[xls]faculty.fuqua.duke.educharvey/factor-list.xlsx · web view index option return ... html...

Year Risk factor Formation Type Journal

1964 Market return THEORY Common financial Journal of Finance

1965 Market return THEORY Common financial Journal of Finance

1966 Market return THEORY Common financial Econometrica

1967 1 Total volatility Individual stock volatility Individual financial

1972

Market return THEORY Common financial

Journal of Finance

THEORY Common macro

1972 1 Market return Equity index return Common financial

1972 Market return THEORY Common financial Journal of Business

Common #

Indi. #

Yale Economic Essays

Relative prices of consumption goods

Studies in the Theory of Capital

Markets

HLZ: For this sheet, all factors ("common" & "individual") are sorted by year.

A1

HLZ: For this sheet, all factors ("common" & "individual") are sorted by year.

1973 THEORY Econometrica

1973

Market return Equity index return Common financial

2 Beta squared Square of market beta Common financial

2 Idiosyncratic volatility Residual stock volatility from CAPM Individual financial

1973 THEORY Common financial

1974 World market return THEORY Common financial

1974 THEORY Common financial

1975 3 Journal of Finance

1976


Journal of Finance

State variables representing future

investment opportunityCommon

financial/macro

Journal of Political Economy

High order market return

Journal of Financial and Quantitative

Analysis

Journal of Economic Theory

Individual investor resources

Journal of Financial

Economics

Earnings growth expectations

Projecting firm earnings growth based on market beta, firm size, dividend payout ratio, leverage

and earnings variabilityIndividual

accounting

1976

3 Squared market return Square of equity index return Common financial

Journal of Finance

1977 4 PE ratio Firm price-to-earnings ratio Journal of Finance

1978 THEORY Common macro Econometrica

1979

5 Dividend yield Dividend per share divided by share price


1979 THEORY Common macro

1980 Short sale restrictions THEORY Journal of Finance

1981


Journal of FinanceTreasury bond return 3-month US Treasury bill return Common financial

Individual accounting

Marginal rate of substitution

Individual accounting Journal of

Financial Economics

Aggregate real consumption


Economics

Individual microstructure

1981

Corporate bond return Common financial

Journal of Finance

1981 4 Treasury bill return Common financial Journal of Finance

1981 World consumption THEORY Common macro

1981 Transaction costs THEORY Journal of Finance

1981 6 Firm size Market value of firm stocks Individual financial

1981 7 Short interest Equity short interest

1982 THEORY Common financial Journal of Business

1983 8 EP ratio Firm earnings-to-price ratio

Index of long-term Aa utility bonds with deferred calls returns

Principle components extracted from returns of Treasury bills


Economics



Economics



Analysis

Individual consumer's wealth



Economics

1983 THEORY Common financial Journal of Finance

1983 Institutional holding Individual other

1984 Earnings expectations Consensus earnings expectations

1984 New listings dummy

1985


5 Common macro

6 Common macro

7 Unanticipated inflation Realized minus expected inflation Common macro

8 Credit premium Common financial

Foreign exchange rate change

Institutional concentration rankings from Standard and Poor's

Financial Analyst Journal



Announcement that a company has filed a formal application to list on the NYSE




Economics

Industrial production growth

Seasonally adjusted monthly growth rate of industrial production

Change in expected inflation

Change in expected inflation as defined in Fama and Gibbons (1984)

Risk premium measured as difference in return between ``under Baa" bond portfolio and long-

term government bond portfolio

1985

9 Term structure Common financial

1985 9 Long-term past abnormal return Individual other Journal of Finance

1985 THEORY Common financial Econometrica

1986 Transaction costs THEORY

1986 Transaction costs THEORY

1986 Expected inflation THEORY Common macro Journal of Finance

1986 10 Long-term interest rate Common financial Journal of Finance

1986

Common macro

Journal of Business


Economics

Yield curve slope measured as difference in return between long-term government bond and

1-month Treasury bill

Long-term return reversal

Investment opportunity change

Common microstructure


Economics



Change in the yield of long-term government bonds



1986

Credit premium Common financial

Journal of Business

Term structure Common financial

Unanticipated inflation Realized minus expected inflation Common macro

Common macro

11 Change in oil prices Growth rate in oil prices Common macro

1988 10 Debt to equity ratio Non-common equity liabilities to equity Journal of Finance

1988

1989 12 Consumption growth Per capita real consumption growth Common macro Journal of Finance

1989 11 Illiquidity Illiquidity proxied by bid-ask spread Journal of Finance





Changes in expected inflation

Changes in expected inflation as defined in Fama and Gibbons (1984)


Long-term growth forecasts

Long-term growth forecasts proxied by the five-year earnings per share growth rate forecasts




1989 12

1990 13 Return predictability Journal of Finance

1991


Consumption growth Common macro

Credit spread Common financial

13 Common financial

Unexpected inflation Common macro

14 Real short rate One-month Treasury bill return less inflation rate Common financial

1992

15 Size

Journal of Finance

16 Value

Predicted earnings change

Predicted earnings change in one year based on a financial statement analysis that combines a large

set of financial statement itemsIndividual

accountingJournal of

Accounting & Economics

Short-term (one month) and long-term (twelve months) serial correlations in returns Individual financial


Real per capita growth of personal consumption expenditures for nondurables & services

Baa corporate bond return less monthly long-term government bond return

Change in the slope of the yield curve

Change in the difference between a 10-year Treasury bond yield and a 3-month Treasury bill

yield

Difference between actual and time-series forecasts of inflation rate

Return on a zero-investment portfolio long in small stocks and short in large stocks

Common accounting

Return on a zero-investment portfolio long in growth stocks and short in value stocks

Common accounting

1992 Return momentum Individual financial

1992 Predicted return signs

1993 14 Return momentum Past stock returns Individual other Journal of Finance

1993

Return on S&P stocks Returns on S&P stocks Common financial

Returns on non-S&P stocks Common financial

1993 High order equity index returns and bond returns Common financial Journal of Finance

1993


Size

Value

Size and beta adjusted mean prior five-year returns


Economics

Return signs predicted by a logit model using financial ratios


Journal of Accounting &

Economics

Review of Financial Studies

Returns on non-S&P stocks

High order market and bond return


Economics


Common accounting


Common accounting

1993

Term structure Common financial

Credit risk Common financial

1993

World equity return Common financial

Common financial

Change in long-term inflationary expectations Common macro

Common financial

Change in oil price Common macro

Common financial

Change in G-7 industrial production Common macro

Common macro

1994

17 World equity return Common financial


Economics

Difference in return between long-term government bond and one-month Treasury bill

Difference in return between long-term corporate bond and long-term government bond

US dollar return of the MSCI world equity market in excess of a short-term interest rate


Change in weighted exchange rate

Log first difference of the trade-weighted US dollar price of ten industrialized countries'

currencies

Change in long-term inflationary expectations

Weighted real short-term interest rate

GDP weighted average of short-term interest rates in G-7 countries

Change in the monthly average US dollar price per barrel of crude oil

Change in the Eurodollar-Treasury yield

spreadFirst difference of the spread between the 90-day Eurodollar yield and the 90-day Treasury-bill yield

Change in G-7 industrial production

Unexpected inflation for the G-7 countries

Unexpected inflation based on a time-series model on an aggregate G-7 inflation rate

US dollar return of the MSCI world equity market in excess of a short-term interest rate

Journal of Banking and Finance

1994

18 Common financial

19 Change in long-term inflationary expectations Common macro

Change in oil price Common macro

1994

20 Tax rate for capital gains Short-term capital gains tax rate

Journal of Finance

21 Tax rate for dividend Dividend tax rate

1995

22 Change in expectation from economic surveys Common macro

Journal of Finance

23 Change in expected GNP Change in expectation from economic surveys Common macro

1995 15 New public stock issuance Journal of Finance

1995

16 Dividend initiations Initiations of cash dividend payments Individual financial

Journal of Finance

17 Dividend omissions Omissions of cash dividend payments Individual financial


Change in weighted exchange rate

Log first difference of the trade-weighted US dollar price of ten industrialized countries'

currencies



Common accounting

Common accounting


New public stock issuance


1995 Whether a firm makes seasoned equity offerings Individual financial

1996 24 Money growth Common macro Journal of Finance

1996 25 Common macro

1996


Labor income Real labor income growth rate Common macro

Dividend yield Dividend yield on value-weighted index Common financial

Interest rate Treasury bill rate less 1-year moving average Common financial

Term structure Long-short government bond yield spread Common financial

1996


Journal of Finance

Seasoned equity offerings


Economics

M2 or M3 minus currency, divided by total population

Returns on physical investment

Inferred from investment data via a production function



1996 Slope of yield curve Long-short government bond yield spread Common financial Journal of Finance

Labor income Real labor income growth rate Common macro

1996 18 Earnings forecast Errors in analysts' forecasts on earnings growth Journal of Finance

1996 19 R&D capital R&D capital over total assets

1996 20 Accruals Accounting Review

1996

21 Buy recommendations Buy recommendations from security analysts Individual financial

Journal of Finance

22 Sell recommendations Sell recommendations from security analysts Individual financial

1996 23 Credit rating Individual other




Economics

Accruals defined by the change in non-cash current assets, less the change in current

liabilities, less depreciation expense, all divided by average total assets


Institutional investor country credit rating from semi-annual survey

Journal of Portfolio Management

1996 24 Illiquidity

1997 Common macro Journal of Finance

1997

Common financial

Common financial

Value strategy return Common financial

Common financial

Common financial

1997

Size

Journal of Finance

Value


Derivative transaction price with respect to signed trade size



Economics

Nonlinear functions of consumption growth

Low order orthonormal polynomials of current and future consumption growth

Opportunistic strategy return

Return for hedge funds that follow an opportunistic strategy


Global/macro strategy return

Return for hedge funds that follow a global/macro strategy

Return for hedge funds that follow a value strategy

Trend following strategy return

Return for hedge funds that follow a trend following strategy

Distressed investment strategy return

Return for hedge funds that follow a distressed investment strategy


Common accounting


Common accounting

1997

27 Momentum Common other

Journal of Finance

1997

Size Market value of equity

Book-to-market ratio

Momentum Past cumulative stock return Individual financial

25 Trading volume Dollar volume traded per month

1997 26 Disclosure level Accounting Review

1997 27 Standard deviation of earnings forecasts

1997


Journal of Finance

Value

1997

Return on a zero-investment portfolio long in past winners and short in past losers



Economics

Book value of equity plus deferred taxes to market value of equity



Voluntary disclosure level of manufacturing firms' annual reports


Earning forecasts uncertainty


Journal of Financial Research




Earnings management likelihood

Earnings management likelihood obtained by regressiong realized violators of Generally

Accepted Accounting Principles on firm characteristics


Journal of Accounting and

Public Policy

1997 28 Corporate acquisitions Individual financial Journal of Finance

1998 Fundamental analysis

1998 Firm fundamental value

1998 29 Bankruptcy risk The probability of bankruptcy from Altman (1968) Journal of Finance

1998 30 Illiquidity

1999 28 Common financial Journal of Finance

1999 31 Industry momentum Industry-wide momentum returns Individual other Journal of Finance

Difference between stock mergers and cash tender offers for corporate acquisitions

Investment signals constructed using a collection of variables that relate to contemporaneous changes in inventories, accounts receivables,

gross margins, selling expenses, capital expenditures, effective tax rates, inventory

methods, audit qualifications, and labor force sales productivity.


