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Year Common # Risk factor Formation Type 1964 Market return THEORY 1965 Market return THEORY 1966 Market return THEORY 1967 1 Total volatility Individual stock volatility 1972 Market return THEORY THEORY Common macro 1972 1 Market return Equity index return 1972 Market return THEORY Indi . # Common financial Common financial Common financial Individual financial Common financial Relative prices of consumption goods Common financial Common financial HLZ: For this sheet, all factors ("common" & "individual") are sorted by year.

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Author: HLZ: For this sheet, all factors ("common" & "individual") are sorted by year. Common #Indi. #Risk factorFormationTypeJournalShort referenceFull referenceLink1964Market returnTHEORYCommon financialJournal of FinanceSharpe (1964)Sharpe, William F., 1964, ``Capital asset prices: A theory of market equilibrium under conditions of risk", Journal of Finance 19, 425-442.http://www.jstor.org/stable/2977928.pdf1965Market returnTHEORYCommon financialJournal of FinanceLintner(1965)Lintner, John, 1965, ``Security prices, risk, and maximal gains from diversification", Journal of Finance 20, 587-615.http://www.jstor.org/stable/2977249.pdf1966Market returnTHEORYCommon financialEconometricaMossin (1966) Mossin, Jan, 1966, ``Equilibrium in a Capital Asset Market", Econometrica 34, 768-783.http://www.jstor.org/stable/pdfplus/1910098.pdf19671Total volatilityIndividual stock volatilityIndividual financialYale Economic EssaysDouglas (1967) Douglas, G.W., 1967, ``Risk in the equity markets: An empirical appraisal of market efficiency", Yale Economic Essays 9, 3-48. http://yufind.library.yale.edu/yufind/Record/32834361972Market returnTHEORYCommon financialJournal of FinanceHeckerman (1972)Heckerman, Donald G., 1972, ``Portfolio selection and the structure of capital asset prices when relative prices of consumption goods may change", Journal of Finance 27, 47-60. http://www.jstor.org/stable/2978502.pdfRelative prices of consumption goodsTHEORYCommon macro19721Market returnEquity index returnCommon financialStudies in the Theory of Capital MarketsBlack, Jensen and Scholes (1972)Black, Fisher, Michael C Jensen and Myron Scholes, 1972, ``The capital asset pricing model: Some empirical tests", In Studies in the theory of capital markets, ed. Michael Jensen, pp. 79-121. New York: Praeger.http://papers.ssrn.com/sol3/papers.cfm?abstract_id=9085691972Market returnTHEORYCommon financialJournal of BusinessBlack (1972)Black, Fischer, 1972, ``Capital market equilibrium with restricted borrowing", Journal of Business 45, 444-455. http://www.jstor.org/stable/10.2307/23514991973State variables representing future investment opportunityTHEORYCommon financial/macroEconometricaMerton (1973) Merton, Robert C., 1973, ``An intertemporal capital asset pricing model", Econometrica 41, 867-887. http://www.jstor.org/stable/pdfplus/1913811.pdf1973Market returnEquity index returnCommon financialJournal of Political EconomyFama and MacBeth (1973) Fama, Eugene F. and James D. MacBeth, 1973, ``Risk, return, and equilibrium: Empirical tests", Journal of Political Economy 81, 607-636. http://www.jstor.org/stable/pdfplus/1831028.pdf2Beta squaredSquare of market betaCommon financial2Idiosyncratic volatilityResidual stock volatility from CAPMIndividual financial1973High order market returnTHEORYCommon financialJournal of Financial and Quantitative AnalysisRubinstein (1973)Rubinstein, Mark, 1973, ``The fundamental of parameter-preference security valuation", Journal of Financial and Quantitative Analysis 8, 61-69. http://www. Jstor.org/stable/10.2307/23297481974World market returnTHEORYCommon financialJournal of Economic TheorySolnik (1974)Solnik, Bruno, 1974, ``An equilibrium model of the international capital market", Journal of Economic Theory 8, 500-524. http://www.sciencedirect.com/science/article/pii/00220531749002461974Individual investor resourcesTHEORYCommon financialJournal of Financial EconomicsRubinstein (1974)Rubinstein, Mark, 1973, ``An aggregation theorem for securities markets", Journal of Financial Economics 1, 225-244. http://www.sciencedirect.com/science/article/pii/0304405X7490019119753Earnings growth expectationsProjecting firm earnings growth based on market beta, firm size, dividend payout ratio, leverage and earnings variabilityIndividual accountingJournal of FinanceOfer (1975)Ofer, Aharon R., ``Investor's expectations of earnings growth, their accuracy and effects on the structure of realized rates of return", Journal of Finance 30, 509-523. http://www.jstor.org/stable/pdfplus/2978730.pdf1976Market returnEquity index returnCommon financialJournal of FinanceKraus and Litzenberger (1976)Kraus, Alan and Robert H. Litzenberger, 1976, ``Skewness preference and the valuation of risk assets", Journal of Finance 31, 1085-1100.http://www.jstor.org/stable/2326275.pdf3Squared market returnSquare of equity index returnCommon financial19774PE ratioFirm price-to-earnings ratioIndividual accountingJournal of FinanceBasu (1977)Basu, S., 1977, ``Investment performance of common stocks in relation to their price-earnings ratios: a test of the efficient market hypothesis", Journal of Finance 32, 663-682.http://www.jstor.org/stable/pdfplus/2326304.pdf1978Marginal rate of substitutionTHEORYCommon macroEconometricaLucas (1978)Lucas, Robert E., 1978, ``Asset prices in an exchange economy", Econometrica 46, 1429-1445. http://www.hss.caltech.edu/~pbs/expfinance/Readings/Lucas1978.pdf19795Dividend yieldDividend per share divided by share priceIndividual accountingJournal of Financial EconomicsLitzenberger and Ramaswamy (1979) Litzenberger, Robert H. and Krishna Ramaswamy, 1979, ``The effect of personal taxes and dividends on capital asset prices", Journal of Financial Economics 7, 163-195. http://www.sciencedirect.com/science/article/pii/0304405X79900126#Market returnEquity index returnCommon financial1979Aggregate real consumptionTHEORYCommon macroJournal of Financial EconomicsBreeden (1979) Breeden, Douglas T., 1979, ``An intertemporal asset pricing model with stochastic consumption and investment opportunities", Journal of Financial Economics 7, 265-296. http://www.sciencedirect.com/science/article/pii/0304405X799001631980Short sale restrictionsTHEORYIndividual microstructureJournal of FinanceJarrow (1980)Jarrow, Robert, 1980, ``Heterogeneous expectations, restrictions on short sales, and equilibrium asset prices", Journal of Finance 35, 1105-1113.http://forum.johnson.cornell.edu/faculty/jarrow/004%20Heterogeneous%20Expectations%20JF%201980.pdf1981Market returnEquity index return Common financialJournal of FinanceFogler, John and Tipton (1981)Fogler, H. Russell, Kose John and James Tipton, 1981, ``Three factors, interest rate differentials and stock groups", Journal of Finance 36 323-335. www.jstor.org/stable/pdfplus/2327014.pdfTreasury bond return3-month US Treasury bill returnCommon financialCorporate bond returnIndex of long-term Aa utility bonds with deferred calls returnsCommon financial19814Treasury bill returnPrinciple components extracted from returns of Treasury billsCommon financialJournal of FinanceOldfield and Rogalski (1981)Oldfield, George S. and Richard J. Rogalski, 1981, ``Treasury bill factors and common stock returns", Journal of Finance 36, 337-350.http://www.jstor.org/stable/pdfplus/2327015.pdf1981World consumptionTHEORYCommon macroJournal of Financial EconomicsStulz (1981) Stulz, Rene M., 1981, ``A model of international asset pricing", Journal of Financial Economics 9, 383-406.http://www.sciencedirect.com/science/article/pii/0304405X819000521981Transaction costsTHEORYIndividual microstructureJournal of FinanceMayshar (1981)Mayshar, Joram, 1981, ``Transaction costs and the pricing of assets", Journal of Finance 36, 583-597.http://www.jstor.org/stable/pdfplus/2327520.pdf19816Firm sizeMarket value of firm stocksIndividual financialJournal of Financial EconomicsBanz (1981) Banz, Rolf W., 1981, ``The relationship between return and market value of common stocks", Journal of Financial Economics 9, 3-18. http://www.sciencedirect.com/science/article/pii/0304405X8190018019817Short interestEquity short interestIndividual microstructureJournal of Financial and Quantitative AnalysisFiglewski (1981)Figlewski, Stephen, 1981, The informational effects of restrictions on short sales: some empirical evidence, Journal of Financial and Quantitative Analysis 16, 463-476. http://www.jstor.org/stable/pdfplus/2330366.pdf?acceptTC=true1982Individual consumer's wealthTHEORYCommon financialJournal of BusinessConstantinides (1982)Constantinides, George, 1982, ``Intertemporal asset pricing with heterogeneous consumers and without demand aggregation", Journal of Business 55, 253-267. http://www.jstor.org/stable/10.2307/235270219838EP ratioFirm earnings-to-price ratioIndividual accountingJournal of Financial EconomicsBasu (1983)Basu, S., 1983, ``The relationship between earnigns' yield, market value and return for NYSE common stocks: further evidence", Journal of Financial Economics 12, 129-156.http://www.uadphilecon.gr/UA/files/1436950889..pdf1983Foreign exchange rate change THEORYCommon financialJournal of FinanceAdler and Dumas (1983)Adler, Michael and Bernard Dumas, 1983, ``International portfolio choice and corporation finance: A synthesis", Journal of Finance 38, 925-984. http://www.jstor.org/stable/10.2307/23280911983Institutional holdingInstitutional concentration rankings from Standard and Poor'sIndividual otherFinancial Analyst Journal Arbel, Carvell and Strebel (1983)Arbel, Avner, Steven Carvell and Paul Strebel, 1983, Giraffes, institutions and neglected firms, Financial Analysts Journal 39, 57-63. http://www.jstor.org/stable/pdfplus/4478647.pdf?acceptTC=true1984Earnings expectationsConsensus earnings expectationsIndividual accountingFinancial Analyst Journal Hawkins, Chamberlin and Daniel (1984)Hawkins, Eugene, Stanley Chamberlin and Wayne Daniel, 1984, Earnings expectations and security prices, Financial Analysts Journal, Sep.