Factor List

Common Indi.
HLZ: For this sheet, all

Year factors ("common" & Risk factor Formation Type
# #
"individual") are sorted
by year.
1964 Market return THEORY Common financial
1967 1 Total volatility Individual stock volatility Individual financial
Market return THEORY Common financial
1972
Relative prices of
THEORY Common macro
consumption goods
1972 1 Market return Equity index return Common financial

State variables
Common
1973 representing future THEORY
financial/macro
investment opportunity
Market return Equity index return Common financial
1973 2 Beta squared Square of market beta Common financial
2 Idiosyncratic volatility Residual stock volatility from CAPM Individual financial
1973 High order market return THEORY Common financial
1974 World market return THEORY Common financial
Individual investor
1974 THEORY Common financial
resources
Projecting firm earnings growth based on market

Earnings growth Individual
1975 3 beta, firm size, dividend payout ratio, leverage
expectations accounting
and earnings variability
1976
1976
3 Squared market return Square of equity index return Common financial
Individual
1977 4 PE ratio Firm price-to-earnings ratio
accounting
Marginal rate of
1978 THEORY Common macro
substitution
Individual
5 Dividend yield Dividend per share divided by share price
accounting
1979
Aggregate real
consumption
Individual
1980 Short sale restrictions THEORY
microstructure
1981 Treasury bond return 3-month US Treasury bill return Common financial
1981
Index of long-term Aa utility bonds with deferred

Corporate bond return Common financial
calls returns
Principle components extracted from returns of

1981 4 Treasury bill return Common financial
Treasury bills
1981 World consumption THEORY Common macro
Individual
1981 Transaction costs THEORY
microstructure
1981 6 Firm size Market value of firm stocks Individual financial
Individual
1981 7 Short interest Equity short interest
microstructure
Individual consumer's
wealth
Individual
1983 8 EP ratio Firm earnings-to-price ratio
accounting
Foreign exchange rate
change
Institutional concentration rankings from Standard

1983 Institutional holding Individual other
and Poor's
Individual
1984 Earnings expectations Consensus earnings expectations
accounting
Announcement that a company has filed a formal Individual

1984 New listings dummy
application to list on the NYSE accounting
Industrial production Seasonally adjusted monthly growth rate of

5 Common macro
growth industrial production
Change in expected Change in expected inflation as defined in Fama

6 Common macro
inflation and Gibbons (1984)
1985 7 Unanticipated inflation Realized minus expected inflation Common macro
Risk premium measured as difference in return

8 Credit premium between `ùnder Baa" bond portfolio and long- Common financial
term government bond portfolio
Yield curve slope measured as difference in return
9 Term structure between long-term government bond and 1-month Common financial
Treasury bill
1985 9 Long-term return reversal Long-term past abnormal return Individual other
Investment opportunity
change
Common
microstructure
Common
microstructure
1986 Expected inflation THEORY Common macro
Change in the yield of long-term government

1986 10 Long-term interest rate Common financial
bonds

Common macro
Credit premium between `ùnder Baa" bond portfolio and long- Common financial
Term structure between long-term government bond and 1-month Common financial
Treasury bill
1986
Unanticipated inflation Realized minus expected inflation Common macro
Changes in expected Changes in expected inflation as defined in Fama

Common macro
11 Change in oil prices Growth rate in oil prices Common macro
Individual
1988 10 Debt to equity ratio Non-common equity liabilities to equity
accounting
Long-term growth Long-term growth forecasts proxied by the five- Individual

1988
forecasts year earnings per share growth rate forecasts accounting
1989 12 Consumption growth Per capita real consumption growth Common macro
Individual
1989 11 Illiquidity Illiquidity proxied by bid-ask spread
microstructure
Predicted earnings change in one year based on a
Predicted earnings Individual
1989 12 financial statement analysis that combines a large
change accounting
set of financial statement items
Short-term (one month) and long-term (twelve

1990 13 Return predictability Individual financial
months) serial correlations in returns
Real per capita growth of personal consumption

Consumption growth Common macro
expenditures for nondurables & services
Baa corporate bond return less monthly long-term

Credit spread Common financial
government bond return
1991
Change in the difference between a 10-year
Change in the slope of
13 Treasury bond yield and a 3-month Treasury bill Common financial
the yield curve
yield
Difference between actual and time-series

Unexpected inflation Common macro
forecasts of inflation rate
14 Real short rate One-month Treasury bill return less inflation rate Common financial
Return on a zero-investment portfolio long in small Common

15 Size
stocks and short in large stocks accounting
1992
Return on a zero-investment portfolio long in Common
16 Value
growth stocks and short in value stocks accounting
Size and beta adjusted mean prior five-year
1992 Return momentum Individual financial
returns
Return signs predicted by a logit model using Individual

1992 Predicted return signs
financial ratios accounting
1993 14 Return momentum Past stock returns Individual other
Return on S&P stocks Returns on S&P stocks Common financial
1993
Returns on non-S&P
Returns on non-S&P stocks Common financial
stocks
High order market and

1993 High order equity index returns and bond returns Common financial
bond return

Size

1993 Value
1993
Difference in return between long-term

Term structure Common financial
government bond and one-month Treasury bill
Difference in return between long-term corporate

Credit risk Common financial
bond and long-term government bond
US dollar return of the MSCI world equity market in

World equity return Common financial
excess of a short-term interest rate
Change in weighted Log first difference of the trade-weighted US dollar

Common financial
exchange rate price of ten industrialized countries' currencies
Change in long-term
Change in long-term inflationary expectations Common macro
inflationary expectations
Weighted real short-term GDP weighted average of short-term interest rates

Common financial
interest rate in G-7 countries
1993
Change in the monthly average US dollar price per
Change in oil price Common macro
barrel of crude oil
Change in the Eurodollar- First difference of the spread between the 90-day
Common financial
Treasury yield spread Eurodollar yield and the 90-day Treasury-bill yield
Change in G-7 industrial

Change in G-7 industrial production Common macro
production
Unexpected inflation for Unexpected inflation based on a time-series model

Common macro
the G-7 countries on an aggregate G-7 inflation rate

17 World equity return Common financial
1994
18 Common financial
1994
Change in long-term
19 Change in long-term inflationary expectations Common macro

Change in oil price Common macro
barrel of crude oil
Common
20 Tax rate for capital gains Short-term capital gains tax rate
accounting
1994
Common
21 Tax rate for dividend Dividend tax rate
accounting
Change in expected
22 Change in expectation from economic surveys Common macro
inflation
1995
23 Change in expected GNP Change in expectation from economic surveys Common macro
New public stock Individual

1995 15 New public stock issuance
issuance accounting
16 Dividend initiations Initiations of cash dividend payments Individual financial
1995
17 Dividend omissions Omissions of cash dividend payments Individual financial

Seasoned equity
1995 Whether a firm makes seasoned equity offerings Individual financial
offerings
M2 or M3 minus currency, divided by total

1996 24 Money growth Common macro
population
Returns on physical Inferred from investment data via a production

1996 25 Common macro
investment function
Labor income Real labor income growth rate Common macro
1996 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
1996 Slope of yield curve Long-short government bond yield spread Common financial
Labor income Real labor income growth rate Common macro
Individual
1996 18 Earnings forecast Errors in analysts' forecasts on earnings growth
accounting
Individual
1996 19 R&D capital R&D capital over total assets
accounting
Accruals defined by the change in non-cash

current assets, less the change in current Individual
1996 20 Accruals
liabilities, less depreciation expense, all divided by accounting
average total assets
21 Buy recommendations Buy recommendations from security analysts Individual financial
1996
22 Sell recommendations Sell recommendations from security analysts Individual financial
Institutional investor country credit rating from

1996 23 Credit rating Individual other
semi-annual survey
Derivative transaction price with respect to signed Individual
1996 24 Illiquidity
trade size microstructure
Nonlinear functions of Low order orthonormal polynomials of current and

1997 Common macro
consumption growth future consumption growth
Opportunistic strategy Return for hedge funds that follow an opportunistic

Common financial
return strategy
Global/macro strategy Return for hedge funds that follow a global/macro

Common financial
return strategy
1997 Value strategy return Return for hedge funds that follow a value strategy Common financial
Trend following strategy Return for hedge funds that follow a trend
Common financial
return following strategy
Distressed investment Return for hedge funds that follow a distressed

Common financial
strategy return investment strategy

Size

Value
1997

1997
Return on a zero-investment portfolio long in past

27 Momentum Common other
winners and short in past losers
Individual
Size Market value of equity
accounting
Book value of equity plus deferred taxes to market Individual

Book-to-market ratio
value of equity accounting
1997
Momentum Past cumulative stock return Individual financial
Individual
25 Trading volume Dollar volume traded per month
microstructure
Voluntary disclosure level of manufacturing firms' Individual

1997 26 Disclosure level
annual reports accounting
Earning forecasts Individual

1997 27 Standard deviation of earnings forecasts
uncertainty accounting
Individual
Size Market value of equity
accounting
1997
Value
Earnings management likelihood obtained by

Earnings management regressiong realized violators of Generally Individual
1997
likelihood Accepted Accounting Principles on firm accounting
characteristics
Difference between stock mergers and cash
1997 28 Corporate acquisitions Individual financial
tender offers for corporate acquisitions
Investment signals constructed using a collection

of variables that relate to contemporaneous
changes in inventories, accounts receivables,
Individual
1998 Fundamental analysis gross margins, selling expenses, capital
accounting
expenditures, effective tax rates, inventory
methods, audit qualifications, and labor force sales
productivity.
Firms' fundamental values estimated from I/B/E/S Individual

1998 Firm fundamental value
consensus forecasts and a residual income model accounting
Individual
1998 29 Bankruptcy risk The probability of bankruptcy from Altman (1968)
accounting
Liquidity proxied by the turnover rate: number of

Individual
1998 30 Illiquidity shares traded as a fraction of the number of
microstructure
shares outstanding
Expected portfolio return obtained by projecting

Fitted return based on historical returns on lagged macro instruments,
1999 28 Common financial
predictive regressions including term spreads, dividend yield, credit
spread and short-term Treasury bill
1999 31 Industry momentum Industry-wide momentum returns Individual other

Whether a firm makes straight and convertible
1999 Debt offerings Individual financial
debt offerings
2000 29 Entrepreneur income Proprietary income of entrepreneurs Common financial
Excess return on a portfolio which long stocks with

2000 30 Coskewness Common financial
low past coskewness
Individual
2000 32 Trading volume Past trading volume
microstructure
Difference between firm size and average firm size

33 Within-industry size Individual financial
within the industry
Difference between firm book-to-market ratio and Individual

34 Within-industry value
average book-to-market ratio within the industry accounting
Difference between firm cashflow to price ratio

Within-industry cashflow Individual
2000 35 and average cashflow to price ratio within the
to price ratio accounting
industry
Difference between firm percent change in
Within-industry percent Individual
36 employees and average percent change in
change in employees accounting
employees within the industry
Within-industry Difference between firm past stock prices and

37 Individual financial
momentum average past stock prices within the industry
Financial statement A composite score based on historical financial Individual
2000 38
information statement that separates winners from losers accounting
Consumption growth Per capita real consumption growth rate Common macro
2001
Proxied by a weighted average of human and

31 Consumption-wealth ratio Common macro
nonhuman wealth
Individual
39 Level of liquidity Level of dollar trading volume and share turnover
microstructure
2001
Volatility of dollar trading volume and share Individual
40 Variability of liquidity
turnover microstructure
Measure financial constraints with Kaplan and

2001 41 Financial constraints Individual financial
Zingales (1997) index
Lookback straddles' returns constructed based on

2001 Straddle return Common financial
option prices
Consensus Consensus recommendations measured by the Individual

2001
recommendations average analyst recommendations accounting
2001 42 Bond rating changes Moody's bond ratings changes Individual financial
Individual
2001 43 Analysts' forecasts Financial analysts' forecasts of annual earnings
accounting
Individual
2001 44 Institutional ownership Institutional holdings of firm assets
accounting
Squared market return Squared equity index return Common financial
2002
Labor income growth Smoothed labor income growth rate Common financial
Squared labor income

32 Squared smoothed labor income growth rate Common financial
growth
2002 45 Distress risk Distress risk as proxied by Ohlson's O-score Individual financial
Individual
2002 46 Analyst dispersion Dispersion in analysts' earnings forecasts
behavioral
Ratio of the number of mutual funds holding long
Individual
2002 47 Breadth of ownership positions in the stock to total number of mutual
microstructure
funds
Probability of information-based trading for Individual

2002 48 Information risk
individual stock microstructure
Individual
2002 49 Short-sale constraints Shorting costs for NYSE stocks
microstructure
A summary score based on firm fundamentals that Individual

2002 50 Earnings sustainability
informs about the sustainability of earning accounting
Average over the year of the daily ratio of the Common

2002 33 Market illiquidity
stock's absolute return to its dollar trading volume microstructure
GDP growth news obtained from predictive regressions

2003 34 GDP growth news Common macro
on lagged equity and fixed-income portfolios
Aggregated liquidity based on firm future excess

Common
2003 35 Market liquidity stock return regressed on current signed excess
microstructure
return times trading volume
Idiosyncratic return Residual variance obtained by regressing daily

Individual financial
volatility stock returns on market index return
2003
Individual
2003 Transaction costs Bid-ask spread, volume, etc.
microstructure
Individual
Investor sophistication Number of analysts or institutional owners
accounting
Shareholder rights as proxied by an index using 24 Individual

2003 51 Shareholder rights
governance rules accounting
Individual
2003 52 Excluded expenses Excluded expenses in firm's earnings reports
accounting
Growth in long-term net Individual

2003 53 Growth in long-term net operating assets
operating assets accounting
Order backlog divided by average total assets, Individual

2003 54 Order backlog
transformed to a scaled-decile variable accounting
2003 55 Return consistency Consecutive returns with the same sign Individual financial
Idiosyncratic
2004 36 Cross-sectional consumption growth variance Common macro
consumption
37 Cash flow news News about future market cash flow Common financial
2004
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
Firm default likelihood using Merton's option

2004 40 Default risk Common financial
pricing model
Real interest rates extracted from a time-series

41 Real interest rate Common financial
model of bond yields and expected inflation
2004
Maximum Sharpe ratio portfolio extracted from a
Maximum Sharpe ratio
42 time-series model of bond yields and expected Common financial
portfolio
inflation
Return reversals at the Zero-investment portfolios sorted based on past

2004 43 Common other
style level return performance at the style level
Unexpected change in Unexpected change in firm research and Individual

2004 56
R&D expenditures accounting
2004 57 52-week high Nearness to the 52-week high price Individual financial
Analysts' Consensus analysts' recommendations from sell- Individual

2004 58
recommendations side firms accounting
2004 59 Put-call parity Violations of put-call parity Individual financial
Abnormal capital Past year capital expenditures scaled by average Individual

2004 60
investment capital expenditures for previous three years accounting
Long-horizon
2005 44 Three-year consumption growth rate Common macro
consumption growth
Cash flow risk measured by cointegration residual

2005 45 Long run consumption Common macro
with aggregate consumption
2005 46 Housing price ratio Ratio of housing to human wealth Common financial
External corporate Individual