Accounting Review

Firms' fundamental values estimated from I/B/E/S consensus forecasts and a residual

income modelIndividual


Accounting and Economics


Liquidity proxied by the turnover rate: number of shares traded as a fraction of the number of

shares outstandingIndividual

microstructureJournal of

Financial Markets

Fitted return based on predictive regressions

Expected portfolio return obtained by projecting historical returns on lagged macro instruments,

including term spreads, dividend yield, credit spread and short-term Treasury bill

1999 Debt offerings Individual financial

2000 29 Entrepreneur income Proprietary income of entrepreneurs Common financial Journal of Finance

2000 30 Coskewness Common financial Journal of Finance

2000 32 Trading volume Past trading volume Journal of Finance

2000

33 Within-industry size Individual financial

Working Paper

34 Within-industry value

35

36

37 Individual financial

Whether a firm makes straight and convertible debt offerings


Economics

Excess return on a portfolio which long stocks with low past coskewness


Difference between firm size and average firm size within the industry

Difference between firm book-to-market ratio and average book-to-market ratio within the

industryIndividual

accounting

Within-industry cashflow to price ratio

Difference between firm cashflow to price ratio and average cashflow to price ratio within the

industryIndividual

accounting

Within-industry percent change in employees

Difference between firm percent change in employees and average percent change in

employees within the industryIndividual

accounting

Within-industry momentum

Difference between firm past stock prices and average past stock prices within the industry

2000 38

2001

Consumption growth Per capita real consumption growth rate Common macro

31 Common macro

2001

39 Level of liquidity Level of dollar trading volume and share turnover

40 Variability of liquidity

2001 41 Financial constraints Individual financial

2001 Straddle return Common financial

2001 Journal of Finance

Financial statement information

A composite score based on historical financial statement that separates winners from losers


Journal of Accounting Research


Consumption-wealth ratio

Proxied by a weighted average of human and nonhuman wealth

Individual microstructure Journal of

Financial EconomicsVolatility of dollar trading volume and share

turnoverIndividual

microstructure

Measure financial constraints with Kaplan and Zingales (1997) index


Lookback straddles' returns constructed based on option prices


Consensus recommendations

Consensus recommendations measured by the average analyst recommendations


2001 42 Bond rating changes Moody's bond ratings changes Individual financial Journal of Finance

2001 43 Analysts' forecasts Financial analysts' forecasts of annual earnings Accounting Review

2001 44 Institutional ownership Institutional holdings of firm assets

2002


Journal of Finance

Squared market return Squared equity index return Common financial

Labor income growth Smoothed labor income growth rate Common financial

32 Squared smoothed labor income growth rate Common financial

2002 45 Distress risk Distress risk as proxied by Ohlson's O-score Individual financial Journal of Finance

2002 46 Analyst dispersion Dispersion in analysts' earnings forecasts Journal of Finance



Quarterly Journal of Economics

Squared labor income growth

Individual behavioral

2002 47 Breadth of ownership

2002 48 Information risk Journal of Finance

2002 49 Short-sale constraints Shorting costs for NYSE stocks

2002 50 Earnings sustainability Working Paper

2002 33 Market illiquidity

2003 34 GDP growth news Common macro

2003 35 Market liquidity

2003

Individual financial

Ratio of the number of mutual funds holding long positions in the stock to total number of mutual

fundsIndividual

microstructureJournal of Financial

Economics

Probability of information-based trading for individual stock




Economics

A summary score based on firm fundamentals that informs about the sustainability of earning


Average over the year of the daily ratio of the stock's absolute return to its dollar trading

volumeCommon

microstructureJournal of

Financial Markets

GDP growth news obtained from predictive regressions on lagged equity and fixed-

income portfolios


Economics

Aggregated liquidity based on firm future excess stock return regressed on current signed excess

return times trading volumeCommon

microstructureJournal of Political

Economy

Idiosyncratic return volatility

Residual variance obtained by regressing daily stock returns on market index return


Economics

2003 Transaction costs Bid-ask spread, volume, etc.

Investor sophistication Number of analysts or institutional owners

2003 51 Shareholder rights

2003 52 Excluded expenses Excluded expenses in firm's earnings reports

2003 53 Growth in long-term net operating assets Accounting Review

2003 54 Order backlog

2003 55 Return consistency Consecutive returns with the same sign Individual financial

2004 36 Cross-sectional consumption growth variance Common macro Journal of Finance


EconomicsIndividual

microstructure


Shareholder rights as proxied by an index using 24 governance rules




Review of Accounting Studies

Growth in long-term net operating assets


Order backlog divided by average total assets, transformed to a scaled-decile variable



Journal of Behavioral Finance

Idiosyncratic consumption

2004

37 Cash flow news News about future market cash flow Common financial

38 Discount rate news News about future market discount rate Common financial

2004


39 Index option returns Return on S\&P 500 index option Common financial

2004 40 Default risk Common financial Journal of Finance

2004

41 Real interest rate Common financial

Journal of Finance

42 Common financial

2004 43 Common other


American Economic Review


Firm default likelihood using Merton's option pricing model

Real interest rates extracted from a time-series model of bond yields and expected inflation

Maximum Sharpe ratio portfolio

Maximum Sharpe ratio portfolio extracted from a time-series model of bond yields and expected

inflation

Return reversals at the style level

Zero-investment portfolios sorted based on past return performance at the style level


Economics

Unexpected change in R&D

Unexpected change in firm research and expenditures


2004 57 52-week high Nearness to the 52-week high price Individual financial Journal of Finance


2004 59 Put-call parity Violations of put-call parity Individual financial

2004 60

2005 44 Three-year consumption growth rate Common macro

2005 45 Long run consumption Common macro Journal of Finance

2005 46 Housing price ratio Ratio of housing to human wealth Common financial Journal of Finance

2005

61 Proxies for corporate control

Journal of Finance

Analysts' recommendations

Consensus analysts' recommendations from sell-side firms



Economics

Abnormal capital investment

Past year capital expenditures scaled by average capital expenditures for previous three years



Analysis

Long-horizon consumption growth


Cash flow risk measured by cointegration residual with aggregate consumption

External corporate governance


2005

62 Proxies for share-holder activism

Journal of Finance

2005


47 Market liquidity

63 Individual stock liquidity

2005 64 Price delay Delay in a stock price's response to information

2005 65 Heterogeneous beliefs Individual financial

2005 66 Short-sale constraints

2005 67 Short-sale constraints

2005 68 Patent citation Individual other

Internal corporate governance



Economics Value-weighted individual stock illiquidity as

defined in Amihud (2002) Common

microstructure

Individual stock illiquidity as defined in Amihud (2002)




Factors constructed from disagreement among analysts about expected short- and long-term

earningsReview of

Financial Studies

Short-sale constraint proxied by Institutional ownership



Economics

Short-sale constraint proxied by short interest and institutional ownership



Economics

Change of patent citation impact deflated by average total assets

Journal of Accounting,

Auditing & Finance

2005 69 Information uncertainty Individual financial

2005 70 Adjusted R&D Working Paper

2005 71 R&D reporting biases

2005 72 Growth index

2006

Market return Equity index return and its square Common financial

Index option return Index option return and its square Common financial

Product of market and option returns Common financial

2006 48 Financing frictions Default premium Common financial

2006

49 Household investment growth Common macro

Journal of Business

Information uncertainty proxied by firm age, return volatility, trading volume or cash flow

durationReview of

Accounting Studies

Adjusted R&D that incorporates capitalization and amortization


R&D reporting biases proxied by the difference between R&D growth and earnings growth


Contemporary Accounting Research

A combined index constructed based on earnings, cash flows, earnings stability, growth stability and

intensity of R&D, capital expenditure and advertising




Interaction between index and option return


Investment growth by households

2006

50 Common macro

Journal of Business

51 Common macro

52 Financial firms investment growth Common macro

2006 Third to tenth power of market return Common financial Journal of Business

2006 73 Financial constraints Individual financial

2006 53 Downside risk Common financial

2006

54 Systematic volatility Common financial

Journal of Finance

74 idiosyncratic volatility Individual financial

2006 55 Investor sentiment Journal of Finance

Investment growth by nonfarm nonfinancial

corporate firmsNonfarm nonfinancial corporate firms investment

growth

Investment growth by nonfarm noncorporate

businessNonfarm noncorporate business investment

growth

Investment growth by financial firms

Third to tenth power of market return

Constraint index estimated from a firm's investment Euler equation


Correlation with index return conditional on index return being below a threshold value


Aggregate volatility relative to Fama and French (1992) three-factor model

Idiosyncratic volatility relative to Fama and French (1992) three-factor model

Composite sentiment index based on various sentiment measures

Common behavioral

2006 56 Retail investor sentiment Journal of Finance

2006 57 Durable and nondurable consumption growth Common macro Journal of Finance

2006


Journal of Finance

58 Trading volume

2006 59 Liquidity

2006 60 Earnings

2006 61 Liquidity

2006 75 Capital investment Capital expenditure growth Journal of Finance

Systematic retail trading based on transaction data

Common behavioral

Durable and nondurable consumption growth

Return on a hedge portfolio constructed using trading volume and market returns


Market-wide liquidity constructed first by decomposing firm-level liquidity into variable and

fixed price effects then averaging the variable component



Economics

Return on a zero-investment portfolio long in stocks with high earnings surprises and short in

stocks with low earnings surprisesCommon

accountingJournal of Financial

Economics

Turnover-adjusted number of days with zero trading over the prior 12 months



Economics


2006 76 Industry concentration Journal of Finance

2006

77 Environment indicator Individual other

78 Employment indicator Individual other

79 Community indicator Individual other

2006 80 Intangible information Journal of Finance

2006

81 Profitability Expected earnings growth

82 Investment Expected growth in book equity

Book-to-market

2006 83 Net financing

Industry concentration as proxied by the Herfindahl index


A composite index measuring a firm's environmental responsibility

Financial Management

A composite index measuring employee responsibility

A composite index measuring community responsiveness

Residuals from cross-sectional regression of firm returns on fundamental growth measures




EconomicsIndividual

accounting



Net amount of cash flow received from external financing



Economics

2006 84 Analysts' forecasted earnings per share Working Paper

2006 85 Pension plan funding Journal of Finance

2006 86 Acceleration Individual financial Working Paper

200t6 87

2007 62 Payout yield Journal of Finance

2007

63 Productivity Productivity level as in King and Rebelo (2000) Common macro

64 Capital stock Common macro

2007 65 Common macro Journal of Finance

Forecasted earnings per share


Pension plan funding status calculated as the difference between the fair value of plan assets and the projected benefit obligation, divided by

market capitalization


Firm's ranking on change in six-month momentum relative to the cross-section of other

firms

Unexpected earnings' autocorrelations

Standardized unexpected earnings' autocorrelations via the sign of the most recent

earnings realizationIndividual


Accounting Research

Return on a zero-investment portfolio long in high-yield stocks and short in low-yield stocks

