比率最大回撤率AgSoe6.61.0679215886AgSoeNm2.2548579095989AgSoeNmEx2.6491620079727AgSoeRL6.01.1647206992AgSoeRLEx6.21.56941951.4AgSoeRLT6.01.46302071.8AgSoeRLTEx7.11.76722241.3AgSoeT7.41.26832301.7因子總收益率年化收益率波動(dòng)率因子總收益率年化收益率波動(dòng)率Sap比率最大回撤率AgSoe5.21.7954122977AgSoeNm2.45069230551.5AgSoeNmEx3.57269880731.7AgSoeRL3.27369940741.0AgSoeRLEx8892251.60222.3AgSoeRLT2.85479540571.7AgSoeRLTEx2.96271.30621.7AgSoeT5.91.89381331.7因子總收益率年化收益率波動(dòng)率因子總收益率年化收益率波動(dòng)率Sap比率最大回撤率AgSoe5381389780141.2AgSoeNm9372369250261.4AgSoeNmEx1610421.10042.1AgSoeRL-.4-.19300001.7AgSoeRLEx3290851.90081.9AgSoeRLT1.62809310301.0AgSoeRLTEx7521911.50181.5AgSoeT1.52759960281.6I_RISr()AgSoe127522-4871.702416617205546AgSoeNm098480-22683002013917204346AgSoeNmEx145490-33698303020013905546AgSoeRL144508-3701.602819217206246AgSoeRLEx141541-5201.902617613905346AgSoeRLT142508-4461.602818917206146AgSoeRLTEx151527-6601.402919513905746AgSoeT133513-5441.302617617205846因子平均值標(biāo)準(zhǔn)差最小值因子平均值標(biāo)準(zhǔn)差最小值最大值I_R統(tǒng)計(jì)量平均股票數(shù)I×Sr()有效期數(shù)AgSoe244736-0582.70332252703946AgSoeNm-.2717-6791.1-.4-.727-.646AgSoeNmEx-.3708-4361.0-.0-.020-.146AgSoeRL234770-.51.40302062703746AgSoeRLEx174736-4951.60241612002546AgSoeRLT203715-.11.50281922703346AgSoeRLTEx161692-5091.70231572002346AgSoeT199699-0851.30281932703246因子平均值標(biāo)準(zhǔn)差最小值因子平均值標(biāo)準(zhǔn)差最小值最大值I_R統(tǒng)計(jì)量平均股票數(shù)I×Sr()有效期數(shù)AgSoe-.0786-7331.8-.1-.930-.246AgSoeNm105839-0631.90120843001946AgSoeNmEx153888-7791.90171172402346AgSoeRL029787-7751.90040253000546AgSoeRLEx-.1912-9362.6-.4-.024-.646AgSoeRLT003734-8331.80000033000146AgSoeRLTEx-.3840-0922.3-.7-.124-.046AgSoeT001732-5331.30000013000046因子總收益率年化收益率波動(dòng)率Sap比率最大回撤率AgSoe8.41.7699239986AgSoeNm4.91.7654160813AgSoeNmEx4.5978662148841AgSoeRL6.11.36761971.9AgSoeRLEx7.81.97342031.1AgSoeRLT7.41.16562451.8AgSoeRLTEx7.21.67352131.1AgSoeT9.71.17082691.3因子總收益率年化收益率波動(dòng)率因子總收益率年化收益率波動(dòng)率Sap比率最大回撤率AgSoe5.41.49391241.1AgSoeNm3.48069270871.2AgSoeNmEx7281851.70181.8AgSoeRL3.98909710921.1AgSoeRLEx2.76661.60631.1AgSoeRLT5.41.69511261.1AgSoeRLTEx3.38581.20801.0AgSoeT6.21.2944145901因子總收益率年化收益率波動(dòng)率因子總收益率年化收益率波動(dòng)率Sap比率最大回撤率AgSoe1.83711.10351.9AgSoeNm6.31.61.11341.5AgSoeNmEx6.41.01.01231.7AgSoeRL1700441.20041.0AgSoeRLEx1.82901.00252.6AgSoeRLT0310081.10011.3AgSoeRLTEx-.9-.31.6-.31.7AgSoeT1.03331.20321.9 事實(shí)上，短回溯類于按照間減加權(quán)特情況。因測(cè)試結(jié)來，進(jìn)行衰減加的子相對(duì)不行時(shí)間減權(quán)的因表并無明優(yōu)。Average_Score_T與大類風(fēng)格因子相關(guān)性 Avg_Score_REL_T_Ex與大類風(fēng)格因子相關(guān)性025020015

019018

0150015010005004002003000-.5-.5-.0-.5

018 018010005000-.5-.0-.5-.0-.5

-.9

006

-.0

-.1 000

-.0

-.8第三節(jié)第三節(jié)新聞情緒因子的應(yīng)用 我們對(duì)正新聞（關(guān)=，正概>0.）和負(fù)新聞（關(guān)=，負(fù)概>0.）的事件效應(yīng)行研究。單個(gè)正面新聞的事件效應(yīng)

單個(gè)負(fù)面新聞的事件效應(yīng)600 250500

200400

150300

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