61 Proxies for corporate control
governance accounting
2005
2005
Internal corporate Individual
62 Proxies for share-holder activism
governance accounting
Value-weighted individual stock illiquidity as Common

2005 47 Market liquidity
defined in Amihud (2002) microstructure
Individual stock illiquidity as defined in Amihud Individual

63 Individual stock liquidity
(2002) microstructure
Individual
2005 64 Price delay Delay in a stock price's response to information
microstructure
Factors constructed from disagreement among

2005 65 Heterogeneous beliefs analysts about expected short- and long-term Individual financial
earnings
Short-sale constraint proxied by Institutional Individual

2005 66 Short-sale constraints
ownership microstructure
Short-sale constraint proxied by short interest and Individual

2005 67 Short-sale constraints
institutional ownership microstructure
Change of patent citation impact deflated by

2005 68 Patent citation Individual other
Information uncertainty proxied by firm age, return
2005 69 Information uncertainty Individual financial
volatility, trading volume or cash flow duration
Adjusted R&D that incorporates capitalization and Individual

2005 70 Adjusted R&D
amortization accounting
R&D reporting biases proxied by the difference Individual

2005 71 R&D reporting biases
between R&D growth and earnings growth accounting
A combined index constructed based on earnings,

cash flows, earnings stability, growth stability and Individual
2005 72 Growth index
intensity of R&D, capital expenditure and accounting
advertising
Market return Equity index return and its square Common financial
2006 Index option return Index option return and its square Common financial
Interaction between
Product of market and option returns Common financial
index and option return
2006 48 Financing frictions Default premium Common financial
Investment growth by
49 Household investment growth Common macro
households
2006
Nonfarm nonfinancial corporate firms investment
50 nonfarm nonfinancial Common macro
growth
corporate firms
2006
Nonfarm noncorporate business investment
51 nonfarm noncorporate Common macro
growth
business
52 Financial firms investment growth Common macro
financial firms
Third to tenth power of

2006 Third to tenth power of market return Common financial
market return
Constraint index estimated from a firm's

2006 73 Financial constraints Individual financial
investment Euler equation
Correlation with index return conditional on index

2006 53 Downside risk Common financial
return being below a threshold value
Aggregate volatility relative to Fama and French

54 Systematic volatility Common financial
(1992) three-factor model
2006
Idiosyncratic volatility relative to Fama and French
74 idiosyncratic volatility Individual financial
Composite sentiment index based on various Common

2006 55 Investor sentiment
sentiment measures behavioral
Systematic retail trading based on transaction Common
2006 56 Retail investor sentiment
data behavioral
Durable and nondurable

2006 57 Durable and nondurable consumption growth Common macro
consumption growth
2006
Return on a hedge portfolio constructed using Common
58 Trading volume
trading volume and market returns microstructure
Market-wide liquidity constructed first by

decomposing firm-level liquidity into variable and Common
2006 59 Liquidity
fixed price effects then averaging the variable microstructure
component
Return on a zero-investment portfolio long in

Common
2006 60 Earnings stocks with high earnings surprises and short in
accounting
stocks with low earnings surprises
Turnover-adjusted number of days with zero Common

2006 61 Liquidity
trading over the prior 12 months microstructure
Individual
2006 75 Capital investment Capital expenditure growth
accounting
Industry concentration as proxied by the Individual
2006 76 Industry concentration
Herfindahl index accounting
A composite index measuring a firm's

77 Environment indicator Individual other
environmental responsibility
A composite index measuring employee

2006 78 Employment indicator Individual other
responsibility
A composite index measuring community

79 Community indicator Individual other
responsiveness
Residuals from cross-sectional regression of firm Individual

2006 80 Intangible information
returns on fundamental growth measures accounting
Individual
81 Profitability Expected earnings growth
accounting
Individual
2006 82 Investment Expected growth in book equity
accounting

Book-to-market
Net amount of cash flow received from external Individual

2006 83 Net financing
financing accounting
Forecasted earnings per Individual
2006 84 Analysts' forecasted earnings per share
share accounting
Pension plan funding status calculated as the

difference between the fair value of plan assets Individual
2006 85 Pension plan funding
and the projected benefit obligation, divided by accounting
market capitalization
Firm's ranking on change in six-month momentum

2006 86 Acceleration Individual financial
relative to the cross-section of other firms
Standardized unexpected earnings'

Unexpected earnings' Individual
200t6 87 autocorrelations via the sign of the most recent
autocorrelations accounting
earnings realization
Return on a zero-investment portfolio long in high- Common

2007 62 Payout yield
yield stocks and short in low-yield stocks accounting
63 Productivity Productivity level as in King and Rebelo (2000) Common macro
2007
Quarterly capital stock interpolated from annual
64 Capital stock Common macro
data
Fourth-quarter to fourth-
Fourth-quarter to fourth-quarter consumption
2007 65 quarter consumption Common macro
growth rate
growth
2007 88 Credit rating S&P firm credit rating Individual financial
Fraction of total trading volume of a stock from Individual

2007 89 Trader composition
institutional trading microstructure
Individual
2007 90 Change in order backlog Change in order backlog
accounting
Firm productivity measured by returns on invested Individual

2007 91 Firm productivity
capital accounting
Insider forecasts of firm Future firm volatility obtained from executive

2007 92 Individual financial
volatility stock options
2007 93 Ticker symbol Creativity in stocks' ticker symbols Individual other
Sensitivity of earnings to changes in aggregate

2007 66 Earnings cyclicality Common macro
total factor productivity
Market volatility Difference in monthly average of squared daily

67 Common financial
innovation return differences
2008
Individual
94 Firm age Firm's public listing age
accounting
2008
Interaction between
Individual
95 market volatility and firm Product of market volatility and firm age
accounting
age
Short-run market High frequency volatility extracted from a time-

68 Common financial
volatility series model of market returns
2008
Low frequency volatility extracted from a time-
69 Long-run market volatility Common financial
series model of market returns
Return on a zero-investment portfolio long in low

2008 70 Investment growth investment growth firms and short in high Common financial
investment growth firms
Mean consumption
71 Across-state mean consumption growth rate Common macro
growth
Variance of consumption
72 Across-state consumption growth variance Common macro
growth
2008
73 Mean habit growth Across-state mean habit growth rate Common macro
74 Variance of habit growth Across-state habit growth variance Common macro

Systematic liquidity extracted from eight empirical Common
2008 75 Liquidity
liquidity measures microstructure
Weighted average of variances and auto-

Country-level
2008 96 covariances of firm-level idiosyncratic return Individual financial
idiosyncratic volatility
shocks
Distressed firm failure probability estimated based

2008 97 Distress Individual financial
on a dynamic logit model
Individual
98 Shareholder advantage Benefits from renegotiation upon default
accounting
2008 Interaction between
shareholder advantage Implied market value of assets provided by Individual
99
and implied market value Moody's KMV accounting
of assets
Individual
2008 100 Asset growth Year-on-year percentage change in total assets
accounting
Individual
2008 101 Share issuance Annual share issuance based on adjusted shares
accounting
Earnings announcement return capturing the

Earnings announcement
2008 market reaction to unexpected information Individual financial
return
contained in the firm's earnings release
Economic links proxied by return of a portfolio of
2008 102 Firm economic links Individual financial
its major customers
Stocks in the industry of adult services, alcohol,

2008 103 Sin stock Individual other
defense, gaming, medical and tobacco
Individual
2008 104 Goodwill impairment Buyers' overpriced shares at acquisition
accounting
Information in order Individual

2008 105 Changes in order backlog on future profitability
backlog accounting
Investor recognition proxied by the change in the

2008 106 Investor recognition Individual other
breadth of institutional ownership
Individual
2008 107 DuPont analysis Sales over net operating assets in DuPont analysis
accounting
Individual
2008 108 Small trades Volume arising from small trades
microstructure
Idiosyncratic component Residual of the linear projection of the S&P 500

of S&P 500 return return onto the CRSP value weighted index return
Cash flow covariance
77 with aggregate Cash flow covariance with aggregate consumption Common macro
consumption
2009
Cash flow duration sensitivity to aggregate
78 Cash flow duration Common macro
consumption
Common
2009 Financial constraints THEORY
financial/macro
Long-run stockholder
2009 79 Aggregated microlevel stockholder consumption Common macro
consumption growth
Estimated via a logit model of regressing ex-post

2009 80 Takeover likelihood acquisition indicator on various firm- and industry- Common financial
level accounting variables
Estimated using structural formula in line with Common

2009 81 Illiquidity
Kyle's (1985) lambda microstructure
Aggregate earnings based on revisions to analyst Common

2009 82 Cash flow
earnings forecasts accounting
Belief extracted from a two-state regime-switching

83 Investors' beliefs model of aggregate market return and aggregate Common other
output
2009
Uncertainty extracted from a two-state regime-
84 Investors' uncertainty switching model of aggregate market return and Common other
aggregate output
Individual
2009 109 Media coverage Firm mass media coverage
behavioral
Individual
2009 110 Financial distress Credit rating downgrades
accounting
Conditional expected idiosyncratic volatility Individual

2009 111 Idiosyncratic volatility
estimated from a GARCH model accounting
Individual
2009 112 Debt capacity Firm tangibility as in Almeida and Campello (2007)
accounting
Realized-implied volatility Difference between past realized volatility and the

spread average of call and put implied volatility
2009
Call-put implied volatility
114 Difference between call and put implied volatility Individual financial
spread
Net present value of all firm's present and future Individual

2009 115 Productivity of cash
projects generated per dollar of cash holdings accounting
Individual
2009 116 Advertising Change in expenditures on advertising
accounting
Relative optimism and pessimism proxied by the
Analyst forecasts
2009 117 difference between long-term and short-term Individual financial
optimism
analyst forecast of earnings growth
Monthly estimate of the daily correlation between Individual

2009 118 Information revelation
absolute returns and dollar volume microstructure
Individual
2009 119 Earnings volatility Earnings volatility
accounting
Rolling standard deviation of the standardized Individual

2009 120 Cash flow volatility
cashflow over the past sixteen quarters accounting
121 Local unemployment Relative state unemployment Individual other
2009
122 Local housing collateral State-level housing collateral Individual other
Firm efficiency/inefficiency estimated from firm

2009 123 Efficiency score characteristics based on a stochastic frontier Individual financial
approach
Difference between buyer- and seller-initiated Individual

2009 124 Order imbalance
trades microstructure
Market volatility and
2010 85 Estimated based on S&P index option returns Common financial
jumps
Zero-investment portfolio constructed from Common

2010 86 Market mispricing
repurchasing and issuing firms behavioral
Skewness forecasted using firm level predictive

2010 125 Idiosyncratic skewness Individual financial
variables
Political campaign
2010 126 Firm contributions to US political campaigns Individual other
contributions
Individual
2010 127 Real estate holdings Real estate to total property, plant and equipment
accounting
Realized skewness obtained from high-frequency

128 Realized skewness Individual financial
intraday prices
2010
Realized kurtosis obtained from high-frequency
129 Realized kurtosis Individual financial
intraday prices
Excess multiple calculated as the difference
between the accounting multiple and the
Individual
2010 130 Excess multiple warranted multiple obtained by regressing the
accounting
cross-section of firm multiples on accounting
variables
Firm information quality proxied by analyst Individual
2010 131 Firm information quality forecasts, idiosyncratic volatility and standard financial/accountin
errors of beta estimates g
Long-run idiosyncratic Long-run idiosyncratic volatility filtered from

volatility idiosyncratic volatility using HP filters
Return on a zero-investment portfolio long in high

PIN stocks and short in low PIN stocks; PIN (private Common
2010 87 Private information
information) is the probability of information- microstructure
based trade
Intra-industry return reversals captured by the
Intra-industry return return difference between loser stocks and
reversals winners stocks based on relative monthly
performance within the industry
Stock returns from economically related supplier

2010 134 Related industry returns Individual financial
and customer industries
Earnings distributed to Individual

135 Earnings distributed to equity holders
equity holders accounting
2010
Net cash distributed to Individual
136 Dividends minus stock issues
equity holders accounting
Individual
2010 137 Excess cash Most recently available ratio of cash to total assets
accounting
Extreme downside risk proxied by the left tail
2010 138 Extreme downside risk index in the classical generalized extreme value Individual financial
distribution
2010 139 Volatility smirk Steepness in individual option volatility smirk Individual financial
Exposure to financial
2010 THEORY Individual financial
distress costs
Disaster index based on international political

2011 88 Rare disasters Common financial
crises
Aggregate distress risk obtained by projecting

2011 Distress risk future business failure growth rates on a set of Common financial
basis assets
Factor-mimicking portfolios based on momentum

Momentum Common other
of international equity returns
2011
Factor-mimicking portfolios based on cash flow-to- Common
89 Cash flow-to-price
price of international equity returns accounting
Individual
140 R&D investment Firm's investment in research and development
accounting
2011
Kaplan and Zingales (1997) financial constraint
Financial constraints Individual financial
index
2011 141 Extreme stock returns Portfolios sorted based on extreme past returns Individual financial
Jumps in individual stock Average jump size proxied by slope of option

returns implied volatility smile
Employee satisfaction proxied by the list of ``100

2011 143 Intangibles Individual other
Best Companies to Work for in America"
Investment portfolio Difference between returns of portfolios with low

return and high investment-to-asset ratio
Return-on-equity portfolio Difference between returns of portfolios with high

91 Common financial
return and low return on equity
Measured by the price impact of trade as in Individual

2011 144 Volatility of liquidity
Amihud (2002) microstructure
Revealed through active holdings of fund Individual

2011 145 Dispersion in beliefs
managers behavioral
Credit default swap

2011 146 Five-year spread less one-year spread Individual financial
spreads
Directly measured using Selling, General and Individual
2011 147 Organizational capital
Administrative expenditures accounting
Firm residual income growth extracted from firm Individual

2011 148 Residual income
earnings growth accounting
Firm accrual volatility measured by the standard Individual

2011 149 Accrual volatility
deviation of the ratio of accruals to sales accounting
Implied cost of capital estimated using option

2011 150 Implied cost of capital Individual financial
contracts
Non-accounting Average delay with which non-accounting

information quality information is impounded into stock price
2011
Accounting information Average delay with which accounting information Individual
152
quality is impounded into stock price accounting
Labor force unionization measured by the
percentage of employed workers in a firm's
2011 153 Labor unions primary Census industry Classification industry Individual other
covered by unions in collective bargaining with
Overreaction to within-industry
employers discount rate
shocks as captured by decomposing the short-
Overreaction to term reversal into across-industry return
2011 154 nonfundamental price momentum, within-industry variation in expected Individual other
changes 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
Individual
2011 156 Percent total accrual Firm accruals scaled by earnings
accounting
Projected earnings Skilled analysts identified by both past earnings Individual

2011
accuracy forecasts accuracy and skills accounting
Firm level total factor productivity estimated from

2011 157 Firm productivity Individual financial
firm value added, employment and capital
Really dirty surplus that happens when a firm

issues or reacquires its own shares in a transaction Individual
2011 158 Really dirty surplus
that does not record the shares at fair market accounting
value
Individual
2011 159 Earnings forecast Earnings forecast based on firm fundamentals
accounting
Yearly percentage change in total balance sheet Individual