Common accounting


EconomicsQuarterly capital stock interpolated from annual data

Fourth-quarter to fourth-quarter

consumption growth Fourth-quarter to fourth-quarter consumption

growth rate

2007 88 Credit rating S&P firm credit rating Individual financial Journal of Finance

2007 89 Trader composition Working Paper

2007 90 Change in order backlog Change in order backlog

2007 91 Firm productivity Working Paper

2007 92 Individual financial Working Paper

2007 93 Ticker symbol Creativity in stocks' ticker symbols Individual other

2007 66 Earnings cyclicality Common macro Working Paper

2008

67 Common financial

Fraction of total trading volume of a stock from institutional trading



Seoul Journal of Business

Firm productivity measured by returns on invested capital


Insider forecasts of firm volatility

Future firm volatility obtained from executive stock options

Quarterly Review of Economics &

Finance

Sensitivity of earnings to changes in aggregate total factor productivity

Market volatility innovation

Difference in monthly average of squared daily return differences


2008

94 Firm age Firm's public listing age


95 Product of market volatility and firm age

2008

68 Common financial

Journal of Finance

69 Common financial

2008 70 Investment growth Common financial

2008

71 Across-state mean consumption growth rate Common macro

72 Across-state consumption growth variance Common macro

73 Mean habit growth Across-state mean habit growth rate Common macro

74 Variance of habit growth Across-state habit growth variance Common macro



Interaction between market volatility and

firm ageIndividual

accounting

Short-run market volatility

High frequency volatility extracted from a time-series model of market returns

Long-run market volatility

Low frequency volatility extracted from a time-series model of market returns

Return on a zero-investment portfolio long in low investment growth firms and short in high

investment growth firmsReview of

Financial Studies

Mean consumption growth


Variance of consumption growth

2008 75 Liquidity

2008 96 Individual financial

2008 97 Distress Individual financial Journal of Finance

2008

98 Shareholder advantage Benefits from renegotiation upon default

99

2008 100 Asset growth Year-on-year percentage change in total assets Journal of Finance

2008 101 Share issuance Annual share issuance based on adjusted shares Journal of Finance

2008 Working Paper

Systematic liquidity extracted from eight empirical liquidity measures



Economics

Country-level idiosyncratic volatility

Weighted average of variances and auto-covariances of firm-level idiosyncratic return

shocksReview of

Financial Studies

Distressed firm failure probability estimated based on a dynamic logit model


Review of Financial StudiesInteraction between

shareholder advantage and implied market

value of assets

Implied market value of assets provided by Moody's KMV




Earnings announcement return

Earnings announcement return capturing the market reaction to unexpected information

contained in the firm's earnings releaseIndividual financial

2008 102 Firm economic links Individual financial Journal of Finance

2008 103 Sin stock Individual other

2008 104 Goodwill impairment Buyers' overpriced shares at acquisition Accounting Review

2008 105 Changes in order backlog on future profitability Working Paper

2008 106 Investor recognition Individual other

2008 107 DuPont analysis Sales over net operating assets in DuPont analysis Accounting Review

2008 108 Small trades Volume arising from small trades

2008 76 Common financial Working Paper

Economic links proxied by return of a portfolio of its major customers

Stocks in the industry of adult services, alcohol, defense, gaming, medical and tobacco



Information in order backlog


Investor recognition proxied by the change in the breadth of institutional ownership





Idiosyncratic component of S&P 500 return

Residual of the linear projection of the S&P 500 return onto the CRSP value weighted index return

2009

77 Common macro

Journal of Finance

78 Cash flow duration Common macro

2009 Financial constraints THEORY Journal of Finance

2009 79 Aggregated microlevel stockholder consumption Common macro Journal of Finance

2009 80 Takeover likelihood Common financial

2009 81 Illiquidity

2009 82 Cash flow

2009

83 Investors' beliefs Common other

84 Investors' uncertainty Common other

Cash flow covariance with aggregate consumption


Cash flow duration sensitivity to aggregate consumption

Common financial/macro

Long-run stockholder consumption growth

Estimated via a logit model of regressing ex-post acquisition indicator on various firm- and

industry-level accounting variablesReview of

Financial Studies

Estimated using structural formula in line with Kyle's (1985) lambda



Aggregate earnings based on revisions to analyst earnings forecasts

Common accounting


Economics

Belief extracted from a two-state regime-switching model of aggregate market return and

aggregate output Review of Financial StudiesUncertainty extracted from a two-state regime-

switching model of aggregate market return and aggregate output

2009 109 Media coverage Firm mass media coverage Journal of Finance

2009 110 Financial distress Credit rating downgrades

2009 111 Idiosyncratic volatility

2009 112 Debt capacity Journal of Finance

2009

113

114 Difference between call and put implied volatility

2009 115 Productivity of cash Working Paper

2009 116 Advertising Change in expenditures on advertising Working Paper




Economics

Conditional expected idiosyncratic volatility estimated from a GARCH model



Economics

Firm tangibility as in Almeida and Campello (2007)


Realized-implied volatility spread

Difference between past realized volatility and the average of call and put implied volatility Individual financial

Management Science

Call-put implied volatility spread Individual financial

Net present value of all firm's present and future projects generated per dollar of cash holdings




2009 118 Information revelation Working Paper

2009 119 Earnings volatility Earnings volatility Working Paper

2009 120 Cash flow volatility

2009

121 Local unemployment Relative state unemployment Individual other

Working Paper

122 Local housing collateral State-level housing collateral Individual other

2009 123 Efficiency score Individual financial

2009 124 Order imbalance

Analyst forecasts optimism

Relative optimism and pessimism proxied by the difference between long-term and short-term

analyst forecast of earnings growthJournal of

Financial Markets

Monthly estimate of the daily correlation between absolute returns and dollar volume



Rolling standard deviation of the standardized cashflow over the past sixteen quarters


Journal of Empirical Finance

Firm efficiency/inefficiency estimated from firm characteristics based on a stochastic frontier

approach


Analysis

Difference between buyer- and seller-initiated trades



2010 85 Estimated based on S&P index option returns Common financial Working Paper

2010 86 Market mispricing

2010 125 Idiosyncratic skewness Individual financial

2010 126 Firm contributions to US political campaigns Individual other Journal of Finance

2010 127 Real estate holdings

2010

128 Realized skewness

Working Paper

129 Realized kurtosis Individual financial

2010 130 Excess multiple

Market volatility and jumps

Zero-investment portfolio constructed from repurchasing and issuing firms

Common behavioral


Skewness forecasted using firm level predictive variables


Political campaign contributions

Real estate to total property, plant and equipment



Realized skewness obtained from high-frequency intraday prices Individual financial

Realized kurtosis obtained from high-frequency intraday prices

Excess multiple calculated as the difference between the accounting multiple and the

warranted multiple obtained by regressing the cross-section of firm multiples on accounting

variables



Auditing & Finance

2010 131 Firm information quality Working Paper


2010 87 Private information


2010 134 Related industry returns Individual financial Journal of Finance

2010

135 Earnings distributed to equity holders

136 Dividends minus stock issues

2010 137 Excess cash

Firm information quality proxied by analyst forecasts, idiosyncratic volatility and standard

errors of beta estimates

Individual financial/accounti

ng

Long-run idiosyncratic volatility

Long-run idiosyncratic volatility filtered from idiosyncratic volatility using HP filters

Return on a zero-investment portfolio long in high PIN stocks and short in low PIN stocks; PIN

(private information) is the probability of information-based trade



Analysis

Intra-industry return reversals

Intra-industry return reversals captured by the return difference between loser stocks and winners stocks based on relative monthly

performance within the industry

Stock returns from economically related supplier and customer industries

Earnings distributed to equity holders

Individual accounting Review of

Accounting & FinanceNet cash distributed to

equity holdersIndividual

accounting

Most recently available ratio of cash to total assets



2010 138 Extreme downside risk Individual financial

2010 139 Volatility smirk Steepness in individual option volatility smirk Individual financial

2010 THEORY Individual financial

2011 88 Rare disasters Common financial

2011 Distress risk Common financial

2011

Momentum Common other

89 Cash flow-to-price

2011

140 R&D investment Firm's investment in research and development

Financial constraints Individual financial

Extreme downside risk proxied by the left tail index in the classical generalized extreme value

distributionJournal of Banking

and Finance


Analysis

Exposure to financial distress costs


Economics

Disaster index based on international political crises


Economics

Aggregate distress risk obtained by projecting future business failure growth rates on a set of

basis assets


Economics

Factor-mimicking portfolios based on momentum of international equity returns


Factor-mimicking portfolios based on cash flow-to-price of international equity returns

Common accounting



Kaplan and Zingales (1997) financial constraint index

2011 141 Extreme stock returns Portfolios sorted based on extreme past returns Individual financial


2011 143 Intangibles Individual other

2011


Working Paper90 Common financial

91 Common financial

2011 144 Volatility of liquidity Working Paper

2011 145 Dispersion in beliefs Working Paper

2011 146 Five-year spread less one-year spread Individual financial Working Paper


Economics

Jumps in individual stock returns

Average jump size proxied by slope of option implied volatility smile


Economics

Employee satisfaction proxied by the list of ``100 Best Companies to Work for in America"


Economics

Investment portfolio return

Difference between returns of portfolios with low and high investment-to-asset ratio

Return-on-equity portfolio return

Difference between returns of portfolios with high and low return on equity

Measured by the price impact of trade as in Amihud (2002)


Revealed through active holdings of fund managers


Credit default swap spreads

2011 147 Organizational capital Working Paper

2011 148 Residual income

2011 149 Accrual volatility Working Paper

2011 150 Implied cost of capital Individual financial Working Paper

2011

151 Individual financial

152

2011 153 Labor unions Individual other

2011 154 Individual other Working Paper

Directly measured using Selling, General and Administrative expenditures


Firm residual income growth extracted from firm earnings growth



Firm accrual volatility measured by the standard deviation of the ratio of accruals to sales


Implied cost of capital estimated using option contracts

Non-accounting information quality

Average delay with which non-accounting information is impounded into stock price Contemporary

Accounting Research Accounting information

qualityAverage delay with which accounting information

is impounded into stock priceIndividual

accounting

Labor force unionization measured by the percentage of employed workers in a firm's

primary Census industry Classification industry covered by unions in collective bargaining with

employers


Analysis

Overreaction to nonfundamental price

changes

Overreaction to within-industry discount rate shocks as captured by decomposing the short-

term reversal into across-industry return momentum, within-industry variation in expected

returns, under-reaction to within-industry cash flow news and overreaction to within-industry

discount rate news

2011 155 Short interest Short interest from short sellers Individual financial Accounting Review

2011 156 Percent total accrual Firm accruals scaled by earnings Accounting Review