-Oct., 24-39. http://www.jstor.org/stable/pdfplus/4478772.pdf?acceptTC=true1984New listings dummyAnnouncement that a company has filed a formal application to list on the NYSEIndividual accountingFinancial Analyst Journal McConnell and Sanger (1984)McConnell, John and Gary Sanger, 1984, A trading strategy for new listings on the NYSE, Financial Analysts Journal 40, 34-38. http://www.jstor.org/stable/pdfplus/4478714.pdf?acceptTC=true1985Market returnEquity index returnCommon financialJournal of Financial EconomicsChan, Chen and Hsieh (1985) Chan, K. C., Nai-fu Chen and David A. Hsieh, 1985, ``An exploratory investigation of the firm size effect", Journal of Financial Economics 14, 451-471. http://www.sciencedirect.com/science/article/pii/0304405X8590008X5Industrial production growth Seasonally adjusted monthly growth rate of industrial productionCommon macro6Change in expected inflationChange in expected inflation as defined in Fama and Gibbons (1984)Common macro7Unanticipated inflationRealized minus expected inflationCommon macro8Credit premiumRisk premium measured as difference in return between ``under Baa" bond portfolio and long-term government bond portfolioCommon financial9Term structureYield curve slope measured as difference in return between long-term government bond and 1-month Treasury billCommon financial19859Long-term return reversalLong-term past abnormal returnIndividual otherJournal of FinanceDe Bondt and Thaler (1985)De Bondt , Werner F. M. and Richard Thaler, 1985, ``Does the stock market overreact?", Journal of Finance 40, 28-30. http://www.jstor.org/stable/pdfplus/2327804.pdf1985Investment opportunity changeTHEORYCommon financialEconometricaCox, Ingersoll and Ross (1985)Cox, John, Jonathan Ingersoll and Stephen Ross, 1985, ``A theory of the term structure of interest rates", Econometrica 53, 385-407. http://www.jstor.org/stable/10.2307/19112421986Transaction costsTHEORYCommon microstructureJournal of Financial EconomicsAmihud and Mendelson (1986)Amihud, Yakov and Haim Mendelson, 1986, ``Asset pricing and the bid-ask spread", Journal of Financial Economics 17, 223-249. http://www.sciencedirect.com/science/article/pii/034405X869006561986Transaction costsTHEORYCommon microstructureJournal of Political EconomyConstantinides (1986)Constantinides, George, 1986, ``Capital market equilibrium with transaction costs", Journal of Political Economy 94, 842-862. http://www.jstor.org/stable/10.2307/18332051986Expected inflationTHEORYCommon macroJournal of FinanceStulz (1986)Stulz, Rene M., 1986, ``Asset Pricing and Expected Inflation", Journal of Finance 41, 209-223.http://www.jstor.org/stable/pdfplus/2328353.pdf198610Long-term interest rateChange in the yield of long-term government bondsCommon financialJournal of FinanceSweeney and Warga (1986)Sweeney, Richard J. and Arthur D. Warga, 1986, ``The pricing of interest-rate risk: evidence from the stock market", Journal of Finance 41, 393-410.http://www.jstor.org/stable/pdfplus/2328443.pdf1986Industrial production growthSeasonally adjusted monthly growth rate of industrial productionCommon macroJournal of BusinessChen, Roll and Ross (1986) Chen, Nai-Fu, Richard Roll and Stephen A. Ross, 1986, ``Economic forces and stock market", Journal of Business 59, 383-403.http://www.jstor.org/stable/pdfplus/2352710.pdfCredit premiumRisk premium measured as difference in return between ``under Baa" bond portfolio and long-term government bond portfolioCommon financialTerm structureYield curve slope measured as difference in return between long-term government bond and 1-month Treasury billCommon financialUnanticipated inflation Realized minus expected inflationCommon macroChanges in expected inflation Changes in expected inflation as defined in Fama and Gibbons (1984)Common macro11Change in oil pricesGrowth rate in oil pricesCommon macro198810Debt to equity ratioNon-common equity liabilities to equityIndividual accountingJournal of FinanceBhandari (1988) Bhandari, Laxmi Chand, ``Debt/Equity ratio and expected common stock returns: Empirical evidence", Journal of Finance 43, 507-528. http://www.jstor.org/stable/pdfplus/2328473.pdf1988Long-term growth forecastsLong-term growth forecasts proxied by the five-year earnings per share growth rate forecasts Individual accountingFinancial Analyst Journal Bauman and Dowen (1988)Bauman, Scott and Richard Dowen, 1988, Growth projections and common stock returns, Financial Analyst Journal, July/August. CFA institute198912Consumption growthPer capita real consumption growthCommon macroJournal of FinanceBreeden, Gibbons and Litzenberger (1989) Breeden, Douglas T., Michael R. Gibbons and Robert H. Litzenberger, ``Empirical Test of the Consumption-Oriented CAPM", Journal of Finance 44, 231-262. http://www.jstor.org/stable/pdfplus/2328589.pdf198911IlliquidityIlliquidity proxied by bid-ask spreadIndividual microstructureJournal of FinanceAmihud and Mendelson (1989)Amihud, Yakov and Haim Mendelson, 1989, The effects of beta, bid-ask spread, residual risk, and size on stock returns, Journal of Finance 44, 479-486. http://www.jstor.org/stable/2328600198912Predicted 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 & EconomicsOu and Penman (1989)Ou, Jane and Stephen Penman, 1989, Financial statement analysis and the prediction of stock returns, Journal of Accounting & Economics 11, 295-329. http://www.sciencedirect.com/science/article/pii/0165410189900177199013Return predictabilityShort-term (one month) and long-term (twelve months) serial correlations in returnsIndividual financial Journal of FinanceJegadeesh (1990)Jegadeesh, Narasimhan, 1990, Evidence of predictable behavior of security returns, Journal of Finance 45, 147-171. http://www.jstor.org/stable/pdfplus/2328797.pdf?acceptTC=true1991Market returnEquity index returnCommon financialJournal of Political EconomyFerson and Harvey (1991) Ferson, Wayne E. and Campbell R. Harvey, 1991, ``The variation of economic risk premiums", Journal of Political Economy, 99, 385-415. http://www.jstor.org/stable/pdfplus/2937686.pdfConsumption growthReal per capita growth of personal consumption expenditures for nondurables & servicesCommon macroCredit spreadBaa corporate bond return less monthly long-term government bond returnCommon financial13Change in the slope of the yield curveChange in the difference between a 10-year Treasury bond yield and a 3-month Treasury bill yieldCommon financialUnexpected inflationDifference between actual and time-series forecasts of inflation rateCommon macro14Real short rateOne-month Treasury bill return less inflation rateCommon financial199215SizeReturn on a zero-investment portfolio long in small stocks and short in large stocksCommon accountingJournal of FinanceFama and French (1992)Fama, Eugene F. and Kenneth R. French, 1992, ``The cross-section of expected stock returns", Journal of Finance 47, 427-465.www.jstor.org/stable/pdfplus/2329112.pdf16ValueReturn on a zero-investment portfolio long in growth stocks and short in value stocksCommon accounting1992Return momentumSize and beta adjusted mean prior five-year returnsIndividual financialJournal of Financial EconomicsChopra, Lakonishok and Ritter (1992)Chopra, Navin, Josef Lakonishok and Jay R. Ritter, 1992, Measuring abnormal performance, Journal of Financial Economics 31, 235-268. http://www.sciencedirect.com/science/article/pii/0304405X9290005I1992Predicted return signsReturn signs predicted by a logit model using financial ratiosIndividual accountingJournal of Accounting & EconomicsHolthausen and Larcker (1992)Holthausen, Robert and David Larcker, 1992, The prediction of stock returns using financial statement information, Journal of Accounting & Economics 15, 373-411. http://www.sciencedirect.com/science/article/pii/016541019290025W199314Return momentumPast stock returnsIndividual otherJournal of FinanceJegadeesh and Titman (1993)Jegadeesh, Narasimhan and Sheridan Titman, 1993, ``Returns to buying winners and selling losers: implications for stock market efficiency", Journal of Finance 48, 65-91.http://www.jstor.org/stable/23288821993Return on S&P stocksReturns on S&P stocksCommon financialReview of Financial StudiesElton, Gruber, Das and Hlavka (1993)Elton, Edwin, Martin Gruber, Sanjiv Das and Matthew Hlavka, 1993, ``Efficiency with costly information: A reinterpretation of evidence from managed portfolios", Review of Financial Studies 6, 1-22. http://www.jstor.org/stable/10.2307/2961987Returns on