2011 160 Asset growth
assets accounting
Number of potential buyers for a firm's assets from Individual

2011 161 Real asset liquidity
within the industry microstructure
Customer-base
2011 162 Annual change in customer-base concentration Individual other
concentration
Individual
2011 163 Tax expense surprises Seasonally differenced quarterly tax expense
accounting
Predicted earnings Predicted earnings increase score based on Individual

2011
increase score financial statement information accounting
2011 Shareholder recovery THEORY Common financial
2011 92 Garbage growth Realized annual garbage growth Common macro
Financial intermediary's Intermediary's marginal value of wealth proxied by

wealth shocks to leverage of securities broker-dealers
Estimated from a heteroscedastic VAR based on

2012 94 Stochastic volatility Common financial
market and macro variables
Decomposition of market variance into an average

Average variance of
2012 95 correlation component and an average variance Common financial
equity returns
component
Income growth for goods
96 Income growth for goods producing industries Common macro
producing industries
Income growth for

97 Income growth for manufacturing industries Common macro
manufacturing industries
Income growth for

2012 98 Income growth for distributive industries Common macro
distributive industries
Income growth for

99 Income growth for service industries Common macro
service industries
Income growth for

100 Income growth for government Common macro
government
Filtered consumption growth volatility from a

2012 101 Consumption volatility Markov regime-switching model based on Common macro
historical consumption data
Higher moments of market returns estimated from

2012 102 Market skewness Common financial
daily index options
Learning estimated from an investor's optimization

103 Learning Common financial
problem under Knightian uncertainty
2012
Knightian uncertainty estimated from an investor's
104 Knightian uncertainty Common financial
optimization problem under Knightian uncertainty
2012 105 Market uncertainty Proxied by variance risk premium Common financial
2012 Labor income Labor income at the census division level Common macro
Cumulative product price changes since an

2012 164 Product price change Individual financial
industry enters the producer price index program
Future growth in the

Opportunity cost of money as proxied by 3-month
2012 106 opportunity cost of Common macro
Treasury bill rate or effective Federal Funds rate
money
Inter-cohort consumption
differences
Common
2012 107 Market-wide liquidity Proxied by ``noise" in Treasury prices
microstructure
Ex ante stock risk-neutral skewness implied by

2012 165 Stock skewness Individual financial
option prices
Expected return
2012 166 Proxied by the volatility of option-implied volatility Individual financial
uncertainty
Proxied by monthly frequency of current report Individual

2012 167 Information intensity
filings microstructure
Market implied credit risk premia based on the
2012 168 Credit risk premia Individual financial
term structure of CDS spreads
Number of states in which a firm has business

2012 169 Geographic dispersion Individual other
operations
Political proximity measured by political alignment

2012 170 Political geography index of each state's leading politicians with the Individual other
ruling presidential party
Option to stock volume Individual

2012 171 Option volume divided by stock volume
ratio microstructure
Individual
2012 172 Cash holdings Firm cash holdings
accounting
Labor mobility based on average occupational Individual

2012 173 Labor mobility
dispersion of employees in an industry accounting
Firm-level covenant index constructed based on 30 Individual

2012 174 Debt covenant protection
covenant categories accounting
Stock-cash flow Stock-cash flow sensitivity estimated from a

sensitivity structural one-factor contingent-claim model
Discontinuous jump beta based on Todorov and
2012 108 Jump beta Common financial
Bollerslev (2010)
Long-run consumption growth rate identified from

Long-run consumption the risk-free rate and market price-dividend ratio
Common macro
growth based on Bansal and Yaron (2005)'s long-run risk
model
Short-run consumption growth rate identified from
Short-run consumption the risk-free rate and market price-dividend ratio
2012 Common macro
growt based on Bansal and Yaron (2005)'s long-run risk
model
Consumption growth volatility shocks identified
Consumption growth from the risk-free rate and market price-dividend
Common macro
volatility ratio based on Bansal and Yaron (2005)'s long-run
risk model
Change in call implied

2012 176 Change in call implied volatility Individual financial
volatility
Change in put implied

177 Change in put implied volatility Individual financial
volatility
Firm hiring rate measured by the change in the

2012 178 Firm hiring rate number of employees over the average number of Individual other
employees
Information processing
2012 179 Past return for paired pseudo-conglomerates Individual financial
complexity
Prior month buy indicator for opportunistic traders Individual

180 Opportunistic buy
who do not trade routinely microstructure
2012
2012
Prior month sell indicator for opportunistic traders Individual
181 Opportunistic sell
who do not trade routinely microstructure
Patents/citations scaled by research and

2012 182 Innovative efficiency Individual other
development expenditures
Abnormal operating cash Individual

183 Abnormal operating cash flows
flows accounting
2012
Abnormal production Individual
184 Abnormal production costs
costs accounting
Individual
2012 185 Deferred revenues Changes in the current deferred revenue liability
accounting
2012 186 Earnings conference calls Sentiment of conference call wording Individual other
Earnings forecast Difference between characteristic forecasts and Individual

2012 187
optimism analyst forecasts accounting
Open interest-weighted total index that

2012 109 Commodity index Common financial
aggregates 33 commodities
Time-series momentum strategy based on

2012 188 Time-series momentum Individual financial
autocorrelations of scaled returns
Expected return minus expected price
2012 189 Carry Individual financial
appreciation
Logistic transformation of the fit (R^2) from a

2012 190 Expected return proxy Individual financial
regression of returns on past prices
Probability of manipulation based on accounting Individual

2012 191 Fraud probability
variables accounting
Individual
192 Buy orders Sensitivity of price changes to sell orders
microstructure
2012
Individual
193 Sell orders Sensitivity of price changes to buy orders
microstructure
Expected dividend level based on a macro time-

110 Expected dividend level Common financial
series model
2013
Expected dividend Expected dividend growth based on a macro time-
111 Common financial
growth series model
Rolling firm-by-firm regressions of firm-level sales Individual

2013 194 Firm's ability to innovate
growth on lagged R&D accounting
Board centrality measured by four basic

2013 195 Board centrality Individual other
dimensions of well-connectedness
Individual
2013 196 Gross profitability Gross profits to assets
accounting
Long leveraged low-beta assets and short high-

2013 197 Betting-against-beta Individual financial
beta assets
Individual
198 Secured debt Proportion of secured to total debt
accounting
Individual
2013 199 Convertible debt Proportion of convertible to total debt
accounting
Convertible debt Dummy variable indicating whether a firm has Individual

200
indicator convertible debt outstanding accounting
Pricing inefficiency proxied by returns to simulated

Cross-sectional pricing Common
2013 112 trading strategies that capture momentum,
inefficiency microstructure
profitability, value, earnings and reversal
Composite trading strategy returns where the

weights are based on averaging percentile rank
2013 201 Attenuated returns Individual financial
scores of various characteristics for each stock on
portfolios
Decomposing the PIN measure of Easley, Hvidkjaer

Individual
2013 202 Bad private information and O'Hara (2002) into two elements that reflect
microstructure
informed trading on good news and bad news

winners and short in past losers based on short-
2013 113 Trend signal Common other
term, intermediate-term and long-term stock price
trends
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Amihud (2002)
Markets time-series effects, Journal of Financial Markets 5, 31-56.
Journal of Financial Vassalou, Maria, 2003, ``News related to future GDP growth as a risk
Vassalou (2003)
Economics factor in equity returns", Journal of Financial Economics 68, 46-73.
Journal of Political Pastor and Pastor, Lubos and Robert F Stambaugh, 2003, ``Liquidity risk and
Economy Stambaugh (2003) expected stock returns", Journal of Political Economy 111, 643-685.
Ali, Ashiq, Lee-Seok Hwang and Mark A. Trombley, 2003, `Àrbitrage

Journal of Financial Ali, Hwang and
risk and the book-to-market anomaly", Journal of Financial Economics
Economics Trombley (2003)
69, 355-373.
69, 355-373.
Gompers, Paul, Joy Ishii and Andrew Metrick, 2003, ``Corporate

Quarterly Journal Gompers, Ishii and
governance and equity prices", Quarterly Journal of Economics 118,
of Economics Metrick (2003)
107-155.
Jeffrey, Lundholm Doyle, Jeffrey, Russell Lundholm and Mark Soliman, 2003, The
Review of
and Soliman predictive value of expenses excluded from pro forma earnings,
Accounting Studies
(2003) Review of Accounting Studies 8, 145-174.
Fairfield, Fairfield, Patricia, Scott Whisenant and Teri Lombardi Yohn, 2003,
Accounting Review Whisenant and Accrued earnings and growth: implications for future profitability and
Yohn (2003) market mispricing, Accounting Review 78, 353-371.
Rajgopal, Shevlin Rajgopal, Shivaram, Terry Shevlin and Mohan Venkatachalam, 2012,
Review of and Does the stock market fully appreciate the implications of leading
Accounting Studies Venkatachalam indicators for future earnings? Evidence from order backlog, Review
(2003) of Accounting Studies 8, 461-492.
Watkins, Boyce, 2003, Riding the wave of sentiment: An analysis of

Journal of
Watkins (2003) return consistency as a predictor of future returns, Journal of
Behavioral Finance
Behavioral Finance 4, 191-200.
Jacobs, Kris and Kevin Q. Wang, 2004, `Ìdiosyncratic consumption

Jacobs and Wang
Journal of Finance risk and the cross section of asset returns", Journal of Finance 59,
(2004)
2211-2252.
Campbell and
American Campbell, John Y. and Tuomo Vuolteenaho, 2004, ``Bad beta, good
Vuolteenaho
Economic Review beta", American Economic Review 94, 1249-1275.
(2004)
Review of Financial Vanden, Joel M., 2004, `Òptions trading and the CAPM", Review of
Vanden (2004)
Studies Financial Studies 17, 207-238.
Vassalou and Xing Vassalou, Maria and Yuhang Xing, 2004, ``Default risk in equity
Journal of Finance
(2004) returns", Journal of Finance 2004, 831-868.
Brennan, Michael J., Ashley W. Wang and Yihong Xia, 2004,

Brennan, Wang
Journal of Finance `Èstimation and test of a simple model of intertemporal capital asset
and Xia (2004)
pricing", Journal of Finance 59, 1743-1775.
Journal of Financial Teo and Woo Teo, Melvyn and Sung-Jun Woo, 2004, ``Style effects in the cross-
Economics (2004) section of stock returns", Journal of Financial Economics 74, 367-398.
Eberhart, Allan, William Maxwell and Akhtar Siddique, 2004, An

Allan, Maxwell and
Journal of Finance examination of long-term abnormal stock returns and operating
Siddique (2004)
performance following R&D increases, Journal of Finance 59, 623-650.
George and Hwang George, Thomas and Chuan-yang Hwang, 2004, The 52-week high
Journal of Finance
(2004) and momentum investing, Journal of Finance 5, 2145-2176.
Jegadeesh, Kim, Jegadeesh, Narasimhan, Joonghyuk Kim, Suan Krische and Charles
Journal of Finance Krische and Lee Lee, 2004, Analyzing the analysts: When do recommendations add
(2004) value? Journal of Finance 59, 1083-1124.
Ofek, Richardson Ofek, Eli, Matthew Richardson and Robert Whitelaw, 2004, Limited
and Whitelaw arbitrage and short sales restrictions: evidence from the options
Economics
(2004) markets, Journal of Financial Economics 74, 305-342.
Journal of Financial Titman, Sheridan, John Wei and Feixue Xie, 2004, Capital investments
Titman, Wei and
and Quantitative and stock returns, Journal of Financial and Quantitative Analysis 39,
Xie (2004)
Analysis 677-700.
Parker, Jonathan A. and Christian Julliard, 2005, ``Consumption risk

Journal of Political Parker and Julliard
and the cross section of expected returns", Journal of Political
Economy (2005)
Economy 113, 186-222.
Bansal, Dittmar Bansal, Ravi, Robert F. Dittmar and Christian T. Lundblad, 2005,
Journal of Finance and Lundblad ``Consumption, dividends, and the cross section of equity returns'',
Lustig and Lustig, Hanno N. and Stijn G. Van Neiuwerburgh, 2005, ``Housing
Journal of Finance Nieuwerburgh collateral, consumption insurance, and risk premia: An empirical
(2005) perspective", Journal of Finance 60, 1167-1219.
Cremers and Nair Cremers, K.J. Martijn and Vinay B. Nair, 2005, ``Governance
Journal of Finance
(2005) Mechanisms and equity prices", Journal of Finance 60, 2859-2894.
Cremers and Nair Cremers, K.J. Martijn and Vinay B. Nair, 2005, ``Governance
Journal of Finance
(2005) Mechanisms and equity prices", Journal of Finance 60, 2859-2894.
Journal of Financial Acharya and Acharya, Viral V. and Lasse Heje Pedersen, 2005, `Àsset pricing with
Economics Pedersen (2005) liquidity risk", Journal of Financial Economics 77, 375-410.
Hou, Kewei and Tobias J. Moskowitz, 2005, ``Market frictions, price

Review of Financial Hou and Moskowitz
delay, and the cross-section of expected returns", Review of Financial
Studies (2005)
Studies 18, 981-1020.
Anderson, Ghysels Anderson, Evan W., Eric Ghysels and Jennifer L. Juergens, 2005, ``Do
Review of Financial
and Juergens heterogeneous beliefs matter for asset pricing", Review of Financial
Studies
(2005) Studies 18, 875-924.
Nagel, Stefan, 2005, ``Short sales, institutional investors and the

Nagel (2005) cross-section of stock returns", Journal of Financial Economics 78,
Economics
277-309.
Asquith, Paul, Parag A. Pathak and Jay R. Ritter, 2005, ``Short

Journal of Financial Asquith, Pathak
interest, institutional ownership and stock returns", Journal of
Economics and Ritter (2005)
Journal of
Gu, Feng, 2005, Innovation, future earnings, and market efficiency,
Accounting, Gu (2005)
Journal of Accounting, Auditing and Finance 20, 385-418.
Auditing & Finance
Jiang, Guohua, Charles Lee and Yi Zhang, 2005, Information
Review of Jiang, Lee and
uncertainty and expected returns, Review of Accounting Studies 10,
Accounting Studies Zhang (2005)
185-221.
Lev, Baruch, Doron Nissim and Jacob Thomas, 2005, On the

Lev, Nissim and
Working Paper informational usefulness of R&D capitalization and amortization,
Thomas (2005)
Working Paper, Columbia University.
Contemporary Lev, Baruch, Bharat Sarath and Theodore Sougiannis, 2005, R&D
Lev, Sarath and
Accounting reporting biases and their consequences, Contemporary accounting
Sougiannis (2005)
Research research 22, 977-1026.
Mohanram, Partha, 2005, Separating winners from losers among low