2011 Working Paper

2011 157 Firm productivity Individual financial Working Paper

2011 158 Really dirty surplus Accounting Review

2011 159 Earnings forecast Earnings forecast based on firm fundamentals

2011 160 Asset growth Working Paper

2011 161 Real asset liquidity Working Paper


Projected earnings accuracy

Skilled analysts identified by both past earnings forecasts accuracy and skills


Firm level total factor productivity estimated from firm value added, employment and capital

Really dirty surplus that happens when a firm issues or reacquires its own shares in a

transaction that does not record the shares at fair market value




Yearly percentage change in total balance sheet assets


Number of potential buyers for a firm's assets from within the industry


2011 162 Annual change in customer-base concentration Individual other Working Paper

2011 163 Tax expense surprises Seasonally differenced quarterly tax expense

2011

2011 Shareholder recovery THEORY Common financial Journal of Finance

2011 92 Garbage growth Realized annual garbage growth Common macro Journal of Finance

2012 93 Common financial Journal of Finance

2012 94 Stochastic volatility Common financial Working Paper

2012 95 Common financial

Customer-base concentration



Predicted earnings increase score

Predicted earnings increase score based on financial statement information



Financial intermediary's wealth

Intermediary's marginal value of wealth proxied by shocks to leverage of securities broker-dealers

Estimated from a heteroscedastic VAR based on market and macro variables

Average variance of equity returns

Decomposition of market variance into an average correlation component and an average

variance componentReview of

Financial Studies

2012

96 Income growth for goods producing industries Common macro

Journal of Finance

97 Income growth for manufacturing industries Common macro

98 Income growth for distributive industries Common macro

99 Income growth for service industries Common macro

100 Income growth for government Common macro

2012 101 Consumption volatility Common macro Journal of Finance

2012 102 Market skewness Common financial

2012

103 Learning Common financial

Working Paper

104 Knightian uncertainty Common financial

2012 105 Market uncertainty Proxied by variance risk premium Common financial Working Paper

Income growth for goods producing

industries

Income growth for manufacturing industries

Income growth for distributive industries

Income growth for service industries

Income growth for government

Filtered consumption growth volatility from a Markov regime-switching model based on

historical consumption data

Higher moments of market returns estimated from daily index options


Economics

Learning estimated from an investor's optimization problem under Knightian

uncertainty

Knightian uncertainty estimated from an investor's optimization problem under Knightian

uncertainty

2012 Labor income Labor income at the census division level Common macro Working Paper

2012 164 Product price change Individual financial Working Paper

2012 106 Common macro Working Paper

2012 THEORY Common macro

2012 107 Market-wide liquidity Proxied by ``noise" in Treasury prices Working Paper

2012 165 Stock skewness Individual financial Journal of Finance


2012 167 Information intensity Working Paper

Cumulative product price changes since an industry enters the producer price index program

Future growth in the opportunity cost of

money

Opportunity cost of money as proxied by 3-month Treasury bill rate or effective Federal

Funds rate

Inter-cohort consumption differences


Economics


Ex ante stock risk-neutral skewness implied by option prices

Expected return uncertainty

Proxied by the volatility of option-implied volatility

Proxied by monthly frequency of current report filings


2012 168 Credit risk premia Individual financial Working Paper

2012 169 Geographic dispersion Individual other

2012 170 Political geography Individual other

2012 171 Option volume divided by stock volume

2012 172 Cash holdings Firm cash holdings

2012 173 Labor mobility Working Paper

2012 174 Working Paper


Market implied credit risk premia based on the term structure of CDS spreads

Number of states in which a firm has business operations


Economics

Political proximity measured by political alignment index of each state's leading politicians

with the ruling presidential party


Economics

Option to stock volume ratio



Economics



Economics

Labor mobility based on average occupational dispersion of employees in an industry


Debt covenant protection

Firm-level covenant index constructed based on 30 covenant categories


Stock-cash flow sensitivity

Stock-cash flow sensitivity estimated from a structural one-factor contingent-claim model

2012 108 Jump beta Common financial Working Paper

2012

Common macro

Common macro

Common macro

2012 176 Change in call implied volatility Individual financial Working Paper

177 Change in put implied volatility Individual financial

2012 178 Firm hiring rate Individual other Working Paper

2012 179 Past return for paired pseudo-conglomerates Individual financial

2012

180 Opportunistic buy

Journal of Finance

Discontinuous jump beta based on Todorov and Bollerslev (2010)

Long-run consumption growth

Long-run consumption growth rate identified from the risk-free rate and market price-dividend ratio based on Bansal and Yaron (2005)'s long-run

risk model


EconomicsShort-run consumption

growt

Short-run consumption growth rate identified from the risk-free rate and market price-dividend ratio based on Bansal and Yaron (2005)'s long-run

risk model

Consumption growth volatility

Consumption growth volatility shocks identified from the risk-free rate and market price-dividend ratio based on Bansal and Yaron (2005)'s long-run

risk model

Change in call implied volatility

Change in put implied volatility

Firm hiring rate measured by the change in the number of employees over the average number

of employees

Information processing complexity


Economics

Prior month buy indicator for opportunistic traders who do not trade routinely


2012

181 Opportunistic sell

Journal of Finance

2012 182 Innovative efficiency Individual other

2012

183 Abnormal operating cash flows

Working Paper

184 Abnormal production costs

2012 185 Deferred revenues Changes in the current deferred revenue liability

2012 186 Sentiment of conference call wording Individual other


2012 109 Commodity index Common financial Working Paper

2012 188 Time-series momentum Individual financial

Prior month sell indicator for opportunistic traders who do not trade routinely


Patents/citations scaled by research and development expenditures


Economics

Abnormal operating cash flows


Abnormal production costs




Earnings conference calls


Earnings forecast optimism

Difference between characteristic forecasts and analyst forecasts


Open interest-weighted total index that aggregates 33 commodities

Time-series momentum strategy based on autocorrelations of scaled returns


Economics

2012 189 Carry Individual financial Working Paper

2012 190 Expected return proxy Individual financial

2012 191 Fraud probability

2012

192 Buy orders Sensitivity of price changes to sell orders

193 Sell orders Sensitivity of price changes to buy orders

2013

110 Expected dividend level Common financial

Working Paper

111 Common financial

2013 194 Firm's ability to innovate

2013 195 Board centrality Individual other

Expected return minus expected price appreciation

Logistic transformation of the fit (R^2) from a regression of returns on past prices


Economics

Probability of manipulation based on accounting variables


Financial Analysts Journal

Individual microstructure Journal of

Financial EconomicsIndividual

microstructure

Expected dividend level based on a macro time-series model

Expected dividend growth

Expected dividend growth based on a macro time-series model

Rolling firm-by-firm regressions of firm-level sales growth on lagged R&D



Board centrality measured by four basic dimensions of well-connectedness


Economics

2013 196 Gross profitability Gross profits to assets

2013 197 Betting-against-beta Individual financial Working Paper

2013

198 Secured debt Proportion of secured to total debt

Working Paper199 Convertible debt Proportion of convertible to total debt

200


2013 201 Attenuated returns Individual financial Working Paper

2013 202 Bad private information Working Paper

2013 113 Trend signal Common other Working Paper



Economics

Long leveraged low-beta assets and short high-beta assets



Convertible debt indicator

Dummy variable indicating whether a firm has convertible debt outstanding


Cross-sectional pricing inefficiency

Pricing inefficiency proxied by returns to simulated trading strategies that capture

momentum, profitability, value, earnings and reversal


Composite trading strategy returns where the weights are based on averaging percentile rank

scores of various characteristics for each stock on portfolios

Decomposing the PIN measure of Easley, Hvidkjaer and O'Hara (2002) into two elements that reflect informed trading on good news and

bad news


Return on a zero-investment portfolio long in past winners and short in past losers based on short-term, intermediate-term and long-term

stock price trends

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Type Year Risk factor Formation Other factor(s) Journal

Financial 1964 Market return THEORY Journal of Finance


Financial 1966 Market return THEORY Econometrica


Financial 1972 Market return Equity index return

Financial 1972 Market return THEORY Journal of Business

Financial 1973 THEORY Econometrica

Financial 1973

Market return Equity index return Idiosyncratic volatility


Studies in the Theory of Capital

Markets


investment opportunity


HLZ: For this sheet, "common" factors are first sorted by characteristics (e.g., financial, macro, etc.) and then by year.

A1

HLZ: For this sheet, "common" factors are first sorted by characteristics (e.g., financial, macro, etc.) and then by year.

Financial 1973

Beta squared Square of market beta

Financial 1973 THEORY

Financial 1974 World market return THEORY


Financial 1976

Market return Equity index return

Journal of Finance

Squared market return Square of equity index return

Financial 1979 Market return Equity index return Dividend yield

Financial 1981


Journal of FinanceTreasury bond return 3-month US Treasury bill return


High order market return


Analysis

Journal of Economic Theory

Individual investor resources


Economics


Economics

Financial 1981

Corporate bond return

Journal of Finance

Financial 1981 Treasury bill return Journal of Finance

Financial 1981 THEORY Journal of Business

Financial 1983 THEORY Journal of Finance

Financial 1985


Credit premium

Term structure

Financial 1985 THEORY Econometrica

Financial 1986 Long-term intereste rate Journal of Finance

Index of long-term Aa utility bonds with deferred calls returns

Principle components extracted from returns of Treasury bills

Individual consumer's wealth

Foreign exchange rate change

Industrial production; change in expected

inflation; unanticipated inflation


Economics





Investment opportunity change

Change in the yield of long-term government bonds

Financial 1986

Credit premium

Journal of Business

Term structure

Financial 1991


Credit spread

Real short rate One-month Treasury bill return less inflation rate

Financial 1993

Return on S&P stocks Returns on S&P stocks


Financial 1993 High order equity index returns and bond returns Journal of Finance

Financial 1993


Size; value


term government bond portfolioIndustrial production

growth; unanticipated inflation; changes in expected inflation; change in oil prices



Consumption growth; unexpected inflation


Baa corporate bond return less monthly long-term government bond return

Change in the slope of the yield curve

Change in the difference between a 10-year Treasury bond yield and a 3-month Treasury bill

yield



High order market and bond return


Economics

Financial 1993 Term structure Size; value

Credit risk

Financial 1993

World equity return

Financial 1994

World equity return

Financial 1996


Labor income

Dividend yield Dividend yield on value-weighted index

Interest rate Treasury bill rate less 1-year moving average


EconomicsDifference in return between long-term

government bond and one-month Treasury bill

Difference in return between long-term corporate bond and long-term government bond

US dollar return of the MSCI world equity market in excess of a short-term interest rate Change in long-term

inflationary expectations; Change in oil price; Change in G-7 industrial production;



Changes in weighted exchange rate

Log first difference of the trade-weighted US dollar prices of the currencies of ten

industrialized countries

Weighted real short-term interest rate

GDP weighted average of short-term interest rates in G-7 countries

Change in the Eurodollar-Treasury yield

spreadFirst difference of the spread between the 90-day Eurodollar yield and the 90-day Treasury-bill yield