non-S&P stocksReturns on non-S&P stocksCommon financial1993High order market and bond returnHigh order equity index returns and bond returns Common financialJournal of FinanceBansal and Viswanathan (1993)Bansal, Ravi and S.Viswanathan, 1993, ``No arbitrage and arbitrage pricing: a new approach", Journal of Finance 48, 1231-1262. http://www.jstor.org/stable/pdfplus/2329037.pdf1993Market returnEquity index returnCommon financialJournal of Financial EconomicsFama and French (1993) Fama, Eugene F. and Kenneth R. French, 1993, ``Common risk factors in the returns on stocks and bonds", Journal of Financial Economics 33, 3-56. http://www.sciencedirect.com/science/article/pii/0304405X93900235#SizeReturn on a zero-investment portfolio long in small stocks and short in large stocksCommon accountingValueReturn on a zero-investment portfolio long in growth stocks and short in value stocks Common accountingTerm structureDifference in return between long-term government bond and one-month Treasury billCommon financialCredit riskDifference in return between long-term corporate bond and long-term government bondCommon financial1993World equity returnUS dollar return of the MSCI world equity market in excess of a short-term interest rateCommon financialReview of Financial StudiesFerson and Harvey (1993) Ferson, Wayne E. and Campbell R. Harvey, 1993, ``The risk and predictability of international equity returns", Review of Financial Studies 6, 527-566. http://www.jstor.org./stable/pdfplus/2961978.pdfChange in weighted exchange rateLog first difference of the trade-weighted US dollar price of ten industrialized countries' currenciesCommon financialChange in long-term inflationary expectationsChange in long-term inflationary expectationsCommon macroWeighted real short-term interest rateGDP weighted average of short-term interest rates in G-7 countriesCommon financialChange in oil priceChange in the monthly average US dollar price per barrel of crude oilCommon macroChange in the Eurodollar-Treasury yield spreadFirst difference of the spread between the 90-day Eurodollar yield and the 90-day Treasury-bill yieldCommon financialChange in G-7 industrial productionChange in G-7 industrial productionCommon macroUnexpected inflation for the G-7 countriesUnexpected inflation based on a time-series model on an aggregate G-7 inflation rateCommon macro199417World equity returnUS dollar return of the MSCI world equity market in excess of a short-term interest rateCommon financialJournal of Banking and FinanceFerson and Harvey (1994)Ferson, Wayne and Campbell Harvey, 1994, ``Sources of risk and expected returns in global equity markets", Journal of Banking and Finance 18, 775-803. http://www.sciencedirect.com/science/article/pii/037842669300020P18Change in weighted exchange rateLog first difference of the trade-weighted US dollar price of ten industrialized countries' currenciesCommon financial19Change in long-term inflationary expectationsChange in long-term inflationary expectationsCommon macroChange in oil priceChange in the monthly average US dollar price per barrel of crude oilCommon macro199420Tax rate for capital gainsShort-term capital gains tax rateCommon accountingJournal of FinanceBossaerts and Dammon (1994) Bossaert, Peters and Robert M. Dammon, 1994, ``Tax-induced intertemporal restrictions on security returns", Journal of Finance 49, 1347-1371. http://www.jstor.org/stable/pdfplus/2329189.pdf21Tax rate for dividendDividend tax rateCommon accounting199522Change in expected inflationChange in expectation from economic surveysCommon macroJournal of FinanceElton, Gruber and Blake (1995)Elton, Edwin J., Martin J. Gruber and Christopher R. Blake, 1995, ``Fundamental economic variables, expected returns, and bond fund performance", Journal of Finance 50, 1229-1256.http://www.jstor.org/stable/pdfplus/2329350.pdf23Change in expected GNPChange in expectation from economic surveysCommon macro199515New public stock issuance New public stock issuanceIndividual accountingJournal of FinanceLoughran and Ritter (1995)Loughran, Tim and Jay R. Ritter, 1995, ``The new issues puzzle", Journal of Finance 50, 23-51.http://www.jstor.org/stable/pdfplus/2329238.pdf199516Dividend initiationsInitiations of cash dividend paymentsIndividual financialJournal of FinanceMichaely, Thaler and Womack (1995)Michaely, Roni, Richard Thaler and Kent Womack, 1995, Price reactions to dividend initiations and omissions: overreaction or drift? Journal of Finance 50, 573-608. http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.1995.tb04796.x/abstract17Dividend omissionsOmissions of cash dividend paymentsIndividual financial1995Seasoned equity offeringsWhether a firm makes seasoned equity offeringsIndividual financialJournal of Financial EconomicsSpiess and Affleck-Graves (1995)Spiess, Katherine and John Affleck-Graves, 1995, Underperformance in long-run stock returns following seasoned equity offerings, Journal of Financial Economics 38, 243-267. http://www.sciencedirect.com/science/article/pii/0304405X9400817K199624Money growthM2 or M3 minus currency, divided by total populationCommon macroJournal of FinanceChan, Foresi and Lang (1996) Chan, K.C., Silverio Foresi and Larry H.P. Lang, 1996, ``Does money explain returns? Theory and empirical analysis", Journal of Finance 51, 345-361.http://www.jstor.org/stable/pdfplus/2329312.pdf199625Returns on physical investmentInferred from investment data via a production functionCommon macroJournal of Political EconomyCochrane (1996) Cochrane, John H., 1996, ``A cross-sectional test of an investment-based asset pricing model", Journal of Political Economy 104, 572-621. http://faculty.chicagobooth.edu/john.cochrane/research/papers/cross%20sectional%20test%20%28jpe%29.pdf1996Market returnEquity index returnCommon financialJournal of Political EconomyCampbell (1996) Campbell, John Y., 1996, ``Understanding risk and return", Journal of Political Economy 104, 298-345. http://dash.harvard.edu/bitstream/handle/1/3153293/campbell_risk.pdfLabor incomeReal labor income growth rateCommon macroDividend yieldDividend yield on value-weighted indexCommon financialInterest rateTreasury bill rate less 1-year moving average Common financialTerm structureLong-short government bond yield spreadCommon financial1996Market returnEquity index returnCommon financialJournal of FinanceJagannathan and Wang (1996) Jagannathan, Ravi and Zhenyu Wang, 1996, ``The conditional CAPM and the cross-section of expected returns", Journal of Finance 51, 3-53.http://www.jstor.org/stable/pdfplus/2329301.pdfSlope of yield curve Long-short government bond yield spreadCommon financialLabor incomeReal labor income growth rateCommon macro199618Earnings forecastErrors in analysts' forecasts on earnings growthIndividual accountingJournal of FinanceLa Porta (1996)La Porta, Rafael, 1996, ``Expectations and the cross-section of stock returns", Journal of Finance 51, 1715-1742.http://www.jstor.org/stable/pdfplus/2329535.pdf199619R&D capitalR&D capital over total assetsIndividual accountingJournal of Accounting & EconomicsLev and Sougiannis (1996)Lev, Baruch and Theodore Sougiannis, 1996, The capitalization, amortization, and value-relevance of R&D, Journal of Accounting and Economics 21, 107-138. http://www.sciencedirect.com/science/article/pii/0165410195004106199620Accruals Accruals defined by the change in non-cash current assets, less the change in current liabilities, less depreciation expense, all divided by average total assetsIndividual accountingAccounting ReviewSloan (1996)Sloan, Richard, 1996, Do stock prices fully reflect information in accruals and cash flows about future earnings? Accounting Review 71, 289-315. http://www.jstor.org/stable/pdfplus/248290.pdf199621Buy recommendationsBuy recommendations from security analystsIndividual financialJournal of FinanceWomack (1996)Womack, Kent, 1996, Do brokerage analysts' recommendations have investment value? Journal of Finance 51, 137-167. http://www.jstor.org.proxy.lib.duke.edu/stable/pdfplus/2329305.pdf22Sell recommendationsSell recommendations from security analystsIndividual financial199623Credit ratingInstitutional investor country credit rating from semi-annual surveyIndividual otherJournal of Portfolio ManagementErb, Harvey and Viskanta (1996)Erb, Claude, Campbell Harvey and Tadas Viskanta, 1996, Expected returns and volatility in 135 countries, Journal of Portfolio Management 22, 46-58. http://www.iijournals.com/doi/abs/10.3905/jpm.1996.409554199624IlliquidityDerivative transaction price with respect to signed trade sizeIndividual microstructureJournal of Financial EconomicsBrennan and Subrahmanyam (1996)Brennan, Michael and Avanidhar Subrahmanyam, 1996, Market microstructure and asset pricing: On the compensation for illiquidity in stock returns, Journal of Financial Economics 41, 441-464. http://www.sciencedirect.com/science/article/pii/0304405X9500870K1997Nonlinear functions of consumption growthLow order orthonormal polynomials of current and future consumption growthCommon macroJournal of FinanceChapman (1997)Chapman, David A., 1997, ``Approximating the asset pricing kernel", Journal of Finance 52, 1383-1410.http://www.jstor.org/stable/pdfplus/2329440.pdf1997Opportunistic strategy returnReturn for hedge funds