Review of
Mohanram (2005) book-to-market stocks using financial statement analysis, Review of
Accounting Studies
Accounting Studies 10, 133-170.
Review of Financial Vanden, Joel M., 2006, `Òption coskewness and capital asset
Vanden (2006)
Studies pricing", Review of Financial Studies 19, 1279-1320.
Gomes, Joao F., Amir Yaron and Lu Zhang, 2006, `Àsset pricing
Review of Financial Gomes, Yaron and
implications of firms' financing constraints", Review of Financial
Studies Zhang (2006)
Studies 19, 1321-1356.
Li, Qing, Maria Vassalou and Yuhang Xing, 2006, ``Sector investment
Li, Vassalou and
Journal of Business growth rates and the cross section of equity returns", Journal of
Xing (2006)
Business 79, 1637-1665.
Li, Vassalou and
Journal of Business growth rates and the cross section of equity returns", Journal of
Xing (2006)
Business 79, 1637-1665.
Chung, Y. Peter, Herb Johnson and Michael J. Schill, 2006, `Àsset

Chung, Johnson pricing when returns are nonnormal: Fama-French factors versus
Journal of Business
and Schill (2006) higher-order systematic comoments", Journal of Business 79, 923-
940.
Review of Financial Whited and Wu Whited, Toni M. and Guojun Wu, 2006, ``Financial constraints risk",
Studies (2006) Review of Financial Studies 19, 531-559.
Review of Financial Ang, Chen and Ang, Andrew, Joseph Chen and Yuhang Xing, 2006, ``Downside risk",
Studies Xing (2006) Review of Financial Studies 19, 1191-1239.
Ang, Andrew, Robert J. Hodrick, Yuhang Xing and Xiaoyan Zhang,

Ang, Hodrick, Xing
Journal of Finance 2006, ``The cross-section of volatility and expected returns", Journal
and Zhang (2006)
of Finance 61, 259-299.
Baker and Wurgler Baker, Malcolm and Jeffrey Wurgler, 2006, `Ìnvestor sentiment and
Journal of Finance
(2006) the cross-section of stock returns", Journal of Finance 61, 1645-1680.
Kumar and Lee Kumar, Alok and Charles M. C. Lee, 2006, ``Retail investor sentiment
Journal of Finance
(2006) and return comovement", Journal of Finance 61, 2451-2486.
Yogo, Motohiro, 2006, `À consumption-based explanation of

Journal of Finance Yogo (2006)
expected stock returns", Journal of Finance 61, 539-580.
Lo, Andrew W. and Jiang Wang, 2006, ``Trading volume: Implications

Lo and Wang
Journal of Finance of an intertemporal capital asset pricing model", Journal of Finance
(2006)
61, 2805-2840.
Journal of Sadka, Ronnie, 2006, ``Momentum and post-earnings-announcement

Financial Sadka (2006) drift anomalies: The role of liquidity risk", Journal of Financial
Journal of Financial Chordia and Chordia, Tarun and Lakshmanan Shivakumar, 2006, `Èarnings and
Economics Shivakumar (2006) price momentum", Journal of Financial Economics 80, 627-656.
Journal of
Liu, Weimin, 2006, `À liquidity-augmented capital asset pricing
Financial Liu (2006)
model", Journal of Financial Economics 82, 631-671.
Economics
Anderson and Anderson, Christopher W. and Luis Garcia-Feijoo, 2006, `Èmpirical

Journal of Finance Garcia-Feijoo evidence on capital investment, growth options, and security
(2006) returns", Journal of Finance 61, 171-194.
Hou and Robinson Hou, Kewei and David T. Robinson, 2006, `Ìndustry concentration
Journal of Finance
(2006) and average stock returns", Journal of Finance 61, 1927-1956.
Brammer, Stephen, Chris Brooks and Stephen Pavelin, 2006,

Financial Brammer, Brooks
``Corporate social performance and stock returns: UK evidence from
Management and Pavelin (2006)
disaggregate measures", Financial Management 35, 97-116.
Daniel, Kent and Sheridan Titman, 2006, ``Market reactions to

Daniel and Titman
Journal of Finance tangible and intangible information", Journal of Finance 61, 1605-
(2006)
1643.
Fama, Eugene F. and Kenneth R. French, 2006, ``Profitability,

investment and average returns", Journal of Financial Economics 82,
Economics (2006)
491-518.
Journal of Bradshaw, Bradshaw, Mark, Scott Richardson and Richard Sloan, 2006, The
Accounting and Richardson and relation between corporate financing activities, analysts' forecasts
Economics Sloan (2006) and stock returns, Journal of Accounting and Economics 42, 53-85.
Cen, Ling, John Wei and Jie Zhang, 2006, Forecasted earnings per
Cen, Wei and
Working Paper share and the cross section of expected stock returns, Working Paper,
Zhang (2006)
Hong Kong University of Science & Technology.
Franzoni and Marin Franzoni, Francesco and Jose Marin, 2006, Pension plan funding and
Journal of Finance
(2006) stock market efficiency, Journal of Finance 61, 921-956.
Gettleman and Gettleman, Eric and Joseph Marks, 2006, Acceleration strategies,
Working Paper
Marks (2006) Working Paper, Seton Hall Univeristy.
Journal of Narayanamoorthy, Ganapathi, 2006, Conservatism and cross-

Narayanamoorthy
Accounting sectional variation in the post-earnings announcement drift, Journal of
(2006)
Research Accounting Research 44, 763-789.
Boudoukh, Boudoukh, Jacob, Roni Michaely, Matthew Richardson and Michael R.

Michaely, Roberts, 2007, `Òn the importance of measuring payout yield:
Journal of Finance
Richardson and implications for empirical asset pricing", Journal of Finance 62, 877-
Roberts (2007) 915.
Balvers, Ronald J. and Dayong Huang, 2007, ``Productivity-based

Journal of Financial Balvers and Huang
asset pricing: Theory and evidence", Journal of Financial Economics
Economics (2007)
2007, 405-445.
Jagannathan, Ravi and Yong Wang, 2007, ``Lazy investors,

Jagannathan and
Journal of Finance discretionary consumption, and the cross-section of stock returns",
Wang (2007)
Avramov, Chordia, Avramov, Doron, Tarun Chordia, Gergana Jostova and Alexander
Journal of Finance Jostova and Philipov, 2007, ``Momentum and credit rating", Journal of Finance 62,
Philipov (2007) 2503-2520.
Shu, Tao, 2007, ``Trader composition, price efficiency, and the cross-
Working Paper Shu (2007)
section of stock returns", Working Paper.
Seoul Journal of Baik and Ahn Baik, Bok and Tae Sik Ahn, 2007, Changes in order backlog and future
Business (2007) returns, Seoul Journal of Business 13, 105-126.
Brown and Rowe Brown, David and Bradford Rowe, 2007, The productivity premium in
Working Paper
(2007) equity returns, Working Paper, University of Wisconsin, Madison.
Doran, James, Andy Fodor and David Peterson, 2007, Insiders versus
James, Fodor and outsiders with employee stock options: Who knows best about future
Working Paper
Peterson (2007) firm risk and implications for stock returns, Working Paper, Florida
State University.
Quarterly Review Head, Alex, Gary Smith and Julia Wilson, 2007, Would a stock by any
Head, Smith and
of Economics & other ticker smell as sweet? Quarterly Review of Economics &
Wilson (2007)
Finance Finance 49, 551-561.
Gourio, Francois, 2007, Labor leverage, firms' heterogeneous

Working Paper Gourio (2007) sensitivities to the business cycle, and the cross-section of expected
returns, Working Paper, Boston University.
Kumar, Praveen, Sorin M. Sorescu, Rodney D. Boehme and Bartley R.

Kumar, Sorescu,
Review of Financial Danielsen, 2008, `Èstimation risk, information, and the conditional
Boehme and
Studies CAPM: Theory and evidence", Review of Financial Studies 21, 1037-
Danielsen (2008)
1075.
Kumar, Sorescu,
Review of Financial Danielsen, 2008, `Èstimation risk, information, and the conditional
Boehme and
Studies CAPM: Theory and evidence", Review of Financial Studies 21, 1037-
Danielsen (2008)
1075.
Adrian, Tobias and Joshua Rosenberg, 2008, ``Stock returns and

Adrian and
Journal of Finance volatility: Pricing the short-run and long-run components of market
Rosenberg (2008)
risk", Journal of Finance 63, 2997-3030.
Xing, Yuhang, 2008, `Ìnterpreting the value effect through the Q-

Review of Financial
Xing (2008) Theory: An empirical investigation", Review of Financial Studies 21,
Studies
1767-1795.
Korniotis, George M., 2008, ``Habit formation, incomplete markets,

Review of Financial
Korniotis (2008) and the significance of regional risk for expected returns", Review of
Studies
Korajczyk, Robert A. and Ronnie Sadka, 2008, ``Pricing the
Journal of Financial Korajczyk and
commonality across alternative measures of liquidity", Journal of
Economics Sadka (2008)
Review of Financial Guo and Savickas Guo, Hui and Robert Savickas, 2008, `Àverage idiosyncratic
Studies (2008) volatility in G7 countries", Review of Financial Studies 21, 1259-1296.
Campbell, Hilscher Campbell, John Y., Jens Hilscher and Jan Szilagyi, 2008, `Ìn search of
Journal of Finance
and Szilagyi (2008) distress risk", Journal of Finance 63, 2899-2939.
Garlappi, Lorenzo, Tao Shu and Hong Yan, 2008, ``Default risk,
Review of Financial Garlappi, Shu and
shareholder advantage, and stock returns", Review of Financial
Studies Yan (2008)
Studies 21, 2743-2778.
Cooper, Michael J., Huseying Gulen and Michael J. Schill, 2008,

Cooper, Gulen and
Journal of Finance `Àsset growth and the cross-section of stock returns", Journal of
Schill (2008)
Finance 63, 1609-1651.
Pontiff and Pontiff, Jeffrey and Arteiza Woodgate, 2008, ``Share issuance and
Journal of Finance
Woodgate (2008) cross-sectional returns", Journal of Finance 63, 921-945.
Brandt, Kishore,
Brandt, Michael, Runeet Kishore, Pedro Santa-Clara and Mohan
Santa-Clara and
Working Paper Venkatachalam, Earnings announcements are full of surprises,
Venkatachalam
Working Paper, Duke University.
(2008)
Cohen and Frazzini Cohen, Lauren and Andrea Frazzini, 2008, Economic links and
Journal of Finance
(2008) predictable returns, Journal of Finance 63, 1977-2011.
Financial Analyst Frank, Ma and Fabozzi, Frank, K.C. Ma and Becky Oliphant, 2008, Sin stock returns,
Journal Oliphant (2008) Financial Analysts Journal Fall, 82-94.
Gu, Feng and Baruch Lev, 2008, Overpriced shares, ill-advised

Accounting Review Gu and Lev (2008) acquisitions, and goodwill impairment, Accounting Review 86, 1995-
2022.
Gu, Wang and Ye Gu, Li, Zhiqiang Wang and Jianming Ye, 2008, Information in order
Working Paper
(2008) backlog: change versus level, Working Paper, Fordham University.
Review of Lehavy and Sloan Lehavy, Reuven and Richard Sloan, 2008, Investor recognition and
Accounting Studies (2008) stock returns, Review of Accounting Studies 13, 327-361.
Soliman, Mark, 2008, The use of DuPont analysis by market

Accounting Review Soliman (2008)
participants, Accounting Review 83, 823-853.
Review of Financial Hvidkjaer, Soeren, 2008, Small trades and the cross-section of stock
Hvidkjaer (2008)
Studies returns, Review of Financial Studies 31, 1123-1151.
Brennan and Li Brennan, Michael and Feifei Li, 2008, Agency and asset pricing,
Working Paper
(2008) Working Paper, UCLA.
Da, Zhi, 2009, ``Cash flow, consumption risk, and the cross-section
Journal of Finance Da (2009)
of stock returns", Journal of Finance 64, 923-956.
Livdan, Sapriza Livdan, Dmitry, Horacio Sapriza and Lu Zhang, 2009, ``Financially
Journal of Finance
and Zhang (2009) constrained stock returns", Journal of Finance64, 1827-1862.
Malloy, Moskowitz Malloy, Christopher J., Tobias J. Moskowitz and Annette Vissing-
Journal of Finance and Vissing- Jorgensen, 2009, ``Long-run stockholder consumption risk and asset
Jorgensen (2009) returns", Journal of Finance 64, 2427-2479.
Cremers, K. J. Martijn, Vinay B. Nair and Kose John, 2009, ``Takeovers

Review of Financial Cremers, Nair and
and the cross-section of returns'', Review of Financial Studies 22,
Studies John (2009)
1410-1445.
Chordia, Huh and Chordia, Taurn, Sahn-Wook Huh and Avanidhar Subrahmanyam,
Review of Financial
Subrahmanyam 2009, ``Theory-based illiquidity and asset pricing", Review of
Studies
(2009) Financial Studies 22, 3630-3668.
Da, Zhi and Mitchell Craig Warachka, 2009, ``Cash flow risk,
Journal of Financial Da and Warachka
systematic earnings revisions, and the cross-section of stock returns",
Economics (2009)
Journal of Financial Economics 94, 448-468.
Ozoguz, Arzu, 2009, ``Good times or bad times? Investor's

Review of Financial
Ozoguz (2008) uncertainty and stock returns", Review of Financial Studies 22, 4378-
Studies
4422.
Fang and Peress Fang, Lily and Joel Peress, 2009, ``Media coverage and the cross-
Journal of Finance
(2009) section of stock returns", Journal of Finance 64, 2023-2052.
Avramov, Chordia, Avramov, Doron, Tarun Chordia, Gergana Jostova and Alexander
Jostova and Philipov, 2009, ``Dispersion in analysts' earnings forecasts and credit
Economics
Philipov (2009) rating", Journal of Financial Economics 91, 83-101.
Journal of Financial Fu, Fangjian, 2009, `Ìdiosyncratic risk and the cross-section of
Fu (2009)
Economics expected stock returns", Journal of Financial Economics 91, 24-37.
Hahn, Jaehoon and Hangyong Lee, 2009, ``Financial constraints,

Hahn and Lee
Journal of Finance debt capacity, and the cross-section of stock returns", Journal of
(2009)
Finance 64, 891-921.
Management Bali and Bali, Turan and Armen Hovakimian, 2009, Volatility spreads and
Science Hovakimian (2009) expected stock returns, Management Science 2009, 1797-1812.
Chandrashekar, Satyajit and Ramesh K.S. Rao, 2009 ``The

Chandrashekar
Working Paper productivity of corporate cash holdings and the cross-section of
and Rao (2009)
expected stock returns", Working Paper.
Chemmanur and Chemmanur, Thomas and An Yan, 2009, Advertising, attention, and
Working Paper
Yan (2009) stock returns, Working Paper, Boston College.
Da, Zhi and Mitch Warachka, 2009, Long-term earnings growth
forecasts, limited attention, and return predictability, Working Paper,
Markets (2009)
University of Notre Dame.
Gokcen, Umut, 2009, Information revelation and expected stock

Working Paper Gokcen (2009)
returns, Working Paper, Boston College.
Gow and Taylor Gow, Ian and Daniel Taylor, 2009, Earnings volatility and the cross-
Working Paper
(2009) section of returns, Working Paper, Northwestern University.
Journal of Empirical Huang, Alan Guoming, 2009, The cross section of cashflow volatility
Huang (2009)
Finance and expected stock returns, Journal of Empirical Finance 16, 409-429.
Korniotis, George and Alok Kumar, 2009, Long Georgia, short