US dollar return of the MSCI world equity market in excess of a short-term interest rate Change in long-term

inflationary expectations; Change in

oil priceJournal of Banking

and FinanceChange in weighted

exchange rateLog first difference of the trade-weighted US

dollar price of ten industrialized countries' currencies


Financial 1996

Term structure Long-short government bond yield spread

Labor income

Financial 1996


Labor income Journal of Finance

Slope of yield curve Long-short government bond yield spread

Financial 1997 Value strategy return

Financial 1997 Market return Equity index return Size; value; momentum Journal of Finance

Financial 1999 Journal of Finance


Opportunistic strategy return

Return for hedge funds that follow an opportunistic strategy


Global/macro strategy return

Return for hedge funds that follow a global/macro strategy

Return for hedge funds that follow a value strategy

Trend following strategy return

Return for hedge funds that follow a trend following strategy

Distressed investment strategy return

Return for hedge funds that follow a distressed investment strategy

Fitted return based on predictive regressions

Expected portfolio return obtained by projecting historical returns on lagged macro instruments,

including term spreads, dividend yield, credit spread and short-term Treasury bill

Financial 2000 Entrepreneur income Proprietary income for entrepreneurs Journal of Finance

Financial 2000 Coskewness Journal of Finance

Financial 2001 Straddle return

Financial 2002


Journal of Finance

Squared market return Squared equity index return

Labor income growth Smoothed labor income growth rate

Squared smoothed labor income growth rate

Financial 2004

Cash flow news News about future market cash flow

Discount rate news News about future market discount rate

Financial 2004


Excess return on a portfolio which long stocks with low past coskewness

Lookback straddles' returns constructed based on option prices


Squared labor income growth

American Economic Review


Financial 2004

Index option return Return on S&P 500 index option

Financial 2004 Default risk Journal of Finance

Financial 2004

Real interest rate

Journal of Finance

Financial 2005 Housing price ratio Ratio of housing to human wealth Journal of Finance

Financial 2005 Market return Equity index return

Financial 2006

Market return Equity index return and its square

Index option return Index option return and its square

Product of market and option returns


Firm default likelihood using Merton's option pricing model

Real interest rates extracted from a time-series model of bond yields and expected inflation

Maximum Sharpe ratio portfolio

Maximum Sharpe ratio portfolio extracted from a time-series model of bond yields and expected

inflation

Market liquidity; individual stock liquidity


Economics


Interaction between index and option return

Financial 2006 Financing frictions Default premium

Financial 2006 Third to tenth power of market return Journal of Business

Financial 2006 Downside risk

Financial 2006 Systematic volatility Idiosyncratic volatility Journal of Finance

Financial 2006 Market return Equity index return Trading volume Journal of Finance

Financial 2008


Financial

2008

Short-run volatility

Journal of Finance

Financial Long-run volatility


Third to tenth power of market return

Correlation with index return conditional on index return being below a threshold value


Aggregate volatility relative to Fama and French (1992) three-factor model

Market volatility innovation

Difference in monthly average of squared daily return differences Firm age; interaction

between market volatility and firm age


High frequency volatility extracted from a time-series model of market returns

Low frequency volatility extracted from a time-series model of market returns

Financial 2008 Investment growth


Financial 2008 Working Paper

Financial 2009 Financial constraint THEORY Journal of Finance

Financial 2009 Takeover likelihood

Financial 2010 Estimated based on S&P index option returns Working Paper

Financial 2011 Rare disasters

Financial 2011 Distress risk

Return on a zero-investment portfolio long in low investment growth firms and short in high

investment growth firmsReview of

Financial Studies

Short- and long-run market volatility

High and low frequency volatility extracted from a time-series model of market returns

Idiosyncratic component of S&P 500 return

Residual of the linear projection of the S&P 500 return onto the CRSP value weighted index return

Estimated via a logit model of regressing ex-post acquisition indicator on various firm- and

industry-level accounting variablesReview of

Financial Studies

Market volatility and jumps

Disaster index based on international political crises


Economics

Aggregate distress risk obtained by projecting future business failure growth rates on a set of

basis assets


Economics

Financial 2011


Working Paper

Financial 2011 Shareholder recovery THEORY Journal of Finance


Financial 2012 Stochastic volatility Working Paper

Financial 2012

Financial 2012 Market skewness

Financial 2012

Learning

Working Paper

Investment portfolio return

Difference between returns of portfolios with low and high investment-to-asset ratio

Return-on-equity portfolio return

Difference between returns of portfolios with high and low return on equity

Financial intermediary's wealth

Intermediary's marginal value of wealth proxied by shocks to leverage of securities broker-dealers

Estimated from a heteroscedastic VAR based on market and macro variables

Average variance of equity returns

Decomposition of market variance into an average correlation component and an average

variance componentReview of

Financial Studies

Higher moments of market returns estimated from daily index options


Economics

Learning estimated from an investor's optimization problem under Knightian

uncertainty

Financial 2012

Knightian uncertainty

Working Paper

Financial 2012 Market uncertainty Proxied by variance risk premium Working Paper

Financial 2012 Jump beta Working Paper

Financial 2012 Commodity index Working Paper

Financial 2013

Expected dividend level

Working Paper

Macro 1972 THEORY Market return Journal of Finance

Macro 1973 THEORY Econometrica

Macro 1978 THEORY Econometrica

Knightian uncertainty estimated from an investor's optimization problem under Knightian

uncertainty

Discontinuous jump beta based on Todorov and Bollerslev (2010)

Open interest-weighted total index that aggregates 33 commodities

Expected dividend level based on a macro time-series model

Expected dividend growth

Expected dividend growth based on a macro time-series model



investment opportunity

Marginal rate of substitution

Macro 1979 THEORY

Macro 1981 World consumption THEORY

Macro 1985

Unanticipated inflation Realized minus expected inflation

Macro 1986 Expected inflation THEORY Journal of Finance

Macro 1986 Journal of Business

Unanticipated inflation Realized minus expected inflation

Change in oil price Growth rate in oil prices

Aggregate real consumption


Economics


Economics



Market return; credit premium; term structure


EconomicsChange in expected

inflationChange in expected inflation as defined in Fama

and Gibbons (1984)



Credit premium; Term structure

Changes in expected inflation

Changes in expected inflation as defined in Fama and Gibbons (1984)

Macro 1989 Consumption growth Per capita real consumption growth Journal of Finance

Macro 1991 Investment returns Marginal rates of transformation for capital Journal of Finance

Macro 1991

Consumption growth

Unexpected inflation

Macro 1993


Change in oil price


Macro 1994


Change in oil price

Real per capita growth of personal consumption expenditures for nondurables & services Market return; credit

spread; change in the slope of the yield curve;

real short rate


Difference between actual and time-series forecasts of inflation rate


World equity return; change in weighted

exchange rate; change in the Eurodollar-Treasury yield spread; changes in

oil price





Unexpected inflation based on a time-series model on an aggregate G-7 inflation rate

Change in long-term inflationary expectations World equity return;

change in weighted exchange rate



Macro 1995

Change in expectation from economic surveys

Journal of Finance

Change in expected GNP Change in expectation from economic surveys

Macro 1996 Money growth Journal of Finance

Macro 1996

Macro 1996 Labor income Real labor income growth rate

Macro 1996 Labor income Real labor income growth rate Journal of Finance

Macro 1997 Journal of Finance

Macro 2001

Consumption growth Per capita real consumption growth rate


M2 or M3 minus currency, divided by total population

Returns on physical investment

Inferred from investment data via a production function


Market return; Dividende yield; interest

rate; term structureJournal of Political

Economy

Market return; slope of the yield curve

Nonlinear functions of consumption growth

Low order orthonormal polynomials of current and future consumption growth


Consumption-wealth ratio

Proxied by a weighted average of human and nonhuman wealth

Macro 2003 GDP growth news

Macro 2004 Cross-sectional consumption growth variance Journal of Finance

Macro 2005 Three-year consumption growth rate

Macro 2005 Long run consumption Journal of Finance

Macro 2006

Household investment growth

Journal of Business

Financial firms investment growth

Macro 2006 Durable and nondurable consumption growth Journal of Finance

GDP growth news obtained from predictive regressions on lagged equity and fixed-income

portfolios


Economics

Idiosyncratic consumption

Long-horizon consumption growth


Cash flow risk measured by cointegration residual with aggregate consumption

Investment growth by households

Investment growth by nonfarm nonfinancial

corporate firmsNonfarm nonfinancial corporate firms investment

growth

Investment growth by nonfarm noncorporate

businessNonfarm noncorporate business investment

growth

Investment growth by financial firms

Durable and nondurable consumption growth

Macro 2007

Productivity Productivity level as in King and Rebelo (2000)

Capital stock


Macro 2007 Earnings cyclicality Working Paper

Macro 2008 Monetary policy shocks Working Paper

Macro 2008

Across-state mean consumption growth rate

Across-state consumption growth variance

Mean habit growth Across-state mean habit growth rate

Variance of habit growth Across-state habit growth variance



EconomicsQuarterly capital stock interpolated from annual data

Fourth-quarter to fourth-quarter

consumption growth Fourth-quarter to fourth-quarter consumption

growth rate

Sensitivity of earnings to changes in aggregate total factor productivity

Identified from a Bayesian estimation of DSGE models

Mean consumption growth


Variance of consumption growth



Macro 2009

Cash flow duration

Journal of Finance

Macro 2009 Financial constraints THEORY Journal of Finance

Macro 2009 Aggregated microlevel stockholder consumption Journal of Finance

Macro 2011 Garbage growth Realized annual garbage growth Journal of Finance

Macro 2012

Income growth for goods producing industries

Journal of Finance





Cash flow duration sensitivity to aggregate consumption

Long-run stockholder consumption growth

Income growth for goods producing

industries





Macro 2012 Consumption volatility Journal of Finance

Macro 2012 Labor income Labor income at the census division level Working Paper

Macro 2012 Working Paper

Macro 2012 THEORY

Macro 2012

Microstructure 1986 Transaction costs THEORY

Filtered consumption growth volatility from a Markov regime-switching model based on

historical consumption data

Future growth in the opportunity cost of

money

Opportunity cost of money as proxied by 3-month Treasury bill rate or effective Federal

Funds rate

Inter-cohort consumption differences


Economics

Long-run consumption growth

Long-run consumption growth rate identified from the risk-free rate and market price-dividend ratio based on Bansal and Yaron (2005)'s long-run

risk model


EconomicsShort-run consumption

growt

Short-run consumption growth rate identified from the risk-free rate and market price-dividend ratio based on Bansal and Yaron (2005)'s long-run

risk model

Consumption growth volatility

Consumption growth volatility shocks identified from the risk-free rate and market price-dividend ratio based on Bansal and Yaron (2005)'s long-run

risk model


Economics


Microstructure 2002 Market illiquidity

Microstructure 2003 Market liquidity

Microstructure 2005 Market liquidity

Microstructure 2006 Trading volume Market return Journal of Finance

Microstructure 2006 Liquidity




Average over the year of the daily ratio of the stock's absolute return to its dollar trading

volumeJournal of

Financial Markets

Aggregated liquidity based on firm future excess stock return regressed on current signed excess

return times trading volumeJournal of Political

Economy

Value-weighted individual stock illiquidity as defined in Amihud (2002)