that follow an opportunistic strategyCommon financialReview of Financial StudiesFung and Hsieh (1997) Fung, William and David A. Hsieh, 1997, ``Empirical characteristics of dynamic trading strategies: The case of hedge funds", Review of Financial Studies 10, 275-302. http://www.jstor.org/stable/pdfplus/2962347.pdfGlobal/macro strategy returnReturn for hedge funds that follow a global/macro strategyCommon financialValue strategy returnReturn for hedge funds that follow a value strategyCommon financialTrend following strategy return Return for hedge funds that follow a trend following strategyCommon financialDistressed investment strategy returnReturn for hedge funds that follow a distressed investment strategyCommon financial1997Size Return on a zero-investment portfolio long in small stocks and short in large stocksCommon accountingJournal of FinanceCarhart (1997)Carhart, Mark M., 1997, ``On persistence in mutual fund performance", Journal of Finance 52, 57-82.http://www.iscte.pt/~jpsp/Teaching/AssetPricing_PhD/Carhart%20JF%201997%20Persistence%20in%20Fund%20Performance.pdfValueReturn on a zero-investment portfolio long in growth stocks and short in value stocksCommon accountingMarket returnEquity index returnCommon financial27MomentumReturn on a zero-investment portfolio long in past winners and short in past losersCommon other1997Size Market value of equityIndividual accountingJournal of Financial EconomicsBrennan, Chordia and Subrahmanyam (1997) Brennan, Michael J., Tarun Chordia and Avanidhar Subrahmanyam, 1997, ``Alternative factor specifications, security characteristics, and the cross-section of expected stock returns", Journal of Financial Economics 49, 345-373. http://www.sciencedirect.com/science/article/pii/S0304405X98000282#Book-to-market ratioBook value of equity plus deferred taxes to market value of equity Individual accountingMomentum Past cumulative stock returnIndividual financial25Trading volumeDollar volume traded per monthIndividual microstructure199726Disclosure levelVoluntary disclosure level of manufacturing firms' annual reports Individual accountingAccounting ReviewBotosan (1997) Botosan, Christine A., 1997, ``Disclosure level and the cost of equity capital", Accounting Review, 72, 323-349. http://www.jstor.org/stable/pdfplus/248475.pdf199727Earning forecasts uncertaintyStandard deviation of earnings forecastsIndividual accountingJournal of Financial ResearchAckert and Athanassakos (1997)Ackert, L., and G. Athanassakos, 1997, Prior uncertainty, analyst bias, and subsequent abnormal returns, Journal of Financial Research 20, 263-273. http://www.bengrahaminvesting.ca/Research/Papers/Athanassakos/Prior_Uncertainty.pdf1997SizeMarket value of equityIndividual accountingJournal of FinanceDaniel and Titman (1997)Daniel, Kent and Sheridan Titman, 1997, ``Evidence on the characteristics of cross sectional variation in stock returns", Journal of Finance 52, 1-33.http://www.jstor.org/stable/pdfplus/2329554.pdfValueBook value of equity plus deferred taxes to market value of equityIndividual accounting1997Earnings management likelihoodEarnings management likelihood obtained by regressiong realized violators of Generally Accepted Accounting Principles on firm characteristicsIndividual accounting Journal of Accounting and Public PolicyBeneish (1997)Beneish, M.D., 1997, Detecting GAAP violation: Implications for assessing earnings management among firms with extreme financial performance, Journal of Accounting and Public Policy 16, 271-309. http://www.sciencedirect.com/science/article/pii/S0278425497000239199728Corporate acquisitionsDifference between stock mergers and cash tender offers for corporate acquisitionsIndividual financialJournal of FinanceLoughran and Vijh (1997)Loughran, Tim and Anand Vijh, 1997, Do long-term shareholders benefit from corporate acquisitions? Journal of Finance 52, 1765-1790. http://www.jstor.org/stable/pdfplus/2329464.pdf?acceptTC=true1998Fundamental analysisInvestment 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. Individual accounting Accounting ReviewAbarbanell and Bushee (1998)Abarbanell, J.S., and B.J. Bushee, 1998, Abnormal returns to a fundamental analysis strategy, Accounting Review 73, 19-45.http://www.jstor.org/stable/2483401998Firm fundamental valueFirms' fundamental values estimated from I/B/E/S consensus forecasts and a residual income modelIndividual accountingJournal of Accounting and EconomicsFrankel and Lee (1998)Frankel, Richard and Charles Lee, 1998, ``Accounting valuation, market expectation, and cross-sectional stock returns", Journal of Accounting and Economics 25, 283-319. http://www.sciencedirect.com/science/article/pii/S0165410198000263199829Bankruptcy riskThe probability of bankruptcy from Altman (1968)Individual accountingJournal of FinanceIlia (1998)Dichev, Ilia, 1998, Is the risk of bankruptcy a systematic risk? 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Harvey, 1999, ``Conditioning variables and the cross section of stock returns", Journal of Finance 54, 1325-1360.http://www.jstor.org/stable/pdfplus/798007.pdf199931Industry momentumIndustry-wide momentum returnsIndividual otherJournal of FinanceMoskowitz and Grinblatt (1999) Moskowitz, Tobias J. and Mark Grinblatt, 1999, ``Do industries explain momentum?", Journal of Finance 54, 1249-1290.http://www.jstor.org/stable/pdfplus/798005.pdf1999Debt offeringsWhether a firm makes straight and convertible debt offeringsIndividual financialJournal of Financial EconomicsSpiess and Affleck-Graves (1999)Spiess, Katherine and John Affleck-Graves, 1995, The long-run performance of stock returns following debt offerings, Journal of Financial Economics 54, 45-73. http://www.sciencedirect.com/science/article/pii/S0304405X99000318200029Entrepreneur incomeProprietary income of entrepreneursCommon financialJournal of FinanceHeaton and Lucas (2000) Heaton, John and Deborah Lucas, 2000, ``Portfolio choice and asset prices: The importance of entrepreneurial risk", Journal of Finance 55, 1163-1198.http://www.jstor.org/stable/pdfplus/222449.pdf200030CoskewnessExcess return on a portfolio which long stocks with low past coskewnessCommon financialJournal of FinanceHarvey and Siddique (2000)Harvey, Campbell and Akhtar Siddique, 2000, ``Conditional skewness in asset pricing tests", Journal of Finance 55, 1263-1295.http://www.jstor.org/stable/10.2307/222452200032Trading volumePast trading volumeIndividual microstructureJournal of FinanceLee and Swaminathan (2000) Lee, Charles M.C. and Bhaskaran Swaminathan, 2000, ``Price momentum and trading volume", Journal of Finance 55, 2017-2069.http://www.jstor.org/stable/pdfplus/222483.pdf200033Within-industry sizeDifference between firm size and average firm size within the industryIndividual financialWorking PaperAsness, Porter and Stevens (2000)Asness, Clifford, R. Burt Porter and Ross Stevens, 2000, Predicting stock returns using industry-relative firm characteristics, Working Paper, AQR Capital Management. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=21387234Within-industry valueDifference between firm book-to-market ratio and average book-to-market ratio within the industryIndividual accounting 35Within-industry cashflow to price ratioDifference between firm cashflow to price ratio and average cashflow to price ratio within the industryIndividual accounting 36Within-industry percent change in employeesDifference between firm percent change in employees and average percent change in employees within the industryIndividual accounting 37Within-industry momentumDifference between firm past stock prices and average past stock prices within the industryIndividual financial200038Financial statement informationA composite score based on historical financial statement that separates winners from losersIndividual accountingJournal of Accounting ResearchPiotroski (2000)Piotroski, Joseph, 2000, Value investing: The use of historical financial statement information to separate winners from losers, Journal of Accounting Research 38, 1-41. http://www.jstor.org/stable/pdfplus/2672906.pdf?acceptTC=true2001Consumption growthPer capita real consumption growth rateCommon macroJournal of Political EconomyLettau and Ludvigson (2001) Lettau, Martin and Sydney Ludvigson, 2001, ``Resurrecting the (C)CAPM: A cross-sectional test when risk premia are time-varying", Journal of Political Economy 109, 1238-1287. http://www.jstor.org/stable/pdfplus/10.1086/323282.pdf31Consumption-wealth ratioProxied by a weighted average of human and nonhuman wealthCommon macro200139Level of liquidityLevel of dollar trading volume and share turnoverIndividual microstructureJournal of Financial EconomicsChordia, Subrahmanyam and Anshuman (2001) Chordia, Tarun, Avanidhar Subrahmanyam and V. Ravi Anshuman, 2001, ``Trading activity and expected stock returns", Journal of Financial Economics 59, 3-32. http://www.sciencedirect.com/science/article/pii/S0304405X00000805#40Variability of liquidityVolatility of dollar trading volume and share turnoverIndividual microstructure200141Financial constraintsMeasure financial constraints with Kaplan and Zingales (1997) indexIndividual financialReview of Financial StudiesLamont, Polk and Saa-Requejo (2001) Lamont, Owen, Christopher Polk and Jesus Saa-Requejo, 2001, ``Financial constraints and stock returns", Review of Financial Studies 14, 529-554. http://www.jstor.org/stable/pdfplus/2696750.pdf2001Straddle returnLookback straddles' returns constructed based on option pricesCommon financialReview of Financial StudiesFung and Hsieh (2001)Fung, William and David Hsieh, 2001, ``The risk in hedge fund strategies: Theory and evidence from trend followers", Review of Financial Studies 14, 313-341. http://www.jstor.org/stable/10.2307/26967432001Consensus recommendationsConsensus recommendations measured by the average analyst recommendationsIndividual accounting Journal of FinanceBarber, Lehavy, McNichols and Trueman (2001)Barber, Brad, Reuven Lehavy, Maureen McNichols and Brett Trueman, 2001, Can investors profit from the prophets? 