Korniotis and
Working Paper Colorado? The geography of return predictability, Working Paper,
Kumar (2009)
Board of Governors of the Federal Reserve System.
Journal of Financial Nguyen, Giao and Peggy Swanson, 2009, Firm characteristics, relative
Nguyen and
and Quantitative efficiency and equity returns, Journal of Financial and Quantitative
Swanson (2009)
Analysis Analysis 44, 213-236.
Review of Financial Barber, Odean and Barber, B., T. Odean and N. Zhu, 2009, Do retail trades move
Studies Zhu (2009) markets? Review of Financial Studies, 22, 152-186.
Cremers, Halling Cremers, Martijn, Michael Halling and David Weinbaum, 2010, `Ìn
Working Paper and Weinbaum search of aggregate jump and volatility risk in the cross-section of
(2010) stock returns", Working Paper.
Hirshleifer, David and Danling Jiang, 2010, `À financing-based

Review of Financial Hirshleifer and
misvaluation factor and the cross-section of expected returns",
Studies Jiang (2010)
Review of Financial Studies 23, 3402-3436.
Review of Financial Boyer, Mitton and Boyer, Brian, Todd Mitton and Keith Vorkink, 2010, `Èxpected
Studies Vorkink (2010) idiosyncratic skewness", Review of Financial Studies 23, 170-202.
Cooper, Gulen and Cooper, Michael J., Huseyin Gulen and Alexei V. Ovtchinnikov, 2010,
Journal of Finance Ovtchinnikov ``Corporate political contributions and stock returns", Journal of
(2010) Finance 65, 687-724.
Review of Financial Tuzel, Selale, 2010, ``Corporate real estate holdings and the cross-
Tuzel (2010)
Studies section of stock returns", Review of Financial Studies 23, 2269-2302.
Amaya,
Amaya, Diego, Peter Christoffersen, Kris Jacobs and Aurelio Vasquez,
Christoffersen,
Working Paper 2011, Do realized skewness and kurtosis predict the cross-section of
Jacobs and
equity returns, Working Paper, HEC Montreal.
Vasquez (2011)
Journal of An, Jiyoun, Sanjeev Bhojraj and David Ng, 2010, Warranted multiples
An, Bhojraj and Ng
Accounting, and future returns, Journal of Accounting, Auditing & Finance 25, 143-
(2010)
Auditing & Finance 169.
Armstrong, Armstrong, Chris, Snehal Banerjee and Carlos Corona, 2010,
Working Paper Banerjee and Information quality and the cross-section of expected returns,
Corona (2010) Working Paper, University of Pennsylvania.
Cao, Xuying and Yexiao Xu, 2010, Long-run idiosyncratic volatilities

Working Paper Cao and Xu (2010) and cross-sectional stock returns, Working Paper, University of Illinois
at Urbana-Champaign.
David, Hvidkjaer Easley, David, Soeren Hvidkjaer and Maureen O'Hara, 2010, Factoring
and Quantitative
and O'Hara (2010) returns, Journal of Financial and Quantitative Analysis 45, 293-309.
Analysis
Hameed, Allaudeen, Joshua Huang and Mujtaba Mian, 2010,

Hameed, Huang
Working Paper Industries and stock return reversals, Working Paper, National
and Mian (2010)
University of Singapore.
Menzly and Ozbas Menzly, Lior and Oguzhan Ozbas, 2010, Market segmentation and
Journal of Finance
(2010) cross-predictability of returns, Journal of Finance 65, 1555-1580.
Papanastasopoulos, Georgios, Dimitrios Thomakos and Tao Wang,

Review of Papanastasopoulos
2010, The implications of retained and distributed earnings for future
Accounting & , Thomakos and
profitability and stock returns, Review of Accounting & Finance 9,
Finance Wang (2010)
395-423.
Financial Simutin, Mikhail, 2010, Excess cash and stock returns, Financial
Simutin (2010)
Management Management 39, 1197-1222.
Huang, Wei, Qianqiu Liu, Ghon Rhee and Feng Wu, 2010, Extreme
Journal of Banking Huang, Liu, Rhee
downside risk and expected stock returns, Journal of Banking &
and Finance and Wu (2010)
Finance 36, 1492-1502.
Journal of Financial Xing, Yuhang, Xiaoyan Zhang and Rui Zhao, 2010, What does the
Xing, Zhang and
and Quantitative individual option volatility smirk tell us about future equity returns?
Zhao (2010)
Analysis Journal of Financial & Quantitative Analysis 45, 641-662.
George, Thomas and Chuan-yang Hwang, 2010, A resolution of the

Journal of Financial George and Hwang
distress risk and leverage puzzles in the cross section of stock
Economics (2010)
returns, Journal of Financial Economics 96, 56-79.
Berkman, Henk, Ben Jacobsen and John B. Lee, 2011, ``Time-varying

Journal of Financial Berkman, Jacobsen
rare disaster risk and stock returns", Journal of Financial Economics
Economics and Lee (2011)
101, 313-332.
Journal of Financial Kapadia, Nishad, 2011, ``Tracking down distress risk", Journal of
Kapadia (2011)
Economics Financial Economics 102, 167-182.
Hou, Kewei, G. Andrew Karolyi and Bong-Chan Kho, 2011, ``What

Review of Financial Hou, Karolyi and
factors drive global stock returns?", Review of Financial Studies 24,
Studies Kho (2011)
2528-2574.
Review of Financial Li, Dongmei, 2011, ``Financial constraints, R&D investment, and
Li (2011)
Studies stock returns", Review of Financial Studies 24, 2975-3007.
Bali, Turan G., Nusret Cakici and Robert F. Whitelaw, 2011, ``Maxing
Journal of Financial Bali, Cakici and
out: Stocks as lotteries and the cross-section of expected returns",
Economics Whitelaw (2011)
Journal of Financial Yan, Shu, 2011, ``Jump risk, stock returns, and slope of implied
Yan (2011)
Economics volatility smile", Journal of Financial Economics 99, 216-233.
Edmans, Alex, 2011, ``Does the stock market fully value intangibles?
Edmans (2011) Employee satisfaction and equity prices", Journal of Financial
Economics
Economics 101, 621-640.
Chen, Novy-Marx Chen, Long, Robert Novy-Marx and Lu Zhang, `Àn alternative three-
Working Paper
and Zhang (2011) factor model", Working Paper.
Akbas, Armstrong Akbas, Ferhat, Will J. Armstrong and Ralitsa Petkova, 2011,``The
Working Paper
and Petkova (2011) Volatility of Liquidity and Expected Stock Returns", Working Paper.
Jiang, Hao and Zheng Sun, 2011, ``Dispersion in beliefs among

Jiang and Sun
Working Paper active mutual funds and the cross-section of stock returns", Working
(2011)
Paper.
Han and Zhou Han, Bing and Yi Zhou, 2011, ``Term structure of credit default swap
Working Paper
(2011) spreads and cross-section of stock returns", Working Paper.
Eisfeldt and
Eisfeldt, Andrea L. and Dimitris Papanikolaou, 2011, `Òrganization
Working Paper Papanikolaou
capital and the cross-section of expected returns", Working Paper.
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Bandyopadhyay,
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Callen and Lyle Callen, Jeffrey and Matthew Lyle, 2011, The term structure of implied
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Da, Zhi, Qianqiu Liu and Ernst Schaumburg, 2011, Decomposing
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Drake, Michael and Lynn Rees, 2011, Should investors follow the
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Accounting Review prophets or the bears? Evidence on the use of public information by
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Hafzalla, Lundholm
Hafzalla, Nader, Russell Lundholm and Matthew Van Winkle, 2011,
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Hess, Dieter, Daniel Kreutzmann and Oliver Pucker, Projected

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Imrohoroglu and Imrohoroglu, Avse and Selale Tuzel, 2011, Firm level productivity, risk,
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Landsman, Miller, Landsman, Wayne, Bruce Miller, Ken Peasnell and Shu Yeh, 2011, Do
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Ortiz-Molina and Ortiz-Molina, Hernan and Gordon Phillips, 2011, Real asset liquidity
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Garlappi and Yan Garlappi, Lorenzo and Hong Yan, 2011, Financial distress and the
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HLZ: For this sheet, "common"
Type Year Risk by
factors are first sorted factor Formation
characteristics (e.g., financial,
macro, etc.) and then by year.
Financial 1964 Market return THEORY
Financial 1972 Market return Equity index return
State variables
Financial 1973 representing future THEORY
Market return Equity index return
Financial 1973
Financial 1973
Beta squared Square of market beta
Financial 1973 High order market return THEORY
Financial 1974 World market return THEORY
Individual investor
Financial 1974 THEORY
resources
Financial 1976
Squared market return Square of equity index return
Financial 1981 Treasury bond return 3-month US Treasury bill return

Financial 1981
Index of long-term Aa utility bonds with deferred

Corporate bond return
calls returns
Principle components extracted from returns of

Financial 1981 Treasury bill return
Treasury bills
Individual consumer's
wealth
Foreign exchange rate

change

Financial 1985 Credit premium between `ùnder Baa" bond portfolio and long-
Term structure between long-term government bond and 1-month
Treasury bill
Investment opportunity
change
Change in the yield of long-term government

Financial 1986 Long-term intereste rate
bonds
Credit premium between `ùnder Baa" bond portfolio and long-
Financial 1986
Term structure between long-term government bond and 1-month
Treasury bill
Baa corporate bond return less monthly long-term

Credit spread
government bond return
Financial 1991
Change in the difference between a 10-year
Change in the slope of
Treasury bond yield and a 3-month Treasury bill
the yield curve
yield
Real short rate One-month Treasury bill return less inflation rate
Return on S&P stocks Returns on S&P stocks
Financial 1993
Returns on non-S&P
Returns on non-S&P stocks
stocks
High order market and

Financial 1993 High order equity index returns and bond returns
bond return
Financial 1993
Difference in return between long-term
Financial 1993 Term structure
government bond and one-month Treasury bill
Difference in return between long-term corporate

Credit risk
bond and long-term government bond

World equity return
Log first difference of the trade-weighted US dollar

Changes in weighted
prices of the currencies of ten industrialized
exchange rate
countries
Financial 1993
Weighted real short-term GDP weighted average of short-term interest rates
interest rate in G-7 countries
Change in the Eurodollar- First difference of the spread between the 90-day
Treasury yield spread Eurodollar yield and the 90-day Treasury-bill yield

World equity return
Financial 1994
Dividend yield Dividend yield on value-weighted index
Financial 1996
Interest rate Treasury bill rate less 1-year moving average

Financial 1996
Term structure Long-short government bond yield spread
Financial 1996
Slope of yield curve Long-short government bond yield spread
Opportunistic strategy Return for hedge funds that follow an opportunistic

return strategy
Global/macro strategy Return for hedge funds that follow a global/macro

return strategy
Financial 1997 Value strategy return Return for hedge funds that follow a value strategy
Trend following strategy Return for hedge funds that follow a trend
return following strategy
Distressed investment Return for hedge funds that follow a distressed

strategy return investment strategy
Expected portfolio return obtained by projecting

Fitted return based on historical returns on lagged macro instruments,
Financial 1999
predictive regressions including term spreads, dividend yield, credit
spread and short-term Treasury bill
Financial 2000 Entrepreneur income Proprietary income for entrepreneurs
Excess return on a portfolio which long stocks with

Financial 2000 Coskewness
low past coskewness
Lookback straddles' returns constructed based on

Financial 2001 Straddle return
option prices
Squared market return Squared equity index return
Financial 2002
Labor income growth Smoothed labor income growth rate
Squared labor income

Squared smoothed labor income growth rate
growth
Cash flow news News about future market cash flow
Financial 2004
Discount rate news News about future market discount rate
Financial 2004
Financial 2004
Index option return Return on S&P 500 index option
Firm default likelihood using Merton's option

Financial 2004 Default risk
pricing model
Real interest rates extracted from a time-series

Real interest rate
model of bond yields and expected inflation
Financial 2004
Maximum Sharpe ratio portfolio extracted from a
Maximum Sharpe ratio
time-series model of bond yields and expected
portfolio
inflation
Financial 2005 Housing price ratio Ratio of housing to human wealth
Market return Equity index return and its square
Financial 2006 Index option return Index option return and its square
Interaction between
Product of market and option returns
index and option return
Financial 2006 Financing frictions Default premium
Third to tenth power of

Financial 2006 Third to tenth power of market return
market return
Correlation with index return conditional on index

Financial 2006 Downside risk
return being below a threshold value
Aggregate volatility relative to Fama and French

Financial 2006 Systematic volatility
Market volatility Difference in monthly average of squared daily

innovation return differences
Financial 2008
High frequency volatility extracted from a time-

Financial Short-run volatility
2008
Low frequency volatility extracted from a time-
Financial Long-run volatility
Return on a zero-investment portfolio long in low
Financial 2008 Investment growth investment growth firms and short in high
investment growth firms
Short- and long-run High and low frequency volatility extracted from a
Financial 2008
market volatility time-series model of market returns
Idiosyncratic component Residual of the linear projection of the S&P 500

Financial 2008
of S&P 500 return return onto the CRSP value weighted index return
Financial 2009 Financial constraint THEORY
Estimated via a logit model of regressing ex-post

Financial 2009 Takeover likelihood acquisition indicator on various firm- and industry-
level accounting variables
Market volatility and

Financial 2010 Estimated based on S&P index option returns
jumps
Disaster index based on international political

Financial 2011 Rare disasters
crises
Aggregate distress risk obtained by projecting

Financial 2011 Distress risk future business failure growth rates on a set of
basis assets
Investment portfolio Difference between returns of portfolios with low

Financial 2011
return and high investment-to-asset ratio
Return-on-equity portfolio Difference between returns of portfolios with high

return and low return on equity
Financial 2011 Shareholder recovery THEORY
Financial intermediary's Intermediary's marginal value of wealth proxied by

Financial 2012
wealth shocks to leverage of securities broker-dealers
Estimated from a heteroscedastic VAR based on

Financial 2012 Stochastic volatility
market and macro variables
Decomposition of market variance into an average

Average variance of
Financial 2012 correlation component and an average variance
equity returns
component
Higher moments of market returns estimated from

Financial 2012 Market skewness
daily index options
Learning estimated from an investor's optimization

Learning
problem under Knightian uncertainty
Financial 2012
Financial 2012
Knightian uncertainty estimated from an investor's
Knightian uncertainty
optimization problem under Knightian uncertainty
Financial 2012 Market uncertainty Proxied by variance risk premium
Discontinuous jump beta based on Todorov and

Financial 2012 Jump beta
Bollerslev (2010)
Open interest-weighted total index that

Financial 2012 Commodity index
aggregates 33 commodities
Expected dividend level based on a macro time-

Expected dividend level
series model
Financial 2013
Expected dividend Expected dividend growth based on a macro time-
growth series model
Relative prices of
Macro 1972 THEORY
consumption goods
State variables
Macro 1973 representing future THEORY
Marginal rate of
Macro 1978 THEORY
substitution
Aggregate real
Macro 1979 THEORY
consumption
Macro 1981 World consumption THEORY

Change in expected Change in expected inflation as defined in Fama

Macro 1985
Unanticipated inflation Realized minus expected inflation
Macro 1986 Expected inflation THEORY