Market return; individual stock liquidity


Economics

Return on a hedge portfolio constructed using trading volume and market returns

Market-wide liquidity constructed first by decomposing firm-level liquidity into variable and

fixed price effects then averaging the variable component


Economics

Turnover-adjusted number of days with zero trading over the prior 12 months


Economics

Systematic liquidity extracted from eight empirical liquidity measures


Economics

Microstructure 2009 Illiquidity

Microstructure 2010 Private information

Microstructure 2012 Market-wide liquidity Proxied by ``noise" in Treasury prices Working Paper

Behavioral 2006 Investor sentiment Journal of Finance

Behavioral 2006 Retail investor sentiment Journal of Finance

Behavioral 2010 Market mispricing

Accounting 1992

Size

Journal of Finance

Value

Accounting 1993

Size

Estimated using structural formula in line with Kyle's (1985) lambda


Return on a zero-investment portfolio long in high PIN stocks and short in low PIN stocks; PIN

(private information) is the probability of information-based trade


Analysis

Composite sentiment index based on various sentiment measures

Systematic retail trading based on transaction data

Zero-investment portfolio constructed from repurchasing and issuing firms





Market return; term structure; credit risk


Economics

Accounting 1993

Value

Accounting 1994

Tax rate for capital gains Short-term capital gains tax rate

Journal of Finance

Tax rate for dividend Dividend tax rate

Accounting 1997

Size

Journal of Finance

Value

Accounting 2006 Earnings

Accounting 2007 Payout yield Journal of Finance

Accounting 2009 Cash flow

Accounting 2011 Cash flow-to-price Momentum

Market return; term structure; credit risk


EconomicsReturn on a zero-investment portfolio long in growth stocks and short in value stocks


Market return; Momentum


Return on a zero-investment portfolio long in stocks with high earnings surprises and short in

stocks with low earnings surprises


Economics

Return on a zero-investment portfolio long in high-yield stocks and short in low-yield stocks

Aggregate earnings based on revisions to analyst earnings forecasts


Economics

Factor-mimicking portfolios based on cash flow-to-price of international equity returns


Other 1997 Momentum Journal of Finance

Other 2004

Other 2009

Investors' beliefs

Investors' uncertainty

Other 2011 Momentum Cash flow-to-price

Other 2013 Trend signal Working Paper

Return on a zero-investment portfolio long in past winners and short in past losers

Size; value; market return

Return reversals at the style level

Zero-investment portfolios sorted based on past return performance at the style level


Economics

Belief extracted from a two-state regime-switching model of aggregate market return and

aggregate output Review of Financial StudiesUncertainty extracted from a two-state regime-

switching model of aggregate market return and aggregate output

Factor-mimicking portfolios based on momentum of international equity returns


Return on a zero-investment portfolio long in past winners and short in past losers based on short-term, intermediate-term and long-term

stock price trends

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Type Year Risk factor Formation

Financial 1967 Total volatility Individual stock volatility

Financial 1973 Idiosyncratic volatility Residual stock volatility from CAPM

Financial 1981 Firm size Market value of firm stocks

Financial 1990 Return predictability

Financial 1992 Return momentum

Financial 1995

Dividend initiations Initiations of cash dividend payments

Dividend omissions Omissions of cash dividend payments

Financial 1995 Whether a firm makes seasoned equity offerings

Financial 1997 Momentum Past cumulative stock return

Financial 1997 Corporate acquisitions

Financial 1999 Debt offerings

Short-term (one month) and long-term (twelve months) serial correlations in returns

Size and beta adjusted mean prior five-year returns

Seasoned equity offerings

Difference between stock mergers and cash tender offers for corporate acquisitions

Whether a firm makes straight and convertible debt offerings

HLZ: For this sheet, "individual" factors are first sorted by characteristics (e.g., financial, microstructure, etc.) and then by year.

A1

HLZ: For this sheet, "individual" factors are first sorted by characteristics (e.g., financial, microstructure, etc.) and then by year.

Financial 2000 Within-industry size

Financial 2001 Bond rating changes Moody's bond ratings changes

Financial 2001 Financial constraints

Financial 2002 Distress risk Distress risk as proxied by Ohlson's O-score

Financial 2003

Financial 2003 Return consistency Consecutive returns with the same sign

Financial 2004 52-week high Nearness to the 52-week high price

Financial 2004 Put-call parity Violations of put-call parity

Financial 2005 Heterogeneous beliefs

Financial 2005 Information uncertainty


Difference between firm size and average firm size within the industry

Measure financial constraints with Kaplan and Zingales (1997) index

Idiosyncratic return volatility

Residual variance obtained by regressing daily stock returns on market index return

Factors constructed from disagreement among analysts about expected short- and long-term

earnings

Information uncertainty proxied by firm age, return volatility, trading volume or cash flow

duration

Constraint index estimated from a firm's investment Euler equation

Financial 2006 Idiosyncratic volatility

Financial 2006 Acceleration

Financial 2007 Credit rating S&P firm credit rating

Financial 2007

Financial 2008

Financial 2008 Distress

Financial 2008

Financial 2008 Firm economic links

Financial 2009

Difference between call and put implied volatility

Financial 2009

Idiosyncratic volatility relative to Fama and French (1992) three-factor model

Firm's ranking on change in six-month momentum relative to the cross-section of other

firms

Insider forecasts of firm volatility

Future firm volatility obtained from executive stock options

Country-level idiosyncratic volatility

Weighted average of variances and auto-covariances of firm-level idiosyncratic return

shocks

Distressed firm failure probability estimated based on a dynamic logit model

Earnings announcement return

Earnings announcement return capturing the market reaction to unexpected information

contained in the firm's earnings release

Economic links proxied by return of a portfolio of its major customers

Realized-implied volatility spread

Difference between past realized volatility and the average of call and put implied volatility

Call-put implied volatility spread

Analyst forecasts optimism

Relative optimism and pessimism proxied by the difference between long-term and short-term

analyst forecast of earnings growth

Financial 2009 Efficiency score

Financial 2010 Idiosyncratic skewness

Financial 2010

Realized skewness

Realized kurtosis

Financial 2010 Excess multiple

Financial 2010

Financial 2010 Firm information quality

Financial 2010

Financial 2010 Related industry returns

Financial 2010 Extreme downside risk

Financial 2010 Volatility smirk Steepness in individual option volatility smirk

Firm efficiency/inefficiency estimated from firm characteristics based on a stochastic frontier

approach

Skewness forecasted using firm level predictive variables

Realized skewness obtained from high-frequency intraday prices

Realized kurtosis obtained from high-frequency intraday prices



variables

Long-run idiosyncratic volatility

Long-run idiosyncratic volatility filtered from idiosyncratic volatility using HP filters



Intra-industry return reversals

Intra-industry return reversals captured by the return difference between loser stocks and winners stocks based on relative monthly

performance within the industry

Stock returns from economically related supplier and customer industries

Extreme downside risk proxied by the left tail index in the classical generalized extreme value

distribution



Financial 2011 Extreme stock returns Portfolios sorted based on extreme past returns

Financial 2011

Financial 2011 Five-year spread less one-year spread

Financial 2011 Implied cost of capital

Financial 2011 Short interest Short interest from short sellers

Financial 2011 Firm productivity

Financial 2011

Financial 2012 Product price change

Financial 2012 Stock skewness

Exposure to financial distress costs

Kaplan and Zingales (1997) financial constraint index

Jumps in individual stock returns

Average jump size proxied by slope of option implied volatility smile

Credit default swap spreads

Implied cost of capital estimated using option contracts

Firm level total factor productivity estimated from firm value added, employment and capital


Average delay with which non-accounting information is impounded into stock price

Cumulative product price changes since an industry enters the producer price index program

Ex ante stock risk-neutral skewness implied by option prices

Financial 2012

Financial 2012 Credit risk premia

Financial 2012

Financial 2012



Financial 2012 Past return for paired pseudo-conglomerates

Financial 2012 Time-series momentum

Financial 2012 Carry

Financial 2012 Expected return proxy

Financial 2013 Betting-against-beta

Financial 2013 Attenuated returns

Expected return uncertainty

Proxied by the volatility of option-implied volatility

Market implied credit risk premia based on the term structure of CDS spreads

Stock-cash flow sensitivity

Stock-cash flow sensitivity estimated from a structural one-factor contingent-claim model



Information processing complexity

Time-series momentum strategy based on autocorrelations of scaled returns

Expected return minus expected price appreciation

Logistic transformation of the fit (R^2) from a regression of returns on past prices

Long leveraged low-beta assets and short high-beta assets

Composite trading strategy returns where the weights are based on averaging percentile rank

scores of various characteristics for each stock on portfolios

Microstructure 1980 Short sale restrictions THEORY


Microstructure 1981 Short interest Equity short interest

Microstructure 1989 Illiquidity Illiquidity proxied by bid-ask spread

Microstructure 1997 Trading volume Dollar volume traded per month

Microstructure 1998 Illiquidity

Microstructure 2000 Trading volume Past trading volume

Microstructure 2001

Level of liquidity Level of dollar trading volume and share turnover

Variability of liquidity

Microstructure 2002 Breadth of ownership

Microstructure 2002 Information risk

Liquidity proxied by the turnover rate: number of shares traded as a fraction of the number of

shares outstanding

Volatility of dollar trading volume and share turnover

Ratio of the number of mutual funds holding long positions in the stock to total number of mutual

funds

Probability of information-based trading for individual stock

Microstructure 2002 Short-sale constraints Shorting costs for NYSE stocks

Microstructure 2003 Transaction costs Bid-ask spread, volume, etc.

