Taiwan Factor Library

TEJ Factor Library is a structured, point-in-time (PIT) database built to help investors understand asset risks and returns through well-defined factor characteristics. The library currently spans nine key factor categories — Momentum, Dividend Yield, Value, Growth, Quality, Liquidity, Volatility, Size, and Sentiment. (Soft Launched)<br/><br/>Factor Pipline Schedule<br/>2025/6- Reach to 60 factors (Academically theory support)<br/>2025/12-Reach to 120 factors (Taiwan-specific factors and ML factor)<br/><br/>Frequency: Updated Daily

Scale: Included listed and delisted companies in Taiwan. The number of listed companies is around 2000.<br/><br/>Table Included:<br/>**TWFACTORLIBRARY**<br/><br/>Field included:<br/>**1. Basic Information**

- COID
- COID_Name
- Date

**2. Valuation Ratios**

- Book-to-Market (BM)
- Earnings-to-price (EP)
- Dividend Yield (DP)
- Operating Cash Flow-to-Price (OCP)
- Cash Flow-to-Price (CP)
- Sales-to-Price (SP)

**3. Profitability Metrics**

- Gross Profits-to-Assets (GP/A)
- Gross Profits-to-Lagged Assets (GLA)
- Gross Profits-to-Lagged Equity (GLE)
- Return on Equity (ROE)
- Change in Return on Equity (d ROE)
- Cash-based Operating Income-to-Assets (COP)
- Operating Income-to-Net Operating Assets (RNA)

**4. Investment & Growth Metrics**

- Investment-to-Assets (IA)
- Investment Growth (IG)
- Inventory Growth (IVG)
- Net Operating Assets (NOA)

**5. Efficiency / Turnover Ratios**

- Capital Turnover (CTO)
- Assets Turnover (ATO)
- Assets Liquidity-to-Market Value (ALM)
- Assets Liquidity-to-Total Assets (ALA)

**6. Momentum & Trend Factors**

- Price momentum (last 252 days, MOM11)
- 52-Week High Momentum (last 252 days, MOM52WH)
- Price momentum (last 126 days, MOM6)
- Trend Momentum (TCMOM)
- Trend Clarity (TC)

**7. Risk / Volatility Metrics**

- Idiosyncratic Volatility (last 21 days, IVOL)
- Idiosyncratic Volatility per the CAPM (last 21 days, IVOLC)
- Capm Beta (Beta)

**8. Market-based Activity Metrics**

- Dollar Trading Volume (last 126 days, DVOL)
- Amihud Illiquidity (last 126 days, ILLIQ)
- Share Turnover (last 126 days, TURN)
- Market Value (MV)
- Capital Gain Overhang (CGO)
- Net Current Asset-to-Market Value (NCAV／MV)

**9. Earnings Signals**

- Earnings Surprise (SUE)
- Revenue Surprises (RS)

**10. Short Interest / Sentiment**

- Short Interest Ratio: Short Sale Amount of SBL (SIR_Sbl_A)
- Short Interest Ratio: Short Sale Balance Amount of SBL (SIR_Sbl_BA)

原始信息汇总

Taiwan Factor Library 数据集概述

数据集基本信息

• 提供商: Taiwan Economic Journal (TEJ)
• 访问权限: 免费无限访问
• 更新频率: 每日更新
• 时间覆盖范围: 2025年5月5日 - 2025年5月9日（按天）
• 地理覆盖范围: 中国（按国家）
• 云区域可用性: 支持AWS多个区域（包括开普敦、雅加达、孟买、大阪等45个区域）

数据集描述

TEJ Factor Library是一个结构化、时点（PIT）数据库，旨在帮助投资者通过明确定义的因子特征理解资产风险和回报。该库目前涵盖九个关键因子类别：

• 动量（Momentum）
• 股息收益率（Dividend Yield）
• 价值（Value）
• 成长（Growth）
• 质量（Quality）
• 流动性（Liquidity）
• 波动性（Volatility）
• 规模（Size）
• 情绪（Sentiment）