Unanticipated inflation Realized minus expected inflation
Macro 1986
Changes in expected Changes in expected inflation as defined in Fama
Change in oil price Growth rate in oil prices

Macro 1989 Consumption growth Per capita real consumption growth
Macro 1991 Investment returns Marginal rates of transformation for capital
Real per capita growth of personal consumption

Consumption growth
expenditures for nondurables & services
Macro 1991
Difference between actual and time-series
Unexpected inflation
forecasts of inflation rate
Change in long-term
Change in long-term inflationary expectations

Change in oil price
barrel of crude oil
Macro 1993
Change in G-7 industrial production
production
Unexpected inflation for Unexpected inflation based on a time-series model

the G-7 countries on an aggregate G-7 inflation rate
Change in long-term
Change in long-term inflationary expectations
Macro 1994
Change in oil price
barrel of crude oil
Change in expected
Change in expectation from economic surveys
inflation
Macro 1995
Change in expected GNP Change in expectation from economic surveys
M2 or M3 minus currency, divided by total

Macro 1996 Money growth
population
Returns on physical Inferred from investment data via a production

Macro 1996
investment function
Macro 1996 Labor income Real labor income growth rate
Macro 1996 Labor income Real labor income growth rate
Nonlinear functions of Low order orthonormal polynomials of current and

Macro 1997
consumption growth future consumption growth
Consumption growth Per capita real consumption growth rate
Macro 2001
Proxied by a weighted average of human and
Consumption-wealth ratio
nonhuman wealth
GDP growth news obtained from predictive
Macro 2003 GDP growth news regressions on lagged equity and fixed-income
portfolios
Idiosyncratic
Macro 2004 Cross-sectional consumption growth variance
consumption
Long-horizon
Macro 2005 Three-year consumption growth rate
consumption growth
Cash flow risk measured by cointegration residual

Macro 2005 Long run consumption
with aggregate consumption
Household investment growth
households
Nonfarm nonfinancial corporate firms investment
nonfarm nonfinancial
growth
corporate firms
Macro 2006
Nonfarm noncorporate business investment
nonfarm noncorporate
growth
business
Financial firms investment growth
financial firms
Durable and nondurable

Macro 2006 Durable and nondurable consumption growth
consumption growth
Productivity Productivity level as in King and Rebelo (2000)
Macro 2007
Quarterly capital stock interpolated from annual
Capital stock
data
Fourth-quarter to fourth-
Fourth-quarter to fourth-quarter consumption
Macro 2007 quarter consumption
growth rate
growth
Sensitivity of earnings to changes in aggregate

Macro 2007 Earnings cyclicality
total factor productivity
Identified from a Bayesian estimation of DSGE

Macro 2008 Monetary policy shocks
models
Mean consumption
growth Across-state mean consumption growth rate
Variance of consumption
Across-state consumption growth variance
growth
Macro 2008
Mean habit growth Across-state mean habit growth rate
Variance of habit growth Across-state habit growth variance
Cash flow covariance

with aggregate Cash flow covariance with aggregate consumption
consumption
Macro 2009
Macro 2009
Cash flow duration sensitivity to aggregate
Cash flow duration
consumption
Macro 2009 Financial constraints THEORY
Long-run stockholder
Macro 2009 Aggregated microlevel stockholder consumption
consumption growth
Macro 2011 Garbage growth Realized annual garbage growth
Income growth for goods

Income growth for goods producing industries
producing industries
Income growth for

Income growth for manufacturing industries
manufacturing industries
Income growth for

Macro 2012 Income growth for distributive industries
distributive industries
Income growth for

Income growth for service industries
service industries
Income growth for

Income growth for government
government
Filtered consumption growth volatility from a
Macro 2012 Consumption volatility Markov regime-switching model based on
historical consumption data
Macro 2012 Labor income Labor income at the census division level
Future growth in the

Opportunity cost of money as proxied by 3-month
Macro 2012 opportunity cost of
Treasury bill rate or effective Federal Funds rate
money
Inter-cohort consumption
Macro 2012 THEORY
differences
Long-run consumption growth rate identified from

Long-run consumption the risk-free rate and market price-dividend ratio
growth based on Bansal and Yaron (2005)'s long-run risk
model
Short-run consumption growth rate identified from
Short-run consumption the risk-free rate and market price-dividend ratio
Macro 2012
growt based on Bansal and Yaron (2005)'s long-run risk
model
Consumption growth volatility shocks identified
Consumption growth from the risk-free rate and market price-dividend
volatility ratio based on Bansal and Yaron (2005)'s long-run
risk model
Microstructure 1986 Transaction costs THEORY

Microstructure 1986 Transaction costs THEORY
Average over the year of the daily ratio of the

Microstructure 2002 Market illiquidity
stock's absolute return to its dollar trading volume
Aggregated liquidity based on firm future excess

Microstructure 2003 Market liquidity stock return regressed on current signed excess
return times trading volume
Value-weighted individual stock illiquidity as

Microstructure 2005 Market liquidity
defined in Amihud (2002)
Return on a hedge portfolio constructed using

Microstructure 2006 Trading volume
trading volume and market returns
Market-wide liquidity constructed first by

decomposing firm-level liquidity into variable and
Microstructure 2006 Liquidity
fixed price effects then averaging the variable
component
Turnover-adjusted number of days with zero

trading over the prior 12 months
Systematic liquidity extracted from eight empirical

liquidity measures
Estimated using structural formula in line with
Microstructure 2009 Illiquidity
Kyle's (1985) lambda
Return on a zero-investment portfolio long in high

PIN stocks and short in low PIN stocks; PIN (private
Microstructure 2010 Private information
information) is the probability of information-
based trade
Microstructure 2012 Market-wide liquidity Proxied by ``noise" in Treasury prices
Composite sentiment index based on various

Behavioral 2006 Investor sentiment
sentiment measures
Systematic retail trading based on transaction

Behavioral 2006 Retail investor sentiment
data
Zero-investment portfolio constructed from

Behavioral 2010 Market mispricing
repurchasing and issuing firms
Return on a zero-investment portfolio long in small

Size
stocks and short in large stocks
Accounting 1992
Value
growth stocks and short in value stocks

Size
Accounting 1993
Accounting 1993
Value
Tax rate for capital gains Short-term capital gains tax rate
Accounting 1994
Tax rate for dividend Dividend tax rate

Size
Accounting 1997
Value

Accounting 2006 Earnings stocks with high earnings surprises and short in
stocks with low earnings surprises
Return on a zero-investment portfolio long in high-

Accounting 2007 Payout yield
yield stocks and short in low-yield stocks
Aggregate earnings based on revisions to analyst

Accounting 2009 Cash flow
earnings forecasts
Factor-mimicking portfolios based on cash flow-to-

Accounting 2011 Cash flow-to-price
price of international equity returns
Other 1997 Momentum
winners and short in past losers
Return reversals at the Zero-investment portfolios sorted based on past

Other 2004
style level return performance at the style level
Belief extracted from a two-state regime-switching

Investors' beliefs model of aggregate market return and aggregate
output
Other 2009
Uncertainty extracted from a two-state regime-
Investors' uncertainty switching model of aggregate market return and
aggregate output
Factor-mimicking portfolios based on momentum

Other 2011 Momentum
of international equity returns

winners and short in past losers based on short-
Other 2013 Trend signal
term, intermediate-term and long-term stock price
trends
Other factor(s) Journal Short reference
Journal of Finance Sharpe (1964)
Journal of Finance Lintner(1965)
Econometrica Mossin (1966)
Relative prices of
Journal of Finance Heckerman (1972)
consumption goods
Studies in the
Black, Jensen and
Theory of Capital
Scholes (1972)
Markets
Journal of Business Black (1972)
Idiosyncratic volatility
Economy (1973)
Economy (1973)
and Quantitative Rubinstein (1973)
Analysis
Journal of
Solnik (1974)
Economic Theory
Rubinstein (1974)
Economics
Kraus and
Journal of Finance Litzenberger
(1976)
Litzenberger and
Dividend yield Ramaswamy
Economics
(1979)
Fogler, John and

Journal of Finance
Tipton (1981)
Fogler, John and
Journal of Finance
Tipton (1981)
Oldfield and
Journal of Finance
Rogalski (1981)
Constantinides
Journal of Business
(1982)
Adler and Dumas

Journal of Finance
(1983)
Industrial production;
change in expected Journal of Financial Chan, Chen and
inflation; unanticipated Economics Hsieh (1985)
inflation
Cox, Ingersoll and

Econometrica
Ross (1985)
Sweeney and
Journal of Finance
Warga (1986)
Industrial production
growth; unanticipated
Chen, Roll and
inflation; changes in Journal of Business
Ross (1986)
expected inflation;
change in oil prices
Consumption growth; Journal of Political Ferson and Harvey

unexpected inflation Economy (1991)
Review of Financial Elton, Gruber, Das

Studies and Hlavka (1993)
Bansal and
Journal of Finance Viswanathan
(1993)

Size; value
Economics (1993)
Size; value
Economics (1993)
Change in long-term
inflationary expectations;
Change in oil price;
production; Unexpected
Review of Financial Ferson and Harvey
inflation for the G-7
Studies (1993)
countries
Change in long-term
inflationary expectations; Journal of Banking Ferson and Harvey
Change in oil price and Finance (1994)
Labor income Campbell (1996)
Economy
Labor income Campbell (1996)
Economy
Jagannathan and
Labor income Journal of Finance
Wang (1996)

Studies (1997)
Size; value; momentum Journal of Finance Carhart (1997)
Ferson and Harvey

Journal of Finance
(1999)
Heaton and Lucas
Journal of Finance
(2000)
Harvey and
Journal of Finance
Siddique (2000)

Studies (2001)
Journal of Finance Dittmar (2002)
Campbell and
American
Vuolteenaho
Economic Review
(2004)
Review of Financial
Vanden (2004)
Studies
Review of Financial
Vanden (2004)
Studies
Vassalou and Xing

Journal of Finance
(2004)
Brennan, Wang
Journal of Finance
and Xia (2004)
Lustig and
Journal of Finance Nieuwerburgh
(2005)
Market liquidity; Journal of Financial Acharya and

individual stock liquidity Economics Pedersen (2005)
Review of
Vanden (2006)
Financial Studies
Review of Gomes, Yaron and
Financial Studies Zhang (2006)
Chung, Johnson
Journal of Business
and Schill (2006)
Review of Financial Ang, Chen and

Studies Xing (2006)
Ang, Hodrick, Xing

Idiosyncratic volatility Journal of Finance
and Zhang (2006)
Lo and Wang
Trading volume Journal of Finance
(2006)
Firm age; interaction Kumar, Sorescu,

Review of
between market volatility Boehme and
Financial Studies
and firm age Danielsen (2008)
Adrian and
Journal of Finance
Rosenberg (2008)
Review of Financial
Xing (2008)
Studies
Adrian and
Journal of Finance
Rosenberg (2008)
Brennan and Li
Working Paper
(2008)
Livdan, Sapriza
Journal of Finance
and Zhang (2009)
Review of Financial Cremers, Nair and

Studies John (2009)
Cremers, Halling
Working Paper and Weinbaum
(2010)
Journal of
Berkman, Jacobsen
Financial
and Lee (2011)
Economics
Kapadia (2011)
Economics
Chen, Novy-Marx
Working Paper
and Zhang (2011)
Garlappi and Yan

Journal of Finance
(2011)
Adrian, Etula and

Journal of Finance
Muir (2012)
Campbell, Giglio,
Working Paper Polk and Turley
(2012)
Review of Financial Chen and Petkova

Studies (2012)
Journal of Chang,
Financial Christoffersen and
Economics Jacobs (2012)
Viale, Garcia-Feijoo
Working Paper and Giannetti
(2011)
Viale, Garcia-Feijoo
Working Paper and Giannetti
(2011)
Bali and Zhou

Working Paper
(2012)
Sophia Zhengzi Li
Working Paper
(2012)
Boons, Roon and

Working Paper Szymanowska
(2012)
Doskov, Pekkala
Working Paper
and Ribeiro (2013)
Market return Journal of Finance Heckerman (1972)
Econometrica Lucas (1978)

Breeden (1979)
Economics
Stulz (1981)
Economics
Market return; credit Journal of Financial Chan, Chen and

premium; term structure Economics Hsieh (1985)
Journal of Finance Stulz (1986)
Credit premium; Term Chen, Roll and

Journal of Business
structure Ross (1986)
Breeden, Gibbons
Journal of Finance and Litzenberger
(1989)
Journal of Finance Cochrane (1991)
Market return; credit

spread; change in the Journal of Political Ferson and Harvey
slope of the yield curve; Economy (1991)
real short rate
World equity return;

change in weighted
exchange rate; change in Review of Financial Ferson and Harvey
the Eurodollar-Treasury Studies (1993)
yield spread; changes in
oil price
World equity return;

change in weighted
and Finance (1994)
exchange rate
Elton, Gruber and
Journal of Finance
Blake (1995)
Chan, Foresi and

Journal of Finance
Lang (1996)
Cochrane (1996)
Economy
Market return; Dividende

yield; interest rate; term Campbell (1996)
Economy
structure
Market return; slope of Jagannathan and

Journal of Finance
the yield curve Wang (1996)
Journal of Finance Chapman (1997)
Journal of Political Lettau and

Economy Ludvigson (2001)
Journal of
Financial Vassalou (2003)
Economics
Jacobs and Wang

Journal of Finance
(2004)
Journal of Political Parker and Julliard

Economy (2005)
Bansal, Dittmar
Journal of Finance and Lundblad
(2005)
Li, Vassalou and

Journal of Business
Xing (2006)
Journal of Finance Yogo (2006)

Journal of Financial Balvers and Huang
Economics (2007)
Jagannathan and
Journal of Finance
Wang (2007)
Working Paper Gourio (2007)
Working Paper Cho (2008)
Review of Financial
Korniotis (2008)
Studies

Livdan, Sapriza
Journal of Finance
and Zhang (2009)
Malloy, Moskowitz
Journal of Finance and Vissing-
Jorgensen (2009)
Journal of Finance Savov (2011)
Journal of Finance Eiling (2012)

Boguth and Kuehn
Journal of Finance
(2012)
Gomez, Priestley
Working Paper and Zapatero
(2012)
Lioui and Maio

Working Paper
(2012)
Garleanu, Kogan
and Panageas
Economics
(2012)
Journal of Financial Ferson, Nallareddy

Economics and Xie (2012)
Journal of Financial Amihud and

Economics Mendelson (1986)
Journal of Political Constantinides
Economy (1986)
Amihud (2002)
Markets
Journal of Political Pastor and

Economy Stambaugh (2003)
Market return; individual Journal of Financial Acharya and

stock liquidity Economics Pedersen (2005)
Lo and Wang
Market return Journal of Finance
(2006)
Sadka (2006)
Economics
Journal of
Financial Liu (2006)
Economics
Journal of Financial Korajczyk and

Economics Sadka (2008)
Chordia, Huh and
Review of
Subrahmanyam
Financial Studies
(2009)
David, Hvidkjaer
and Quantitative
and O'Hara (2010)
Analysis
Hu, Pan and Wang