Microstructure 2005 Individual stock liquidity

Microstructure 2005 Price delay Delay in a stock price's response to information

Microstructure 2005 Short-sale constraints

Microstructure 2005 Short-sale constraints

Microstructure 2007 Trader composition

Microstructure 2008 Small trades Volume arising from small trades

Microstructure 2009 Information revelation

Microstructure 2009 Order imbalance

Microstructure 2011 Volatility of liquidity

Individual stock illiquidity as defined in Amihud (2002)

Short-sale constraint proxied by Institutional ownership

Short-sale constraint proxied by short interest and institutional ownership

Fraction of total trading volume of a stock from institutional trading

Monthly estimate of the daily correlation between absolute returns and dollar volume

Difference between buyer- and seller-initiated trades

Measured by the price impact of trade as in Amihud (2002)

Microstructure 2011 Real asset liquidity

Microstructure 2012 Information intensity

Microstructure 2012 Option volume divided by stock volume

Microstructure 2012

Opportunistic buy

Opportunistic sell

Microstructure 2012

Buy orders Sensitivity of price changes to sell orders

Sell orders Sensitivity of price changes to buy orders

Microstructure 2013

Microstructure 2013 Bad private information

Behavioral 2002 Analyst dispersion Dispersion in analysts' earnings forecasts

Behavioral 2009 Media coverage Firm mass media coverage

Behavioral 2011 Dispersion in beliefs

Number of potential buyers for a firm's assets from within the industry

Proxied by monthly frequency of current report filings

Option to stock volume ratio

Prior month buy indicator for opportunistic traders who do not trade routinely

Prior month sell indicator for opportunistic traders who do not trade routinely

Cross-sectional pricing inefficiency

Pricing inefficiency proxied by returns to simulated trading strategies that capture

momentum, profitability, value, earnings and reversal

Decomposing the PIN measure of Easley, Hvidkjaer and O'Hara (2002) into two elements that reflect informed trading on good news and

bad news

Revealed through active holdings of fund managers

Other 1983 Institutional holding

Other 1985 Long-term past abnormal return

Other 1993 Return momentum Past stock returns

Other 1999 Industry momentum Industry-wide momentum returns

Other 2005 Patent citation

Other 2006

Environment indicator

Employment indicator

Community indicator

Other 2007 Ticker symbol Creativity in stocks' ticker symbols

Other 2008 Sin stock

Other 2008 Investor recognition

Other 2009

Local unemployment Relative state unemployment

Local housing collateral State-level housing collateral

Institutional concentration rankings from Standard and Poor's

Long-term return reversal

Change of patent citation impact deflated by average total assets

A composite index measuring a firm's environmental responsibility

A composite index measuring employee responsibility

A composite index measuring community responsiveness

Stocks in the industry of adult services, alcohol, defense, gaming, medical and tobacco

Investor recognition proxied by the change in the breadth of institutional ownership

Other 2010 Firm contributions to US political campaigns

Other 2011 Intangibles

Other 2011 Labor unions

Other 2011

Other 2011 Annual change in customer-base concentration

Other 2012 Geographic dispersion

Other 2012 Political geography

Other 2012 Firm hiring rate

Other 2012 Innovative efficiency

Other 2013 Board centrality

Accounting 1975

Political campaign contributions

Employee satisfaction proxied by the list of ``100 Best Companies to Work for in America"

Labor force unionization measured by the percentage of employed workers in a firm's

primary Census industry Classification industry covered by unions in collective bargaining with

employers

Overreaction to nonfundamental price

changes

Overreaction to within-industry discount rate shocks as captured by decomposing the short-

term reversal into across-industry return momentum, within-industry variation in expected

returns, under-reaction to within-industry cash flow news and overreaction to within-industry

discount rate news

Customer-base concentration

Number of states in which a firm has business operations

Political proximity measured by political alignment index of each state's leading politicians

with the ruling presidential party

Firm hiring rate measured by the change in the number of employees over the average number

of employees

Patents/citations scaled by research and development expenditures

Board centrality measured by four basic dimensions of well-connectedness

Earnings growth expectations

Projecting firm earnings growth based on market beta, firm size, dividend payout ratio, leverage

and earnings variability

Accounting 1977 PE ratio Firm price-to-earnings ratio

Accounting 1979 Dividend yield Dividend per share divided by share price

Accounting 1983 EP ratio Firm earnings-to-price ratio

Accounting 1984 Earnings expectations Consensus earnings expectations

Accounting 1984 New listings dummy

Accounting 1988

Accounting 1988 Debt to equity ratio Non-common equity liabilities to equity

Accounting 1989

Accounting 1992 Predicted return signs

Accounting 1995 New public stock issuance

Accounting 1996 R&D capital R&D capital over total assets

Announcement that a company has filed a formal application to list on the NYSE

Long-term growth forecasts

Long-term growth forecasts proxied by the five-year earnings per share growth rate forecasts

Predicted earnings change

Predicted earnings change in one year based on a financial statement analysis that combines a large

set of financial statement items

Return signs predicted by a logit model using financial ratios

New public stock issuance

Accounting 1996 Earnings forecast Errors in analysts' forecasts on earnings growth

Accounting 1997


Book-to-market ratio

Accounting 1997 Disclosure level

Accounting 1997 Standard deviation of earnings forecasts

Accounting

1997


Accounting Value

Accounting 1997

Accounting 1998 Fundamental analysis

Accounting 1998 Bankruptcy risk The probability of bankruptcy from Altman (1968)

Accounting 1998 Firm fundamental value


Voluntary disclosure level of manufacturing firms' annual reports

Earning forecasts uncertainty


Earnings management likelihood

Earnings management likelihood obtained by regressiong realized violators of Generally

Accepted Accounting Principles on firm characteristics

Investment signals constructed using a collection of variables that relate to contemporaneous changes in inventories, accounts receivables,

gross margins, selling expenses, capital expenditures, effective tax rates, inventory

methods, audit qualifications, and labor force sales productivity.

Firms' fundamental values estimated from I/B/E/S consensus forecasts and a residual

income model

Accounting 2000

Within-industry value

Accounting 2000

Accounting 2001 Analysts' forecasts Financial analysts' forecasts of annual earnings

Accounting 2001 Institutional ownership Institutional holdings of firm assets

Accounting 2001

Accounting 2002 Earnings sustainability

Accounting 2003 Excluded expenses Excluded expenses in firm's earnings reports

Accounting 2003 Investor sophistication Number of analysts or institutional owners

Accounting 2003 Shareholder rights

Difference between firm book-to-market ratio and average book-to-market ratio within the

industry

Within-industry cashflow to price ratio

Difference between firm cashflow to price ratio and average cashflow to price ratio within the

industry

Within-industry percent change in employees

Difference between firm percent change in employees and average percent change in

employees within the industry

Within-industry momentum

Difference between firm past stock prices and average past stock prices within the industry

Financial statement information

A composite score based on historical financial statement that separates winners from losers

Consensus recommendations

Consensus recommendations measured by the average analyst recommendations

A summary score based on firm fundamentals that informs about the sustainability of earning

Shareholder rights as proxied by an index using 24 governance rules

Accounting 2003 Growth in long-term net operating assets

Accounting 2003 Order backlog

Accounting 2004

Accounting 2004

Accounting 2004

Accounting

2005

Proxies for corporate control

Accounting Proxies for share-holder activism

Accounting 2005 Adjusted R&D

Accounting 2005 R&D reporting biases

Accounting 2005 Growth index

Accounting 2006 Capital investment Capital expenditure growth

Growth in long-term net operating assets

Order backlog divided by average total assets, transformed to a scaled-decile variable

Analysts' recommendations

Consensus analysts' recommendations from sell-side firms

Unexpected change in R&D

Unexpected change in firm research and expenditures

Abnormal capital investment

Past year capital expenditures scaled by average capital expenditures for previous three years

External corporate governance

Internal corporate governance

Adjusted R&D that incorporates capitalization and amortization

R&D reporting biases proxied by the difference between R&D growth and earnings growth

A combined index constructed based on earnings, cash flows, earnings stability, growth stability and

intensity of R&D, capital expenditure and advertising

Accounting 2006 Industry concentration

Accounting 2006

Accounting 2006 Intangible information

Accounting

2006

Profitability Expected earnings growth

Accounting Investment Expected growth in book equity

Accounting Book-to-market

Accounting 2006 Analysts' forecasted earnings per share

Accounting 2006 Net financing

Accounting 2006 Pension plan funding

Accounting 2006

Accounting 2007 Change in order backlog Change in order backlog

Accounting 2007 Firm productivity

Industry concentration as proxied by the Herfindahl index

Firm's social performance

A composite social performance index based on community, environmental and employee

performance

Residuals from cross-sectional regression of firm returns on fundamental growth measures


Forecasted earnings per share

Net amount of cash flow received from external financing

Pension plan funding status calculated as the difference between the fair value of plan assets and the projected benefit obligation, divided by

market capitalization

Unexpected earnings' autocorrelations

Standardized unexpected earnings' autocorrelations via the sign of the most recent

earnings realization

Firm productivity measured by returns on invested capital

Accounting

2008

Firm age Firm's public listing age

Accounting Product of market volatility and firm age

Accounting 2008

Shareholder advantage Benefit from renegotiation upon default

Accounting 2008 Asset growth Year-on-year percentage change in total assets

Accounting 2008 Share issuance Annual share issuance based on adjusted shares

Accounting 2008 Goodwill impairment Buyers' overpriced shares at acquisition

Accounting 2008 Changes in order backlog on future profitability

Accounting 2008 DuPont analysis Sales over net operating assets in DuPont analysis

Accounting 2009 Productivity of cash

Accounting 2009 THEORY

Interaction between market volatility and

firm age

Interaction between shareholder advantage

and implied market value of assets

Implied market value of assets provided by Moody's KMV

Information in order backlog

Net present value of all firm's present and future projects generated per dollar of cash holdings

Consumption surplus ratio

Accounting 2009 Financial distress Credit rating downgrades

Accounting 2009 Idiosyncratic volatility

Accounting 2009 Debt capacity

Accounting 2009 Advertising Change in expenditures on advertising

Accounting 2009 Earnings volatility Earnings volatility

Accounting 2009 Cash flow volatility

Accounting 2010 Real estate holdings

Accounting 2010 Excess multiple

Accounting 2010 Excess multiple

Accounting 2010 Firm information quality

Accounting 2010


Conditional expected idiosyncratic volatility estimated from a GARCH model

Firm tangibility as in Almeida and Campello (2007)

Rolling standard deviation of the standardized cashflow over the past sixteen quarters

Real estate to total property, plant and equipment



variablesExcess multiple calculated as the difference between the accounting multiple and the


variables




Accounting 2010

Dividends minus stock issues

Accounting 2010 Excess cash

Accounting 2011 R&D investment Firm's investment in research and development

Accounting 2011 Organizational capital

Accounting 2011 Residual income

Accounting 2011 Residual income

Accounting 2011 Percent total accrual Firm accruals scaled by earnings

Accounting 2011

Accounting 2011 Really dirty surplus

Accounting 2011 Earnings forecast Earnings forecast based on firm fundamentals

Accounting 2011 Asset growth

Net cash distributed to equity holders

Most recently available ratio of cash to total assets

Directly measured using Selling, General and Administrative expenditures



Projected earnings accuracy

Skilled analysts identified by both past earnings forecasts accuracy and skills

Really dirty surplus that happens when a firm issues or reacquires its own shares in a

transaction that does not record the shares at fair market value

Yearly percentage change in total balance sheet assets

Accounting 2011 Tax expense surprises Seasonally differenced quarterly tax expense

Accounting 2011

Accounting 2011

Accounting 2012 Cash holdings Firm cash holdings

Accounting 2012 Labor mobility

Accounting 2012

Accounting 2012



Accounting 2012 Deferred revenues Changes in the current deferred revenue liability

Accounting 2012 Sentiment of conference call wording

Accounting 2012

Predicted earnings increase score

Predicted earnings increase score based on financial statement information

Accounting information quality

Average delay with which accounting information is impounded into stock price

Labor mobility based on average occupational dispersion of employees in an industry