扩展计划

• 2025年6月：扩展至60个因子（学术理论支持）
• 2025年12月：扩展至120个因子（台湾特定因子和机器学习因子）

数据规模

• 包含台湾上市和退市公司
• 上市公司数量约2000家

数据表结构

表名: TWFACTORLIBRARY

包含字段

1. 基本信息

   • COID
   • COID_Name
   • Date

2. 估值比率

   • Book-to-Market (BM)
   • Earnings-to-price (EP)
   • Dividend Yield (DP)
   • Operating Cash Flow-to-Price (OCP)
   • Cash Flow-to-Price (CP)
   • Sales-to-Price (SP)

3. 盈利能力指标

   • Gross Profits-to-Assets (GP/A)
   • Gross Profits-to-Lagged Assets (GLA)
   • Gross Profits-to-Lagged Equity (GLE)
   • Return on Equity (ROE)
   • Change in Return on Equity (d ROE)
   • Cash-based Operating Income-to-Assets (COP)
   • Operating Income-to-Net Operating Assets (RNA)

4. 投资与成长指标

   • Investment-to-Assets (IA)
   • Investment Growth (IG)
   • Inventory Growth (IVG)
   • Net Operating Assets (NOA)

5. 效率/周转率

   • Capital Turnover (CTO)
   • Assets Turnover (ATO)
   • Assets Liquidity-to-Market Value (ALM)
   • Assets Liquidity-to-Total Assets (ALA)

6. 动量与趋势因子

   • Price momentum (last 252 days, MOM11)
   • 52-Week High Momentum (last 252 days, MOM52WH)
   • Price momentum (last 126 days, MOM6)
   • Trend Momentum (TCMOM)
   • Trend Clarity (TC)

7. 风险/波动性指标

   • Idiosyncratic Volatility (last 21 days, IVOL)
   • Idiosyncratic Volatility per the CAPM (last 21 days, IVOLC)
   • Capm Beta (Beta)

8. 市场活动指标

   • Dollar Trading Volume (last 126 days, DVOL)
   • Amihud Illiquidity (last 126 days, ILLIQ)
   • Share Turnover (last 126 days, TURN)
   • Market Value (MV)
   • Capital Gain Overhang (CGO)
   • Net Current Asset-to-Market Value (NCAV／MV)

9. 盈利信号

   • Earnings Surprise (SUE)
   • Revenue Surprises (RS)

10. 空头利息/情绪

    • Short Interest Ratio: Short Sale Amount of SBL (SIR_Sbl_A)
    • Short Interest Ratio: Short Sale Balance Amount of SBL (SIR_Sbl_BA)

商业需求

量化分析

通过利用因子库，研究人员可以加速策略开发，提高研究效率，降低数据错误风险，并增强策略的稳健性和回测结果的可信度，有效支持量化投资策略的开发和实际实施。

使用示例

查询1101 TCC在2025/05/05至2025/05/09期间的booktomarket值

sql SELECT DATE, BOOKTOMARKET FROM TW_FACTORLIBRARY.TWFACTORLIBRARY WHERE COID = 1101 AND DATE BETWEEN 2025/05/05 AND 2025/05/09

相关数据集

• Institutional Investors Buy and Sell of Taiwan Stock Market - Sample
• Taiwan Listed Companies Event Analysis: Sentiment Scores & Metrics - Sample
• Details of Broker net Buy and Sell of Taiwan Stock Market
• Taiwan shareholding distribution data
• Taiwan Listed Companies Event Analysis: Sentiment Scores & Metrics
• Monthly Sales of Taiwan Listed Companies - Sample

联系方式

• 销售: [e-mail]
• 支持: [e-mail]

法律条款

• 标准条款

搜集汇总

背景与挑战

背景概述

台湾因子库(TEJ Factor Library)是一个包含动量、股息率、价值等9大类因子的结构化数据库，覆盖约2000家台湾上市公司数据，每日更新。该库提供10个类别的详细字段，包括基本信息、估值比率、盈利能力等指标，用于分析资产风险与收益。