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Lemmon, 2002, ``Book-to-market equity, distress risk, and stock returns", Journal of Finance 57, 2317-2336. http://www.jstor.org/stable/pdfplus/3094513.pdf200246Analyst dispersionDispersion in analysts' earnings forecastsIndividual behavioralJournal of FinanceDiether, Malloy and Scherbina (2002) Diether, Karl B., Christopher J. Malloy and Anna Scherbina, 2002, ``Differences of opinion and the cross section of stock returns", Journal of Finance 57, 2113-2141. http://www.jstor.org/stable/pdfplus/3094506.pdf200247Breadth of ownershipRatio of the number of mutual funds holding long positions in the stock to total number of mutual fundsIndividual microstructureJournal of Financial EconomicsChen, Hong and Stein (2002) Chen, Joseph, Harrison Hong and Jeremy C. Stein, 2002, ``Breadth of ownership and stock returns", Journal of Financial Economics 66, 171-205. http://www.sciencedirect.com/science/article/pii/S0304405X02002234#200248Information riskProbability of information-based trading for individual stock Individual microstructureJournal of FinanceEasley, Hvidkjaer and O'Hara (2002) Easley, David, Soeren Hvidkjaer and Maureen O'Hara, 2002, ``Is information risk a determinant of asset returns", Journal of Finance 57, 2185-2221.http://www.jstor.org/stable/pdfplus/3094509.pdf200249Short-sale constraintsShorting costs for NYSE stocksIndividual microstructureJournal of Financial EconomicsJones and Lamont (2002) Jones, Charles M and Owen A Lamont, 2002, ``Short-sale constraints and stock returns", Journal of Financial Economics 66, 207-239. http://www.sciencedirect.com/science/article/pii/S0304405X02002246200250Earnings sustainabilityA summary score based on firm fundamentals that informs about the sustainability of earningIndividual accountingWorking PaperPenman and Zhang (2002)Penman, Stephen and Xiao-jun Zhang, 2002, Modeling sustainable earings and P/E ratios with financial statement analysis, Working Paper, Columbia University. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=318967&download=yes200233Market illiquidityAverage over the year of the daily ratio of the stock's absolute return to its dollar trading volumeCommon microstructureJournal of Financial MarketsAmihud (2002)Amihud, Yakov, 2002, Illiquidity and stock returns: cross-section and time-series effects, Journal of Financial Markets 5, 31-56. http://www.sciencedirect.com/science/article/pii/S1386418101000246200334GDP growth newsGDP growth news obtained from predictive regressions on lagged equity and fixed-income portfoliosCommon macroJournal of Financial EconomicsVassalou (2003) Vassalou, Maria, 2003, ``News related to future GDP growth as a risk factor in equity returns", Journal of Financial Economics 68, 46-73. http://www.sciencedirect.com/science/article/pii/S0304405X02002489#200335Market liquidityAggregated liquidity based on firm future excess stock return regressed on current signed excess return times trading volumeCommon microstructureJournal of Political EconomyPastor and Stambaugh (2003) Pastor, Lubos and Robert F Stambaugh, 2003, ``Liquidity risk and expected stock returns", Journal of Political Economy 111, 643-685. http://pages.stern.nyu.edu/~lpederse/courses/LAP/papers/TransactionCosts/PastorStam.pdf2003Idiosyncratic return volatilityResidual variance obtained by regressing daily stock returns on market index returnIndividual financialJournal of Financial EconomicsAli, Hwang and Trombley (2003) Ali, Ashiq, Lee-Seok Hwang and Mark A. Trombley, 2003, ``Arbitrage risk and the book-to-market anomaly", Journal of Financial Economics 69, 355-373. http://www.sciencedirect.com/science/article/pii/S0304405X03001168Transaction costsBid-ask spread, volume, etc.Individual microstructureInvestor sophisticationNumber of analysts or institutional ownersIndividual accounting200351Shareholder rightsShareholder rights as proxied by an index using 24 governance rulesIndividual accountingQuarterly Journal of EconomicsGompers, Ishii and Metrick (2003) Gompers, Paul, Joy Ishii and Andrew Metrick, 2003, ``Corporate governance and equity prices", Quarterly Journal of Economics 118, 107-155. http://www.jstor.org/stable/pdfplus/25053900.pdf200352Excluded expensesExcluded expenses in firm's earnings reportsIndividual accountingReview of Accounting StudiesJeffrey, Lundholm and Soliman (2003)Doyle, Jeffrey, Russell Lundholm and Mark Soliman, 2003, The predictive value of expenses excluded from pro forma earnings, Review of Accounting Studies 8, 145-174. http://link.springer.com/content/pdf/10.1023%2FA%3A1024472210359.pdf200353Growth in long-term net operating assets Growth in long-term net operating assetsIndividual accountingAccounting ReviewFairfield, Whisenant and Yohn (2003)Fairfield, Patricia, Scott Whisenant and Teri Lombardi Yohn, 2003, Accrued earnings and growth: implications for future profitability and market mispricing, Accounting Review 78, 353-371. http://www.jstor.org/stable/pdfplus/3203307.pdf?acceptTC=true200354Order backlogOrder backlog divided by average total assets, transformed to a scaled-decile variableIndividual accountingReview of Accounting Studies Rajgopal, Shevlin and Venkatachalam (2003)Rajgopal, Shivaram, Terry Shevlin and Mohan Venkatachalam, 2012, Does the stock market fully appreciate the implications of leading indicators for future earnings? 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Wang, 2004, ``Idiosyncratic consumption risk and the cross section of asset returns", Journal of Finance 59, 2211-2252.http://www.jstor.org/stable/pdfplus/3694822.pdf200437Cash flow newsNews about future market cash flowCommon financialAmerican Economic ReviewCampbell and Vuolteenaho (2004) Campbell, John Y. and Tuomo Vuolteenaho, 2004, ``Bad beta, good beta", American Economic Review 94, 1249-1275. http://www.aeaweb.org/articles.php?doi=10.1257/000282804305224038Discount rate newsNews about future market discount rateCommon financial2004Market returnEquity index returnCommon financialReview of Financial StudiesVanden (2004) Vanden, Joel M., 2004, ``Options trading and the CAPM", Review of Financial Studies 17, 207-238. http://www.jstor.org/stable/pdfplus/1262673.pdf39Index option returnsReturn on S\&P 500 index optionCommon financial200440Default riskFirm default likelihood using Merton's option pricing modelCommon financial Journal of FinanceVassalou and Xing (2004) Vassalou, Maria and Yuhang Xing, 2004, ``Default risk in equity returns", Journal of Finance 2004, 831-868.http://www.jstor.org/stable/pdfplus/3694915.pdf200441Real interest rateReal interest rates extracted from a time-series model of bond yields and expected inflationCommon financialJournal of FinanceBrennan, Wang and Xia (2004) Brennan, Michael J., Ashley W. Wang and Yihong Xia, 2004, ``Estimation and test of a simple model of intertemporal capital asset pricing", Journal of Finance 59, 1743-1775. http://www.jstor.org/stable/pdfplus/3694877.pdf42Maximum Sharpe ratio portfolio Maximum Sharpe ratio portfolio extracted from a time-series model of bond yields and expected inflationCommon financial 200443Return reversals at the style levelZero-investment portfolios sorted based on past return performance at the style levelCommon otherJournal of Financial EconomicsTeo and Woo (2004) Teo, Melvyn and Sung-Jun Woo, 2004, ``Style effects in the cross-section of stock returns", Journal of Financial Economics 74, 367-398. http://www.sciencedirect.com/science/article/pii/S0304405X04000753#200456Unexpected change in R&DUnexpected change in firm research and expendituresIndividual accountingJournal of FinanceAllan, Maxwell and Siddique (2004)Eberhart, Allan, William Maxwell and Akhtar Siddique, 2004, An examination of long-term abnormal stock returns and operating performance following R&D increases, Journal of Finance 59, 623-650. http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2004.00644.x/abstract20045752-week highNearness to the 52-week high price Individual financialJournal of FinanceGeorge and Hwang (2004)George, Thomas and Chuan-yang Hwang, 2004, The 52-week high and momentum investing, Journal of Finance 5, 2145-2176. http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2004.00695.x/full200458Analysts' recommendationsConsensus analysts' recommendations from sell-side firms Individual accountingJournal of FinanceJegadeesh, Kim, Krische and Lee (2004)Jegadeesh, Narasimhan, Joonghyuk Kim, Suan Krische and Charles Lee, 2004, Analyzing the analysts: When