Working Paper
(2012)
Baker and Wurgler

Journal of Finance
(2006)
Kumar and Lee

Journal of Finance
(2006)
Review of Hirshleifer and

Financial Studies Jiang (2010)
Fama and French

Journal of Finance
(1992)
Market return; term Journal of Financial Fama and French

structure; credit risk Economics (1993)
Market return; term Journal of Financial Fama and French
structure; credit risk Economics (1993)
Bossaerts and
Journal of Finance
Dammon (1994)
Market return;
Momentum
Journal of
Chordia and
Financial
Shivakumar (2006)
Economics
Boudoukh,
Michaely,
Journal of Finance
Richardson and
Roberts (2007)

Economics (2009)

Momentum
Studies Kho (2011)
Size; value; market
return
Journal of Financial Teo and Woo

Economics (2004)
Review of Financial
Ozoguz (2008)
Studies

Cash flow-to-price
Studies Kho (2011)
Han and Zhou

Working Paper
(2013)
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Denver
HLZ: For this sheet, "individual"
Type Year Risk by
factors are first sorted factor
characteristics (e.g., financial,
microstructure, etc.) and then
by year.
Financial 1967 Total volatility
Financial 1973 Idiosyncratic volatility
Financial 1981 Firm size
Financial 1990 Return predictability
Financial 1992 Return momentum
Dividend initiations
Financial 1995
Dividend omissions
Seasoned equity
Financial 1995
offerings
Financial 1997 Momentum
Financial 1997 Corporate acquisitions
Financial 1999 Debt offerings

Financial 2000 Within-industry size
Financial 2001 Bond rating changes
Financial 2001 Financial constraints
Financial 2002 Distress risk
Idiosyncratic return
Financial 2003
volatility
Financial 2003 Return consistency
Financial 2004 52-week high
Financial 2004 Put-call parity
Financial 2005 Heterogeneous beliefs
Financial 2005 Information uncertainty

Financial 2006 Idiosyncratic volatility
Financial 2006 Acceleration
Financial 2007 Credit rating
Insider forecasts of firm

Financial 2007
volatility
Country-level
Financial 2008
idiosyncratic volatility
Financial 2008 Distress
Earnings announcement
Financial 2008
return
Financial 2008 Firm economic links
Realized-implied volatility
spread
Financial 2009
Call-put implied volatility

spread
Analyst forecasts
Financial 2009
optimism
Financial 2009 Efficiency score
Financial 2010 Idiosyncratic skewness
Realized skewness
Financial 2010
Realized kurtosis
Financial 2010 Excess multiple
Long-run idiosyncratic
Financial 2010
volatility
Financial 2010 Firm information quality
Intra-industry return
Financial 2010
reversals
Financial 2010 Related industry returns
Financial 2010 Extreme downside risk
Financial 2010 Volatility smirk

Exposure to financial
Financial 2010
distress costs
Financial 2011 Extreme stock returns
Jumps in individual stock

Financial 2011
returns
Credit default swap

Financial 2011
spreads
Financial 2011 Implied cost of capital
Financial 2011 Short interest
Financial 2011 Firm productivity
Non-accounting
Financial 2011
information quality
Financial 2012 Product price change
Financial 2012 Stock skewness

Expected return
Financial 2012
uncertainty
Financial 2012 Credit risk premia
Stock-cash flow
Financial 2012
sensitivity
Change in call implied

volatility
Financial 2012
Change in put implied
volatility
Information processing
Financial 2012
complexity
Financial 2012 Time-series momentum
Financial 2012 Carry
Financial 2012 Expected return proxy
Financial 2013 Betting-against-beta
Financial 2013 Attenuated returns

Microstructure 1980 Short sale restrictions
Microstructure 1981 Transaction costs
Microstructure 1981 Short interest
Level of liquidity
Microstructure 2001
Variability of liquidity
Microstructure 2002 Breadth of ownership
Microstructure 2002 Information risk

Microstructure 2002 Short-sale constraints
Microstructure 2003 Transaction costs
Microstructure 2005 Individual stock liquidity
Microstructure 2005 Price delay
Microstructure 2007 Trader composition
Microstructure 2008 Small trades
Microstructure 2009 Information revelation
Microstructure 2009 Order imbalance
Microstructure 2011 Volatility of liquidity

Microstructure 2011 Real asset liquidity
Microstructure 2012 Information intensity
Option to stock volume

Microstructure 2012
ratio
Opportunistic buy
Microstructure 2012
Opportunistic sell
Buy orders
Microstructure 2012
Sell orders
Cross-sectional pricing
Microstructure 2013
inefficiency
Microstructure 2013 Bad private information
Behavioral 2002 Analyst dispersion
Behavioral 2009 Media coverage
Behavioral 2011 Dispersion in beliefs

Other 1983 Institutional holding
Other 1985 Long-term return reversal
Other 1993 Return momentum
Other 1999 Industry momentum
Other 2005 Patent citation
Environment indicator
Other 2006 Employment indicator
Community indicator
Other 2007 Ticker symbol
Other 2008 Sin stock
Other 2008 Investor recognition
Local unemployment
Other 2009
Local housing collateral

Political campaign
Other 2010
contributions
Other 2011 Intangibles
Other 2011 Labor unions
Overreaction to
Other 2011 nonfundamental price
changes
Customer-base
Other 2011
concentration
Other 2012 Geographic dispersion
Other 2012 Political geography
Other 2012 Firm hiring rate
Other 2012 Innovative efficiency
Other 2013 Board centrality
Earnings growth
Accounting 1975
expectations
Accounting 1977 PE ratio
Accounting 1979 Dividend yield
Accounting 1983 EP ratio
Accounting 1984 Earnings expectations
Accounting 1984 New listings dummy
Long-term growth
Accounting 1988
forecasts
Accounting 1988 Debt to equity ratio
Predicted earnings
Accounting 1989
change
Accounting 1992 Predicted return signs
New public stock

Accounting 1995
issuance
Accounting 1996 R&D capital

Accounting 1996 Earnings forecast
Size
Accounting 1997
Book-to-market ratio
Accounting 1997 Disclosure level
Earning forecasts
Accounting 1997
uncertainty
Accounting Size
1997
Accounting Value
Earnings management
Accounting 1997
likelihood
Accounting 1998 Fundamental analysis
Accounting 1998 Bankruptcy risk
Accounting 1998 Firm fundamental value

Within-industry value
Within-industry cashflow
to price ratio
Accounting 2000
Within-industry percent
change in employees
Within-industry
momentum
Financial statement
Accounting 2000
information
Accounting 2001 Analysts' forecasts
Accounting 2001 Institutional ownership
Consensus
Accounting 2001
recommendations
Accounting 2002 Earnings sustainability
Accounting 2003 Excluded expenses
Accounting 2003 Investor sophistication
Accounting 2003 Shareholder rights

Growth in long-term net
Accounting 2003
operating assets
Accounting 2003 Order backlog
Analysts'
Accounting 2004
recommendations
Unexpected change in
Accounting 2004
R&D
Abnormal capital
Accounting 2004
investment
External corporate
Accounting
governance
2005
Internal corporate
Accounting
governance
Accounting 2005 Adjusted R&D
Accounting 2005 R&D reporting biases
Accounting 2005 Growth index
Accounting 2006 Capital investment

Accounting 2006 Industry concentration
Accounting 2006 Firm's social performance
Accounting 2006 Intangible information
Accounting Profitability
Accounting 2006 Investment
Accounting Book-to-market
Forecasted earnings per

Accounting 2006
share
Accounting 2006 Net financing
Accounting 2006 Pension plan funding
Unexpected earnings'
Accounting 2006
autocorrelations
Accounting 2007 Change in order backlog
Accounting 2007 Firm productivity

Accounting Firm age
2008
Interaction between
Accounting market volatility and firm
age
Shareholder advantage
Accounting 2008
Interaction between
shareholder advantage
and implied market value
of assets
Accounting 2008 Asset growth
Accounting 2008 Share issuance
Accounting 2008 Goodwill impairment
Information in order
Accounting 2008
backlog
Accounting 2008 DuPont analysis
Accounting 2009 Productivity of cash
Consumption surplus
Accounting 2009
ratio
Accounting 2009 Financial distress
Accounting 2009 Idiosyncratic volatility
Accounting 2009 Debt capacity
Accounting 2009 Advertising
Accounting 2009 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
Earnings distributed to
equity holders
Accounting 2010
Accounting 2010
Net cash distributed to
equity holders
Accounting 2010 Excess cash
Accounting 2011 R&D investment
Accounting 2011 Organizational capital
Accounting 2011 Residual income
Accounting 2011 Residual income
Accounting 2011 Percent total accrual
Projected earnings
Accounting 2011
accuracy
Accounting 2011 Really dirty surplus
Accounting 2011 Earnings forecast
Accounting 2011 Asset growth

Accounting 2011 Tax expense surprises
Predicted earnings
Accounting 2011
increase score
Accounting information
Accounting 2011
quality
Accounting 2012 Cash holdings
Accounting 2012 Labor mobility
Accounting 2012 Debt covenant protection
Abnormal operating cash

flows
Accounting 2012
Abnormal production
costs
Accounting 2012 Deferred revenues
Accounting 2012 Earnings conference calls
Earnings forecast
Accounting 2012
optimism
Accounting 2012 Fraud probability
Accounting 2013 Firm's ability to innovate
Accounting 2013 Gross profitability
Secured debt
Accounting 2013 Convertible debt
Convertible debt
indicator
Formation Other factor(s)
Individual stock volatility
Residual stock volatility from CAPM
Market value of firm stocks
Short-term (one month) and long-term (twelve

months) serial correlations in returns
Size and beta adjusted mean prior five-year

returns
Initiations of cash dividend payments
Omissions of cash dividend payments
Whether a firm makes seasoned equity offerings
Size; book-to-market
Past cumulative stock return
ratio; trading volume
Difference between stock mergers and cash

tender offers for corporate acquisitions
Whether a firm makes straight and convertible

debt offerings
Within-industry value,
Difference between firm size and average firm size cashflow to price ratio,
within the industry percent change in
employees, momentum
Moody's bond ratings changes
Measure financial constraints with Kaplan and

Zingales (1997) index
Distress risk as proxied by Ohlson's O-score
Residual variance obtained by regressing daily Transaction costs;

stock returns on market index return investor sophistication
Consecutive returns with the same sign
Nearness to the 52-week high price
Violations of put-call parity
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
Idiosyncratic volatility relative to Fama and French
Systematic volatility
Firm's ranking on change in six-month momentum

relative to the cross-section of other firms
S&P firm credit rating
Future firm volatility obtained from executive

stock options
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 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
Difference between past realized volatility and the

average of call and put implied volatility
Difference between call and put implied volatility
Relative optimism and pessimism proxied by the

difference between long-term and short-term
analyst forecast of earnings growth
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
warranted multiple obtained by regressing the
variables
Long-run idiosyncratic volatility filtered from

idiosyncratic volatility using HP filters
Firm information quality proxied by analyst

forecasts, idiosyncratic volatility and standard
errors of beta estimates
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
Steepness in individual option volatility smirk

THEORY
Kaplan and Zingales (1997) financial constraint

R&D investment
index
Portfolios sorted based on extreme past returns
Average jump size proxied by slope of option

implied volatility smile
Five-year spread less one-year spread
Implied cost of capital estimated using option

contracts
Short interest from short sellers
Firm level total factor productivity estimated from

firm value added, employment and capital
Average delay with which non-accounting Accounting information

information is impounded into stock price quality
Cumulative product price changes since an

industry enters the producer price index program
Ex ante stock risk-neutral skewness implied by

option prices
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 estimated from a

structural one-factor contingent-claim model
Change in call implied volatility
Change in put implied volatility
Past return for paired pseudo-conglomerates
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
THEORY
THEORY
Equity short interest
Illiquidity proxied by bid-ask spread
Size; book-to-market
Dollar volume traded per month
ratio; momentum
Liquidity proxied by the turnover rate: number of

shares traded as a fraction of the number of
shares outstanding
Past trading volume
Level of dollar trading volume and share turnover
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
Shorting costs for NYSE stocks
Bid-ask spread, volume, etc. volatility; investor
sophistication
Individual stock illiquidity as defined in Amihud Market return; market

(2002) liquidity
Delay in a stock price's response to information
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
Volume arising from small trades
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)
Number of potential buyers for a firm's assets from
within the industry
Proxied by monthly frequency of current report

filings
Option volume divided by stock volume
Prior month buy indicator for opportunistic traders

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

who do not trade routinely
Sensitivity of price changes to sell orders
Sensitivity of price changes to buy orders
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
Dispersion in analysts' earnings forecasts
Firm mass media coverage
Revealed through active holdings of fund

managers
Institutional concentration rankings from Standard
and Poor's
Long-term past abnormal return
Past stock returns
Industry-wide momentum returns
Change of patent citation impact deflated by

A composite index measuring a firm's

environmental responsibility
A composite index measuring employee

responsibility
A composite index measuring community

responsiveness
Creativity in stocks' ticker symbols
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
Relative state unemployment
State-level housing collateral

Firm contributions to US political campaigns
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
Overreaction to within-industry
employers 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
Annual change in 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
Projecting firm earnings growth based on market

beta, firm size, dividend payout ratio, leverage
and earnings variability
Firm price-to-earnings ratio
Dividend per share divided by share price Market return
Firm earnings-to-price ratio
Consensus earnings expectations
Announcement that a company has filed a formal

application to list on the NYSE
Long-term growth forecasts proxied by the five-

year earnings per share growth rate forecasts
Non-common equity liabilities to equity
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
R&D capital over total assets

Errors in analysts' forecasts on earnings growth
Market value of equity

Momentum; trading
volume
Book value of equity plus deferred taxes to market
value of equity
Voluntary disclosure level of manufacturing firms'

annual reports
Standard deviation of earnings forecasts
Market value of equity

value of equity
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.
The probability of bankruptcy from Altman (1968)
Firms' fundamental values estimated from I/B/E/S

consensus forecasts and a residual income model
Difference between firm book-to-market ratio and
average book-to-market ratio within the industry
Difference between firm cashflow to price ratio

and average cashflow to price ratio within the
industry Difference between firm
size and average firm
Difference between firm percent change in size within the industry
employees and average percent change in
employees within the industry
Difference between firm past stock prices and

average past stock prices within the industry
A composite score based on historical financial

statement that separates winners from losers
Financial analysts' forecasts of annual earnings
Institutional holdings of firm assets
Consensus recommendations measured by the

average analyst recommendations
A summary score based on firm fundamentals that

informs about the sustainability of earning
Excluded expenses in firm's earnings reports
Number of analysts or institutional owners volatility; transaction
costs
Shareholder rights as proxied by an index using 24

governance rules
Growth in long-term net operating assets
Order backlog divided by average total assets,

transformed to a scaled-decile variable
Consensus analysts' recommendations from sell-

side firms
Unexpected change in firm research and

expenditures
Past year capital expenditures scaled by average

capital expenditures for previous three years
Proxies for corporate control
Proxies for share-holder activism
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
Capital expenditure growth