Debt covenant protection

Firm-level covenant index constructed based on 30 covenant categories



Earnings conference calls

Earnings forecast optimism

Difference between characteristic forecasts and analyst forecasts

Accounting 2012 Fraud probability

Accounting 2013 Firm's ability to innovate

Accounting 2013 Gross profitability Gross profits to assets

Accounting 2013

Secured debt Proportion of secured to total debt

Convertible debt Proportion of convertible to total debt

Probability of manipulation based on accounting variables

Rolling firm-by-firm regressions of firm-level sales growth on lagged R&D

Convertible debt indicator

Dummy variable indicating whether a firm has convertible debt outstanding

Other factor(s) Journal Short reference

Douglas (1969)

Banz (1981)

Journal of Finance Jegadeesh (1990)

Journal of Finance

Journal of Finance

Yale Economic Essays




Economics


Economics

Chopra, Lakonishok and

Ritter (1992)

Michaely, Thaler and Womack

(1995)


EconomicsSpiess and Affleck-

Graves (1995)

Size; book-to-market ratio; trading volume


Economics


Subrahmanyam (1997)

Loughran and Vijh (1997)


EconomicsSpiess and Affleck-

Graves (1999)

Working Paper

Journal of Finance

Journal of Finance

Watkins (2003)

Journal of Finance

Within-industry value, cashflow to price ratio,

percent change in employees, momentum

Asness, Porter and Stevens (2000)

Dichev and Piotroski (2001)


Lamont, Polk and Saa-Requejo

(2001)

Griffin and Lemmon (2002)

Transaction costs; investor sophistication


EconomicsAli, Hwang and

Trombley (2003)

Journal of Behavioral Finance



Economics

Ofek, Richardson and Whitelaw

(2004)


Anderson, Ghysels and Juergens

(2005)


Jiang, Lee and Zhang (2005)


Whited and Wu (2006)

Systematic volatility Journal of Finance

Working Paper

Journal of Finance

Working Paper

Journal of Finance

Working Paper

Journal of Finance


Gettleman and Marks (2006)


Philipov (2007)

James, Fodor and Peterson (2007)


Guo and Savickas (2008)

Campbell, Hilscher and Szilagyi (2008)

Brandt, Kishore, Santa-Clara and Venkatachalam

(2008)

Cohen and Frazzini (2008)

Management Science

Bali and Hovakimian (2009)

Journal of Financial Markets


Working Paper

Working Paper Cao and Xu (2010)

Working Paper

Working Paper

Journal of Finance


Analysis

Nguyen and Swanson (2009)


Boyer, Mitton and Vorkink (2010)

Amaya, Christoffersen,

Jacobs and Vasquez (2011)


Auditing & FinanceAn, Bhojraj and Ng

(2010)


Hameed, Huang and Mian (2010)

Menzly and Ozbas (2010)


Huang, Liu, Rhee and Wu (2010)


Analysis

Xing, Zhang and Zhao (2010)

R&D investment Li (2011)

Yan (2011)

Working Paper

Working Paper

Accounting Review

Working Paper

Working Paper

Journal of finance


EconomicsGeorge and

Hwang (2010)



EconomicsBali, Cakici and

Whitelaw (2011)


Economics

Han and Zhou (2011)

Callen and Lyle (2011)

Michael and Rees (2011)

Imrohoroglu and Tuzel (2011)

Accounting information quality



Van Binsbergen (2012)

Conrad, Dittmar and Ghysels

(2012)

Working Paper

Working Paper

Working Paper

Working Paper

Working Paper

Working Paper

Working Paper

Baltussen, Bekkum, Van Der

Grient (2012)

Friewald, Wagner and Zechner

(2012)

Chen and Strebulaev (2012)

Ang, Bali and Cakici (2012)


EconomicsCohen and Lou

(2012)


Economics

Moskowitz, Ooi and Pedersen

(2012)

Koijen, Moskowitz, Pedersen and Vrugt (2012)


Economics

Burlacu, Fontaine, Jimenez-Garces and Seasholes

(2012)

Frazzini and Pedersen (2013)

Chordia, Subrahmanyam and Tong (2013)

Journal of Finance Jarrow (1980)

Journal of Finance Mayshar (1981)

Figlewski (1981)

Journal of Finance

Journal of Finance

Journal of Finance


Analysis


Size; book-to-market ratio; momentum


Economics


Subrahmanyam (1998)

Journal of Financial Markets

Datar, Naik and Radcliffe (1998)

Lee and Swaminathan

(2000)


Economics

Chordia, Subrahmanyam and Anshuman

(2001)


EconomicsChen, Hong and

Stein (2002)

Easley, Hvidkjaer and O'Hara (2002)

Nagel (2005)

Working Paper Shu (2007)

Hvidkjaer (2008)

Working Paper Gokcen (2009)

Working Paper


EconomicsJones and Lamont

(2002)

Idiosyncratic return volatility; investor

sophistication



Trombley (2003)

Market return; market liquidity


EconomicsAcharya and

Pedersen (2005)


Hou and Moskowitz (2005)


Economics


EconomicsAsquith, Pathak

and Ritter (2005)



Barber, Odean and Zhu (2009)

Akbas, Armstrong and Petkova

(2011)

Working Paper

Working Paper Zhao (2012)

Journal of Finance

Working Paper

Working Paper

Journal of Finance

Journal of Finance

Working Paper

Ortiz-Molina and Phillips (2011)


EconomicsJohnson and So

(2012)



Economics

Brennan, Chordia, Subrahmanyam and Tong (2012)

Akbas, Armstrong, Sorescu and

Subrahmanyam (2013)

Brennan, Huh and Subrahmanyam

(2013)

Diether, Malloy and Scherbina

(2002)

Fang and Peress (2009)

Jiang and Sun (2011)

Journal of Finance

Journal of Finance

Journal of Finance

Gu (2005)

Working Paper


Arbel, Carvell and Strebel (1983)

De Bondt and Thaler (1984)

Jegadeesh and Titman (1993)

Moskowitz and Grinblatt (1999)


Auditing & Finance



Quarterly Review of Economics &

FinanceHead, Smith and

Wilson (2007)


Frank, Ma and Oliphant (2008)


Lehavy and Sloan (2008)

Korniotis and Kumar (2009)

Journal of Finance

Edmans (2011)

Working Paper

Working Paper Patatoukas (2011)

Working Paper

Journal of Finance Ofer (1975)

Cooper, Gulen and Ovtchinnikov

(2010)


Economics


Analysis

Chen, Kacperczyk and Ortiz-Molina

(2011)

Da, Liu and Schaumburg

(2011)


EconomicsGarcia and Norli

(2012)


EconomicsKim, Pantzalis and

Park (2012)

Bazdresch, Belo and Lin (2012)


EconomicsHirshleifer, Hsu

and Li (2012)


EconomicsLarcker, So and

Wang (2013)

Journal of Finance Basu (1977)

Market return

Basu (1983)

Journal of Finance Bhandari (1988)

Journal of Finance


Economics


(1979)


Economics


Hawkins, Chamberlin and

Daniel (1984)


McConnell and Sanger (1984)


Bauman and Dowen (1988)


EconomicsOu and Penman

(1989)


EconomicsHolthausen and Larcker (1992)

Loughran and Ritter (1995)


EconomicsLev and

Sougiannis (1996)

Journal of Finance La Porta (1996)

Accounting Review Botosan (1997)

Journal of Finance

Beneish (1997)

Journal of Finance Ilia (1998)

Momentum; trading volume


Economics


Subrahmanyam (1998)

Journal of Financial Research

Ackert and Athanassakos

(1997)



Public Policy

Accounting Review

Abarbanell and Bushee (1998)


EconomicsFrankel and Lee

(1998)

Working Paper

Piotroski (2000)

Accounting Review

Journal of Finance

Working Paper

Difference between firm size and average firm

size within the industryAsness, Porter and

Stevens (2000)


Pieter, Lo and Pfeiffer (2011)


Gompers and Metrick (2001)

Barber, Lehavy, McNichols and

Trueman (2001)

Penman and Zhang (2002)


Jeffrey, Lundholm and Soliman

(2003)

Idiosyncratic return volatility; transaction

costs



Trombley (2003)


Gompers, Ishii and Metrick (2003)

Accounting Review

Journal of Finance

Journal of Finance

Journal of Finance

Working Paper

Mohanram (2005)

Journal of Finance

Fairfield, Whisenant and

Yohn (2003)


Rajgopal, Shevlin and

Venkatachalam (2003)

Jegadeesh, Kim, Krische and Lee

(2004)

Allan, Maxwell and Siddique

(2004)


Analysis

Titman, Wei and Xie (2004)


Lev, Nissim and Thomas (2005)


Lev, Sarath and Sougiannis (2005)


Anderson and Garcia-Feijoo

(2006)

Journal of Finance

Journal of Finance

Working Paper

Journal of Finance

Working Paper

Hou and Robinson (2006)





EconomicsFama and French

(2006)

Cen, Wei and Zhang (2006)


Economics

Bradshaw, Richardson and

Sloan (2006)

Franzoni and Marin (2006)


Narayanamoorthy (2006)

Seoul Journal of Business

Baik and Ahn (2007)

Brown and Rowe (2007)

Journal of Finance

Journal of Finance

Accounting Review Gu and Lev (2008)

Working Paper

Accounting Review Soliman (2008)

Working Paper

Working Paper Binsbergen (2009)

Market volatility innovation; market

returnReview of

Financial StudiesKumar, Sorescu,

Boehme and Danielsen (2008)


Garlappi, Shu and Yan (2008)

Cooper, Gulen and Schill (2008)

Pontiff and Woodgate (2008)

Gu, Wang and Ye (2008)

Chandrashekar and Rao (2009)

Fu (2009)

Journal of Finance

Working Paper

Working Paper

Huang (2009)

Tuzel (2010)

Working Paper


Economics


Philipov (2009)


Economics

Hahn and Lee (2009)

Chemmanur and Yan (2009)

Gow and Taylor (2009)

Journal of Empirical Finance




(2010)



(2010)


Review of Accounting &

Finance


Wang (2010)

Simutin (2010)

Financial constraints Li (2011)

Working Paper

Accounting Review

Working Paper

Accounting Review

Li (2011)

Working Paper

Review of Accounting &

Finance


Wang (2010)



Eisfeldt and Papanikolaou

(2011)





Hafzalla, Lundholm and Van

Winkle (2007)

Hess, Kreutzmann and Pucker (2011)

Landsman, Miller, Peasnell and Shu

(2011)


Nyberg and Poyry (2011)

Palazzo (2012)

Working Paper Donangelo (2012)

Working Paper Wang (2012)

Working Paper Li (2012)

Working Paper So (2012)


Thomas and Zhang (2011)


Wahlen and Wieland (2011)





Economics


Prakash and Sinha (2012)


Price, Doran, Peterson and Bliss

(2012)

Novy-Marx (2013)

Working Paper Valta (2013)

Financial Analysts Journal

Beneish, Lee and Nichols (2013)


Cohen, Diether and Malloy (2013)


Economics

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