do recommendations add value? Journal of Finance 59, 1083-1124. http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2004.00657.x/pdf200459Put-call parityViolations of put-call parityIndividual financialJournal of Financial EconomicsOfek, Richardson and Whitelaw (2004)Ofek, Eli, Matthew Richardson and Robert Whitelaw, 2004, Limited arbitrage and short sales restrictions: evidence from the options markets, Journal of Financial Economics 74, 305-342. http://www.sciencedirect.com/science/article/pii/S0304405X04000662200460Abnormal capital investmentPast year capital expenditures scaled by average capital expenditures for previous three yearsIndividual accountingJournal of Financial and Quantitative AnalysisTitman, Wei and Xie (2004)Titman, Sheridan, John Wei and Feixue Xie, 2004, Capital investments and stock returns, Journal of Financial and Quantitative Analysis 39, 677-700.http://www.jstor.org/stable/pdfplus/30031881.pdf?acceptTC=true200544Long-horizon consumption growth Three-year consumption growth rateCommon macroJournal of Political EconomyParker and Julliard (2005) Parker, Jonathan A. and Christian Julliard, 2005, ``Consumption risk and the cross section of expected returns", Journal of Political Economy 113, 186-222. http://bbs.cenet.org.cn/uploadimages/200531610275968043.pdf200545Long run consumptionCash flow risk measured by cointegration residual with aggregate consumptionCommon macroJournal of FinanceBansal, Dittmar and Lundblad (2005) Bansal, Ravi, Robert F. Dittmar and Christian T. Lundblad, 2005, ``Consumption, dividends, and the cross section of equity returns'', Journal of Finance 60, 1639-1672. http://www.jstor.org/stable/pdfplus/3694850.pdf200546Housing price ratioRatio of housing to human wealthCommon financialJournal of FinanceLustig and Nieuwerburgh (2005) Lustig, Hanno N. and Stijn G. Van Neiuwerburgh, 2005, ``Housing collateral, consumption insurance, and risk premia: An empirical perspective", Journal of Finance 60, 1167-1219. http://www.jstor.org/stable/pdfplus/3694924.pdf200561External corporate governanceProxies for corporate controlIndividual accountingJournal of FinanceCremers and Nair (2005)Cremers, K.J. Martijn and Vinay B. Nair, 2005, ``Governance Mechanisms and equity prices", Journal of Finance 60, 2859-2894. http://www.jstor.org/stable/pdfplus/3694806.pdf62Internal corporate governanceProxies for share-holder activismIndividual accounting2005Market returnEquity index returnCommon financialJournal of Financial EconomicsAcharya and Pedersen (2005) Acharya, Viral V. and Lasse Heje Pedersen, 2005, ``Asset pricing with liquidity risk", Journal of Financial Economics 77, 375-410.http://www.sciencedirect.com/science/article/pii/S0304405X0500033447Market liquidity Value-weighted individual stock illiquidity as defined in Amihud (2002) Common microstructure63Individual stock liquidityIndividual stock illiquidity as defined in Amihud (2002)Individual microstructure200564Price delayDelay in a stock price's response to informationIndividual microstructureReview of Financial StudiesHou and Moskowitz (2005) Hou, Kewei and Tobias J. Moskowitz, 2005, ``Market frictions, price delay, and the cross-section of expected returns", Review of Financial Studies 18, 981-1020. http://www.jstor.org/stable/pdfplus/3598084.pdf200565Heterogeneous beliefsFactors constructed from disagreement among analysts about expected short- and long-term earningsIndividual financialReview of Financial StudiesAnderson, Ghysels and Juergens (2005) Anderson, Evan W., Eric Ghysels and Jennifer L. Juergens, 2005, ``Do heterogeneous beliefs matter for asset pricing", Review of Financial Studies 18, 875-924.http://www.jstor.org/stable/pdfplus/3598081.pdf200566Short-sale constraintsShort-sale constraint proxied by Institutional ownershipIndividual microstructureJournal of Financial EconomicsNagel (2005) Nagel, Stefan, 2005, ``Short sales, institutional investors and the cross-section of stock returns", Journal of Financial Economics 78, 277-309. http://www.sciencedirect.com/science/article/pii/S0304405X05000735#200567Short-sale constraintsShort-sale constraint proxied by short interest and institutional ownershipIndividual microstructureJournal of Financial EconomicsAsquith, Pathak and Ritter (2005) Asquith, Paul, Parag A. Pathak and Jay R. Ritter, 2005, ``Short interest, institutional ownership and stock returns", Journal of Financial Economics 78, 243-276. http://www.sciencedirect.com/science/article/pii/S0304405X05001170#200568Patent citation Change of patent citation impact deflated by average total assetsIndividual otherJournal of Accounting, Auditing & FinanceGu (2005)Gu, Feng, 2005, Innovation, future earnings, and market efficiency, Journal of Accounting, Auditing and Finance 20, 385-418. http://jaf.sagepub.com/content/20/4/385.full.pdf+html200569Information uncertaintyInformation uncertainty proxied by firm age, return volatility, trading volume or cash flow durationIndividual financialReview of Accounting StudiesJiang, Lee and Zhang (2005)Jiang, Guohua, Charles Lee and Yi Zhang, 2005, Information uncertainty and expected returns, Review of Accounting Studies 10, 185-221. http://link.springer.com/content/pdf/10.1007%2Fs11142-005-1528-2.pdf200570Adjusted R&D Adjusted R&D that incorporates capitalization and amortizationIndividual accountingWorking PaperLev, Nissim and Thomas (2005)Lev, Baruch, Doron Nissim and Jacob Thomas, 2005, On the informational usefulness of R&D capitalization and amortization, Working Paper, Columbia University. http://accounting.rutgers.edu/docs/intangibles/Papers/On%20the%20informational%20usefulness%20of%20RD%20capitalization%20and%20amortization.pdf200571R&D reporting biasesR&D reporting biases proxied by the difference between R&D growth and earnings growthIndividual accountingContemporary Accounting Research Lev, Sarath and Sougiannis (2005)Lev, Baruch, Bharat Sarath and Theodore Sougiannis, 2005, R&D reporting biases and their consequences, Contemporary accounting research 22, 977-1026. http://onlinelibrary.wiley.com/doi/10.1506/7XMH-QQ74-L6GG-CJRX/pdf200572Growth indexA combined index constructed based on earnings, cash flows, earnings stability, growth stability and intensity of R&D, capital expenditure and advertisingIndividual accountingReview of Accounting StudiesMohanram (2005)Mohanram, Partha, 2005, Separating winners from losers among low book-to-market stocks using financial statement analysis, Review of Accounting Studies 10, 133-170. http://www.jstor.org/stable/pdfplus/2329420.pdf2006Market returnEquity index return and its squareCommon financialReview of Financial StudiesVanden (2006) Vanden, Joel M., 2006, ``Option coskewness and capital asset pricing", Review of Financial Studies 19, 1279-1320. http://www.jstor.org/stable/pdfplus/4123474.pdfIndex option returnIndex option return and its squareCommon financialInteraction between index and option returnProduct of market and option returnsCommon financial200648Financing frictionsDefault premiumCommon financialReview of Financial StudiesGomes, Yaron and Zhang (2006) Gomes, Joao F., Amir Yaron and Lu Zhang, 2006, ``Asset pricing implications of firms' financing constraints", Review of Financial Studies 19, 1321-1356. http://www.jstor.org/stable/pdfplus/4123475.pdf200649Investment growth by householdsHousehold investment growthCommon macroJournal of BusinessLi, Vassalou and Xing (2006) Li, Qing, Maria Vassalou and Yuhang Xing, 2006, ``Sector investment growth rates and the cross section of equity returns", Journal of Business 79, 1637-1665.http://www.jstor.org/stable/pdfplus/10.1086/500687.pdf50Investment growth by nonfarm nonfinancial corporate firmsNonfarm nonfinancial corporate firms investment growth Common macro51Investment growth by nonfarm noncorporate businessNonfarm noncorporate business investment growth Common macro52Investment growth by financial firms Financial firms investment growthCommon macro2006Third to tenth power of market return Third to tenth power of market returnCommon financialJournal of BusinessChung, Johnson and Schill (2006) Chung, Y. Peter, Herb Johnson and Michael J. Schill, 2006, ``Asset pricing when returns are nonnormal: Fama-French factors versus higher-order systematic comoments", Journal of Business 79, 923-940. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=503122200673Financial constraintsConstraint index estimated from a firm's investment Euler equationIndividual financialReview of Financial StudiesWhited and Wu (2006) Whited, Toni M. and Guojun Wu, 2006, ``Financial constraints risk", Review of Financial Studies 19, 531-559. http://www.jstor.org/stable/pdfplus/3844005.pdf200653Downside riskCorrelation with index return conditional on index return being below a threshold valueCommon financialReview of Financial StudiesAng, Chen and Xing (2006) Ang, Andrew, Joseph Chen and Yuhang Xing, 2006, ``Downside risk", Review of Financial Studies 19, 1191-1239. http://www.jstor.org/stable/pdfplus/4123472.pdf200654Systematic volatilityAggregate volatility relative to Fama and French (1992) three-factor modelCommon financialJournal of FinanceAng, Hodrick, Xing and Zhang (2006) Ang, Andrew, Robert J. Hodrick, Yuhang Xing and Xiaoyan Zhang, 2006, ``The cross-section of volatility and expected returns", Journal of Finance 61, 259-299.http://www.jstor.org/stable/pdfplus/3699341.pdf74idiosyncratic volatility Idiosyncratic volatility relative to Fama and French (1992) three-factor modelIndividual financial200655Investor sentimentComposite sentiment index based on various sentiment measuresCommon behavioralJournal of FinanceBaker and Wurgler (2006) Baker, Malcolm and Jeffrey Wurgler, 2006, ``Investor sentiment and the cross-section of stock returns", Journal of Finance 61, 1645-1680.http://www.jstor.org/stable/pdfplus/3874723.pdf200656Retail investor sentimentSystematic retail trading based on transaction dataCommon behavioralJournal of FinanceKumar and Lee (2006) Kumar, Alok and Charles M. C. Lee, 2006, ``Retail investor sentiment and return comovement", Journal of Finance 61, 2451-2486.http://www.jstor.org/stable/pdfplus/3874716.pdf200657Durable and nondurable consumption growthDurable and nondurable consumption growth Common macro Journal of FinanceYogo (2006) Yogo, Motohiro, 2006, ``A consumption-based explanation of expected stock returns", Journal of Finance 61, 539-580.http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2006.00848.x/pdf2006Market returnEquity index returnCommon financialJournal of FinanceLo and Wang (2006) Lo, Andrew W. and Jiang Wang, 2006, ``Trading volume: Implications of an intertemporal capital asset pricing model", Journal of Finance 61, 2805-2840. http://www.jstor.org/stable/pdfplus/4123445.pdf58Trading volume Return on a hedge portfolio constructed using trading volume and market returnsCommon microstructure200659Liquidity Market-wide liquidity constructed first by decomposing firm-level liquidity into variable and fixed price effects then averaging the variable componentCommon microstructure Journal of Financial EconomicsSadka (2006)Sadka, Ronnie, 2006, ``Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk", Journal of Financial Economics 80, 309-349. http://www.sciencedirect.com/science/article/pii/S0304405X05001819200660EarningsReturn on a zero-investment portfolio long in stocks with high earnings surprises and short in stocks with low earnings surprisesCommon accountingJournal of Financial EconomicsChordia and Shivakumar (2006) Chordia, Tarun and Lakshmanan Shivakumar, 2006, ``Earnings and price momentum", Journal of Financial Economics 80, 627-656. http://www.sciencedirect.com/science/article/pii/S0304405X05002175#200661LiquidityTurnover-adjusted number of days with zero trading over the prior 12 monthsCommon microstructure Journal of Financial EconomicsLiu (2006) Liu, Weimin, 2006, ``A liquidity-augmented capital asset pricing model", Journal of Financial Economics 82, 631-671. http://www.sciencedirect.com/science/article/pii/S0304405X0600064X#200675Capital investmentCapital expenditure growthIndividual accountingJournal of FinanceAnderson and Garcia-Feijoo (2006)Anderson, Christopher W. and Luis Garcia-Feijoo, 2006, ``Empirical evidence on capital investment, growth options, and security returns", Journal of Finance 61, 171-194. http://www.jstor.org/stable/pdfplus/3699338.pdf200676Industry concentrationIndustry concentration as proxied by the Herfindahl index Individual accountingJournal of FinanceHou and Robinson (2006) Hou, Kewei and David T. 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HKUST working paper200685Pension plan fundingPension plan funding status calculated as the difference between the fair value of plan assets and the projected benefit obligation, divided by market capitalizationIndividual accounting Journal of FinanceFranzoni and Marin (2006)Franzoni, Francesco and Jose Marin, 2006, Pension plan funding and stock market efficiency, Journal of Finance 61, 921-956. http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2006.00859.x/full200686AccelerationFirm's ranking on change in six-month momentum relative to the cross-section of other firmsIndividual financialWorking PaperGettleman and Marks (2006)Gettleman, Eric and Joseph Marks, 2006, Acceleration strategies, Working Paper, Seton Hall Univeristy. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=802724&download=yes200t687Unexpected earnings' autocorrelationsStandardized unexpected earnings' autocorrelations via the sign of the most recent earnings realizationIndividual accountingJournal of Accounting ResearchNarayanamoorthy (2006)Narayanamoorthy, Ganapathi, 2006, Conservatism and cross-sectional variation in the post-earnings announcement drift, Journal of Accounting Research 44, 763-789. http://onlinelibrary.wiley.com/doi/10.1111/j.1475-679X.2006.00218.x/pdf200762Payout yieldReturn on a zero-investment portfolio long in high-yield stocks and short in low-yield stocksCommon accountingJournal of FinanceBoudoukh, Michaely, Richardson and Roberts (2007) Boudoukh, Jacob, Roni Michaely, Matthew Richardson and Michael R. Roberts, 2007, ``On the importance of measuring payout yield: implications for empirical asset pricing", Journal of Finance 62, 877-915. http://www.jstor.org/stable/pdfplus/4622289.pdf200763ProductivityProductivity level as in King and Rebelo (2000)Common macroJournal of Financial EconomicsBalvers and Huang (2007) Balvers, Ronald J. and Dayong Huang, 2007, ``Productivity-based asset pricing: Theory and evidence", Journal of Financial Economics 2007, 405-445. http://www.sciencedirect.com/science/article/pii/S0304405X07001110#64Capital stockQuarterly capital stock interpolated from annual dataCommon macro200765Fourth-quarter to fourth-quarter consumption growth Fourth-quarter to fourth-quarter consumption growth rate Common macroJournal of FinanceJagannathan and Wang (2007)Jagannathan, Ravi and Yong Wang, 2007, ``Lazy investors, discretionary consumption, and the cross-section of stock returns", Journal of Finance 62, 1623-1661. http://www.jstor.org/stable/pdfplus/4622313.pdf200788Credit rating S&P firm credit ratingIndividual financialJournal of FinanceAvramov, Chordia, Jostova and Philipov (2007) Avramov, Doron, Tarun Chordia, Gergana Jostova and Alexander Philipov, 2007, ``Momentum and credit rating", Journal of Finance 62, 2503-2520. http://www.jstor.org/stable/pdfplus/4622342.pdf200789Trader compositionFraction of total trading volume of a stock from institutional tradingIndividual microstructureWorking PaperShu (2007) Shu, Tao, 2007, ``Trader composition, price efficiency, and the cross-section of stock returns", Working Paper.http://www.finance.eller.arizona.edu/documents/seminars/2006-7/tshu.jmp01-07.pdf200790Change in order backlogChange in order backlogIndividual accounting Seoul Journal of BusinessBaik and Ahn (2007)Baik, Bok and Tae Sik Ahn, 2007, Changes in order backlog and future returns, Seoul Journal of Business 13, 105-126. http://s-space.snu.ac.kr/bitstream/10371/1814/1/sjbv13n2_105.pdf200791Firm productivityFirm productivity measured by returns on invested capitalIndividual accountingWorking PaperBrown and Rowe (2007)Brown, David and Bradford Rowe, 2007, The productivity premium in equity returns, Working Paper, University of Wisconsin, Madison. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=993467200792Insider forecasts of firm volatility Future firm volatility obtained from executive stock optionsIndividual financialWorking PaperJames, Fodor and Peterson (2007)Doran, James, Andy Fodor and David Peterson, 2007, Insiders versus outsiders with employee stock options: Who knows best about future firm risk and implications for stock returns, Working Paper, Florida State University. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=963405&download=yes200793Ticker symbolCreativity in stocks' ticker symbolsIndividual otherQuarterly Review of Economics & FinanceHead, Smith and Wilson (2007)Head, Alex, Gary Smith and Julia Wilson, 2007, Would a stock by any other ticker smell as sweet? 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Danielsen, 2008, ``Estimation risk, information, and the conditional CAPM: Theory and evidence", Review of Financial Studies 21, 1037-1075. http://www.jstor.org/stable/pdfplus/40056844.pdf94Firm ageFirm's public listing ageIndividual accountingMarket returnEquity index returnCommon financial95Interaction between market volatility and firm ageProduct of market volatility and firm ageIndividual accounting200868Short-run market volatilityHigh frequency volatility extracted from a time-series model of market returnsCommon financialJournal of FinanceAdrian and Rosenberg (2008) Adrian, Tobias and Joshua Rosenberg, 2008, ``Stock returns and volatility: Pricing the short-run and long-run components of market risk", Journal of Finance 63, 2997-3030. http://www.jstor.org/stable/pdfplus/20487956.pdf69Long-run market volatility Low frequency volatility extracted from a time-series model of market returnsCommon financial200870Investment growthReturn on a zero-investment portfolio long in low investment growth firms and short in high investment growth firmsCommon financialReview of Financial StudiesXing (2008) Xing, Yuhang, 2008, ``Interpreting the value effect through the Q-Theory: An empirical investigation", Review of Financial Studies 21, 1767-1795. http://www.jstor.org/stable/pdfplus/40056867.pdf200871Mean consumption growthAcross-state mean consumption growth rateCommon macroReview of Financial StudiesKorniotis (2008) Korniotis, George M., 2008, ``Habit formation, incomplete markets, and the significance of regional risk for expected returns", Review of Financial Studies 21, 2139-2172. http://www.jstor.org/stable/pdfplus/40056879.pdf72Variance of consumption growthAcross-state consumption growth varianceCommon macro73Mean habit growthAcross-state mean habit growth rateCommon macro74Variance of habit growthAcross-state habit growth variance Common macro200875LiquiditySystematic liquidity extracted from eight empirical liquidity measuresCommon microstructureJournal of Financial EconomicsKorajczyk and Sadka (2008) Korajczyk, Robert A. and Ronnie Sadka, 2008, ``Pricing the commonality across alternative measures of liquidity", Journal of Financial Economics 87, 45-72. http://www.sciencedirect.com/science/article/pii/S0304405X07001572#200896Country-level idiosyncratic volatilityWeighted average of variances and auto-covariances of firm-level idiosyncratic return shocksIndividual financialReview of Financial StudiesGuo and Savickas (2008) Guo, Hui and Robert Savickas, 2008, ``Average idiosyncratic volatility in G7 countries", Review of Financial Studies 21, 1259-1296. http://www.jstor.org/stable/pdfplus/40056850.pdf200897DistressDistressed firm failure probability estimated based on a dynamic logit modelIndividual financialJournal of FinanceCampbell, Hilscher and Szilagyi (2008) Campbell, John Y., Jens Hilscher and Jan Szilagyi, 2008, ``In search of distress risk", Journal of Finance 63, 2899-2939.http://www.jstor.org/stable/pdfplus/20487953.pdf200898Shareholder advantageBenefits from renegotiation upon default Individual accountingReview of Financial StudiesGarlappi, Shu and Yan (2008) Garlappi, Lorenzo, Tao Shu and Hong Yan, 2008, ``Default risk, shareholder advantage, and stock returns", Review of Financial Studies 21, 2743-2778. http://www.jstor.org/stable/pdfplus/40056898.pdf99Interaction between shareholder advantage and implied market value of assetsImplied market value of assets provided by Moody's KMVIndividual accounting2008100Asset growthYear-on-year percentage change in total assetsIndividual accountingJournal of FinanceCooper, Gulen and Schill (2008) Cooper, Michael J., Huseying Gulen and Michael J. Schill, 2008, ``Asset growth and the cross-section of stock returns", Journal of Finance 63, 1609-1651. http://www.jstor.org/stable/pdfplus/25094485.pdf2008101Share issuanceAnnual share issuance based on adjusted sharesIndividual accountingJournal of FinancePontiff and Woodgate (2008)Pontiff, Jeffrey and Arteiza Woodgate, 2008, ``Share issuance and cross-sectional returns", Journal of Finance 63, 921-945. http://www.jstor.org/stable/pdfplus/25094460.pdf2008Earnings announcement returnEarnings announcement return capturing the market reaction to unexpected information contained in the firm's earnings releaseIndividual financial Working PaperBrandt, Kishore, Santa-Clara and Venkatachalam (2008)Brandt, Michael, Runeet Kishore, Pedro Santa-Clara and Mohan Venkatachalam, Earnings announcements are full of surprises, Working Paper, Duke University. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=9095632008102Firm economic linksEconomic links proxied by return of a portfolio of its major customersIndividual financialJournal of FinanceCohen and Frazzini (2008)Cohen, Lauren and Andrea Frazzini, 2008, Economic links and predictable returns, Journal of Finance 63, 1977-2011. http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2008.01379.x/full2008103Sin stockStocks in the industry of adult services, alcohol, defense, gaming, medical and tobacco Individual otherFinancial Analyst Journal Frank, Ma and Oliphant (2008)Fabozzi, Frank, K.C. Ma and Becky Oliphant, 2008, Sin stock returns, Financial Analysts Journal Fall, 82-94.http://gyanresearch.wdfiles.com/local--files/alpha/JPM_FA_08_FABOZZI.pdf2008104Goodwill impairmentBuyers' overpriced shares at acquisitionIndividual accountingAccounting ReviewGu and Lev (2008)Gu, Feng and Baruch Lev, 2008, Overpriced shares, ill-advised acquisitions, and goodwill impairment, Accounting Review 86, 1995-2022. http://www.aaajournals.org/doi/abs/10.2308/accr-101312008105Information in order backlogChanges in order backlog on future profitabilityIndividual accountingWorking PaperGu, Wang and Ye (2008)Gu, Li, Zhiqiang Wang and Jianming Ye, 2008, Information in order backlog: change versus level, Working Paper, Fordham University. http://69.175.2.130/~finman/Turin/Papers/Informationinorderbacklogchangeversuslevel.pdf2008106Investor recognitionInvestor recognition proxied by the change in the breadth of institutional ownershipIndividual otherReview of Accounting StudiesLehavy and Sloan (2008)Lehavy, Reuven and Richard Sloan, 2008, Investor recognition and stock returns, Review of Accounting Studies 13, 327-361. http://link.springer.com/content/pdf/10.1007%2Fs11142-007-9063-y.pdf2008107DuPont analysisSales over net operating assets in DuPont analysisIndividual accountingAccounting ReviewSoliman (2008)Soliman, Mark, 2008, The use of DuPont analysis by market participants, Accounting Review 83, 823-853. http://faculty.haas.berkeley.edu/kli/papers/Soliman-2008TAR.pdf2008108Small tradesVolume arising from small tradesIndividual microstructureReview of Financial StudiesHvidkjaer (2008)Hvidkjaer, Soeren, 2008, Small trades and the cross-section of stock returns, Review of Financial Studies 31, 1123-1151. http://rfs.oxfordjournals.org/content/21/3/1123.abstract200876Idiosyncratic component of S&P 500 returnResidual of the linear projection of the S&P 500 return onto the CRSP value weighted index returnCommon financialWorking PaperBrennan and Li (2008)Brennan, Michael and Feifei Li, 2008, Agency and asset pricing, Working Paper, UCLA. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1104546&download=yes200977Cash flow covariance with aggregate consumptionCash flow covariance with aggregate consumptionCommon macroJournal of FinanceDa (2009) Da, Zhi, 2009, ``Cash flow, consumption risk, and the cross-section of stock returns", Journal of Finance 64, 923-956.http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2009.01453.x/pdf78Cash flow durationCash flow duration sensitivity to aggregate consumptionCommon macro2009Financial constraintsTHEORYCommon financial/macroJournal of FinanceLivdan, Sapriza and Zhang (2009) Livdan, Dmitry, Horacio Sapriza and Lu Zhang, 2009, ``Financially constrained stock returns", Journal of Finance64, 1827-1862. http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2009.01481.x/pdf200979Long-run stockholder consumption growthAggregated microlevel stockholder consumptionCommon macroJournal of FinanceMalloy, Moskowitz and Vissing-Jorgensen (2009) Malloy, Christopher J., Tobias J. 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Investor's uncertainty and stock returns", Review of Financial Studies 22, 4378-4422. http://rfs.oxfordjournals.org/content/22/11/4377.full.pdf+html84Investors' uncertaintyUncertainty extracted from a two-state regime-switching model of aggregate market return and aggregate outputCommon other2009109Media coverageFirm mass media coverageIndividual behavioralJournal of FinanceFang and Peress (2009) Fang, Lily and Joel Peress, 2009, ``Media coverage and the cross-section of stock returns", Journal of Finance 64, 2023-2052.http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2009.01493.x/pdf2009110Financial distressCredit rating downgradesIndividual accountingJournal of Financial EconomicsAvramov, Chordia, Jostova and Philipov (2009) Avramov, Doron, Tarun Chordia, Gergana Jostova and Alexander Philipov, 2009, ``Dispersion in analysts' earnings forecasts and credit rating", Journal of Financial Economics 91, 83-101. http://www.sciencedirect.com/science/article/pii/S0304405X08001840#2009111Idiosyncratic volatilityConditional expected idiosyncratic volatility estimated from a GARCH modelIndividual accountingJournal of Financial EconomicsFu (2009) Fu, Fangjian, 2009, ``Idiosyncratic risk and the cross-section of expected stock returns", Journal of Financial Economics 91, 24-37. http://www.sciencedirect.com/science/article/pii/S0304405X080016942009112Debt capacityFirm tangibility as in Almeida and Campello (2007)Individual accountingJournal of FinanceHahn and Lee (2009) Hahn, Jaehoon and Hangyong Lee, 2009, ``Financial constraints, debt capacity, and the cross-section of stock returns", Journal of Finance 64, 891-921.http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2009.01452.x/pdf2009113Realized-implied volatility spreadDifference between past realized volatility and the average of call and put implied volatility Individual financial Management ScienceBali and Hovakimian (2009)Bali, Turan and Armen Hovakimian, 2009, Volatility spreads and expected stock returns, Management Science 2009, 1797-1812. http://mansci.journal.informs.org/content/55/11/1797.full.pdf114Call-put implied volatility spreadDifference between call and put implied volatilityIndividual financial 2009115Productivity of cashNet present value of all firm's present and future projects generated per dollar of cash holdingsIndividual accountingWorking PaperChandrashekar and Rao (2009) Chandrashekar, Satyajit and Ramesh K.S. 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