Industry concentration as proxied by the
Herfindahl index
A composite social performance index based on

community, environmental and employee
performance
Residuals from cross-sectional regression of firm

returns on fundamental growth measures
Expected earnings growth
Expected growth in book equity

value of equity
Analysts' 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
Standardized unexpected earnings'

autocorrelations via the sign of the most recent
earnings realization
Change in order backlog
Firm productivity measured by returns on invested

capital
Firm's public listing age
Market volatility
innovation; market return
Product of market volatility and firm age
Benefit from renegotiation upon default
Implied market value of assets provided by

Moody's KMV
Year-on-year percentage change in total assets
Annual share issuance based on adjusted shares
Buyers' overpriced shares at acquisition
Changes in order backlog on future profitability
Sales over net operating assets in DuPont analysis
Net present value of all firm's present and future

projects generated per dollar of cash holdings
THEORY
Credit rating downgrades
Conditional expected idiosyncratic volatility

estimated from a GARCH model
Firm tangibility as in Almeida and Campello (2007)
Change in expenditures on advertising
Earnings volatility
Rolling standard deviation of the standardized

cashflow over the past sixteen quarters
Real estate to total property, plant and equipment

variables
variables
Firm information quality proxied by analyst
forecasts, idiosyncratic volatility and standard
errors of beta estimates
Earnings distributed to equity holders

Dividends minus stock issues
Most recently available ratio of cash to total assets
Firm's investment in research and development Financial constraints
Directly measured using Selling, General and

Administrative expenditures
Firm residual income growth extracted from firm

earnings growth
Firm residual income growth extracted from firm

earnings growth
Firm accruals scaled by earnings
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
Earnings forecast based on firm fundamentals
Yearly percentage change in total balance sheet

assets
Seasonally differenced quarterly tax expense
Predicted earnings increase score based on

financial statement information
Average delay with which accounting information Non-accounting

is impounded into stock price information quality
Firm cash holdings
Labor mobility based on average occupational

dispersion of employees in an industry
Firm-level covenant index constructed based on 30

covenant categories
Abnormal operating cash flows
Abnormal production costs
Changes in the current deferred revenue liability
Sentiment of conference call wording
Difference between characteristic forecasts and

analyst forecasts
Probability of manipulation based on accounting
variables
Rolling firm-by-firm regressions of firm-level sales

growth on lagged R&D
Gross profits to assets
Proportion of secured to total debt
Proportion of convertible to total debt
Dummy variable indicating whether a firm has

convertible debt outstanding
Journal Short reference
Yale Economic
Douglas (1969)
Essays

Economy (1973)
Banz (1981)
Economics
Journal of Finance Jegadeesh (1990)
Chopra,
Lakonishok and
Economics
Ritter (1992)
Michaely, Thaler
Journal of Finance and Womack
(1995)

Brennan, Chordia
Journal of Financial and
Economics Subrahmanyam
(1997)
Loughran and Vijh

Journal of Finance
(1997)

Asness, Porter and
Working Paper
Stevens (2000)
Dichev and
Journal of Finance
Piotroski (2001)
Lamont, Polk and

Review of Financial
Saa-Requejo
Studies
(2001)
Griffin and
Journal of Finance
Lemmon (2002)

Journal of
Watkins (2003)
Behavioral Finance
George and Hwang

Journal of Finance
(2004)
Ofek, Richardson
and Whitelaw
Economics
(2004)
Anderson, Ghysels
Review of Financial
and Juergens
Studies
(2005)
Review of Jiang, Lee and

Accounting Studies Zhang (2005)
Review of Financial Whited and Wu

Studies (2006)
Ang, Hodrick, Xing
Journal of Finance
and Zhang (2006)
Gettleman and
Working Paper
Marks (2006)
Avramov, Chordia,
Journal of Finance Jostova and
Philipov (2007)
James, Fodor and

Working Paper
Peterson (2007)
Review of Financial Guo and Savickas

Studies (2008)
Campbell, Hilscher
Journal of Finance
and Szilagyi (2008)
Brandt, Kishore,
Santa-Clara and
Working Paper
Venkatachalam
(2008)
Cohen and Frazzini

Journal of Finance
(2008)
Management Bali and

Science Hovakimian (2009)

Markets (2009)
Nguyen and
and Quantitative
Swanson (2009)
Analysis
Review of Financial Boyer, Mitton and

Studies Vorkink (2010)
Amaya,
Christoffersen,
Working Paper
Jacobs and
Vasquez (2011)
Journal of
An, Bhojraj and Ng
Accounting,
(2010)
Auditing & Finance
Working Paper Cao and Xu (2010)
Armstrong,
Working Paper Banerjee and
Corona (2010)
Hameed, Huang
Working Paper
and Mian (2010)
Menzly and Ozbas

Journal of Finance
(2010)
Journal of Banking Huang, Liu, Rhee

and Finance and Wu (2010)
Xing, Zhang and
and Quantitative
Zhao (2010)
Analysis
Journal of Financial George and Hwang
Economics (2010)
Review of Financial
Li (2011)
Studies
Journal of Financial Bali, Cakici and

Economics Whitelaw (2011)
Yan (2011)
Economics
Han and Zhou

Working Paper
(2011)
Callen and Lyle

Working Paper
(2011)
Michael and Rees

Accounting Review
(2011)
Imrohoroglu and
Working Paper
Tuzel (2011)
Contemporary
Callen, Khan and
Accounting
Lu (2011)
Research
Van Binsbergen
Working Paper
(2012)
Conrad, Dittmar
Journal of finance
and Ghysels (2012)
Baltussen,
Working Paper Bekkum, Van Der
Grient (2012)
Friewald, Wagner
Working Paper and Zechner
(2012)
Chen and
Working Paper
Strebulaev (2012)
Ang, Bali and

Working Paper
Cakici (2012)
Journal of Financial Cohen and Lou

Economics (2012)
Journal of Financial Moskowitz, Ooi and

Economics Pedersen (2012)
Koijen, Moskowitz,
Working Paper Pedersen and
Vrugt (2012)
Burlacu, Fontaine,
Journal of Financial Jimenez-Garces
Economics and Seasholes
(2012)
Frazzini and
Working Paper
Pedersen (2013)
Chordia,
and Tong (2013)
Journal of Finance Jarrow (1980)
Journal of Finance Mayshar (1981)
and Quantitative Figlewski (1981)
Analysis
Amihud and
Journal of Finance
Mendelson (1989)
Brennan, Chordia
(1998)
Journal of Financial Datar, Naik and

Markets Radcliffe (1998)
Lee and
Journal of Finance Swaminathan
(2000)
Chordia,
Journal of Financial Subrahmanyam
Economics and Anshuman
(2001)
Journal of
Chen, Hong and
Financial
Stein (2002)
Economics
Easley, Hvidkjaer
Journal of Finance
and O'Hara (2002)
Journal of Financial Jones and Lamont
Economics (2002)

Journal of Financial Acharya and

Economics Pedersen (2005)
Review of Financial Hou and Moskowitz

Studies (2005)
Nagel (2005)
Economics
Journal of Financial Asquith, Pathak

Economics and Ritter (2005)
Working Paper Shu (2007)
Review of Financial
Hvidkjaer (2008)
Studies
Working Paper Gokcen (2009)
Review of Financial Barber, Odean and

Studies Zhu (2009)
Akbas, Armstrong
Working Paper
and Petkova (2011)
Ortiz-Molina and
Working Paper
Phillips (2011)
Working Paper Zhao (2012)
Journal of
Johnson and So
Financial
(2012)
Economics
Cohen, Malloy and

Journal of Finance
Pomorski (2012)
Brennan, Chordia,
Subrahmanyam
Economics
and Tong (2012)
Akbas, Armstrong,
Sorescu and
Working Paper
Subrahmanyam
(2013)
Brennan, Huh and

(2013)
Diether, Malloy
Journal of Finance and Scherbina
(2002)
Fang and Peress

Journal of Finance
(2009)
Jiang and Sun

Working Paper
(2011)
Financial Analyst Arbel, Carvell and
Journal Strebel (1983)
De Bondt and
Journal of Finance
Thaler (1984)
Jegadeesh and
Journal of Finance
Titman (1993)
Moskowitz and
Journal of Finance
Grinblatt (1999)
Journal of
Accounting, Gu (2005)
Auditing & Finance

Quarterly Review
Head, Smith and
of Economics &
Wilson (2007)
Finance
Financial Analyst Frank, Ma and

Journal Oliphant (2008)
Review of Lehavy and Sloan

Accounting Studies (2008)
Korniotis and
Working Paper
Kumar (2009)
Cooper, Gulen and
Journal of Finance Ovtchinnikov
(2010)
Edmans (2011)
Economics
Journal of Financial Chen, Kacperczyk

and Quantitative and Ortiz-Molina
Analysis (2011)
Da, Liu and

Working Paper Schaumburg
(2011)
Working Paper Patatoukas (2011)
Journal of
Garcia and Norli
Financial
(2012)
Economics
Journal of
Kim, Pantzalis and
Financial
Park (2012)
Economics
Bazdresch, Belo
Working Paper
and Lin (2012)
Journal of Financial Hirshleifer, Hsu

Economics and Li (2012)
Journal of
Larcker, So and
Accounting and
Wang (2013)
Economics
Journal of Finance Ofer (1975)

Journal of Finance Basu (1977)
Litzenberger and
Ramaswamy
Economics
(1979)
Basu (1983)
Economics
Hawkins,
Financial Analyst
Chamberlin and
Journal
Daniel (1984)
Financial Analyst McConnell and

Journal Sanger (1984)
Financial Analyst Bauman and

Journal Dowen (1988)
Journal of Finance Bhandari (1988)
Journal of
Ou and Penman
Accounting &
(1989)
Economics
Journal of
Holthausen and
Accounting &
Larcker (1992)
Economics
Loughran and
Journal of Finance
Ritter (1995)
Journal of
Lev and Sougiannis
Accounting &
(1996)
Economics
Journal of Finance La Porta (1996)
Brennan, Chordia
(1998)
Accounting Review Botosan (1997)
Ackert and
Athanassakos
Research
(1997)
Daniel and Titman

Journal of Finance
(1997)
Journal of
Accounting and Beneish (1997)
Public Policy
Accounting Abarbanell and

Review Bushee (1998)
Journal of Finance Ilia (1998)
Journal of
Frankel and Lee
Accounting and
(1998)
Economics
Asness, Porter and
Working Paper
Stevens (2000)
Journal of
Accounting Piotroski (2000)
Research
Pieter, Lo and
Accounting Review
Pfeiffer (2011)
Quarterly Journal Gompers and

Barber, Lehavy,
Journal of Finance McNichols and
Trueman (2001)
Penman and Zhang

Working Paper
(2002)
Jeffrey, Lundholm
Review of
and Soliman
Accounting Studies
(2003)

Quarterly Journal Gompers, Ishii and

Fairfield,
Accounting Review Whisenant and
Yohn (2003)
Rajgopal, Shevlin
Review of and
Accounting Studies Venkatachalam
(2003)
Jegadeesh, Kim,
Journal of Finance Krische and Lee
(2004)
Allan, Maxwell and

Journal of Finance
Siddique (2004)
Titman, Wei and
and Quantitative
Xie (2004)
Analysis
Cremers and Nair

Journal of Finance
(2005)
Lev, Nissim and

Working Paper
Thomas (2005)
Contemporary
Lev, Sarath and
Accounting
Sougiannis (2005)
Research
Review of
Mohanram (2005)
Accounting Studies
Anderson and
Journal of Finance Garcia-Feijoo
(2006)
Hou and Robinson
Journal of Finance
(2006)

Daniel and Titman

Journal of Finance
(2006)

Economics (2006)
Cen, Wei and

Working Paper
Zhang (2006)
Journal of Bradshaw,
Accounting and Richardson and
Economics Sloan (2006)
Franzoni and Marin

Journal of Finance
(2006)
Journal of
Narayanamoorthy
Accounting
(2006)
Research
Seoul Journal of Baik and Ahn

Business (2007)
Brown and Rowe

Working Paper
(2007)
Kumar, Sorescu,
Review of Financial
Boehme and
Studies
Danielsen (2008)
Review of Financial Garlappi, Shu and

Studies Yan (2008)
Cooper, Gulen and

Journal of Finance
Schill (2008)
Pontiff and
Journal of Finance
Woodgate (2008)
Accounting Review Gu and Lev (2008)
Gu, Wang and Ye

Working Paper
(2008)
Accounting Review Soliman (2008)
Chandrashekar
Working Paper
and Rao (2009)
Working Paper Binsbergen (2009)

Avramov, Chordia,
Jostova and
Economics
Philipov (2009)
Fu (2009)
Economics
Hahn and Lee

Journal of Finance
(2009)
Chemmanur and
Working Paper
Yan (2009)
Gow and Taylor

Working Paper
(2009)
Journal of Empirical
Huang (2009)
Finance
Review of Financial
Tuzel (2010)
Studies
Journal of
An, Bhojraj and Ng
Accounting,
(2010)
Auditing & Finance
Journal of
An, Bhojraj and Ng
Accounting,
(2010)
Auditing & Finance
Armstrong,
Working Paper Banerjee and
Corona (2010)
Finance Wang (2010)
Finance Wang (2010)
Financial
Simutin (2010)
Management
Review of Financial
Li (2011)
Studies
Eisfeldt and
Working Paper Papanikolaou
(2011)


Hafzalla, Lundholm
Accounting Review and Van Winkle
(2007)
Hess, Kreutzmann
Working Paper
and Pucker (2011)
Landsman, Miller,
Accounting Review Peasnell and Shu
(2011)
Review of
Li (2011)
Accounting Studies
Nyberg and Poyry

Working Paper
(2011)
Journal of
Thomas and Zhang
Accounting
(2011)
Research
Review of Wahlen and

Accounting Studies Wieland (2011)
Contemporary
Callen, Khan and
Accounting
Lu (2011)
Research
Journal of
Financial Palazzo (2012)
Economics
Working Paper Donangelo (2012)
Working Paper Wang (2012)
Working Paper Li (2012)
Contemporary
Prakash and Sinha
Accounting
(2012)
Research
Price, Doran,
Journal of Banking
Peterson and Bliss
and Finance
(2012)
Working Paper So (2012)

Financial Analysts Beneish, Lee and
Journal Nichols (2013)
Review of Financial Cohen, Diether and

Studies Malloy (2013)
Novy-Marx (2013)
Economics
Working Paper Valta (2013)

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1965 Market return THEORY Common financial

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1967 1 Total volatility Individual stock volatility Individual financial

Market return THEORY Common financial

1972 1 Market return Equity index return Common financial

1972 Market return THEORY Common financial

Market return Equity index return Common financial

1973 2 Beta squared Square of market beta Common financial

2 Idiosyncratic volatility Residual stock volatility from CAPM Individual financial

1973 High order market return THEORY Common financial

1974 World market return THEORY Common financial

Projecting firm earnings growth based on market

Market return Equity index return Common financial

3 Squared market return Square of equity index return Common financial

Market return Equity index return Common financial

Market return Equity index return Common financial

Index of long-term Aa utility bonds with deferred

Principle components extracted from returns of

1981 World consumption THEORY Common macro

1981 6 Firm size Market value of firm stocks Individual financial

Institutional concentration rankings from Standard

Announcement that a company has filed a formal Individual

Market return Equity index return Common financial

Industrial production Seasonally adjusted monthly growth rate of

Change in expected Change in expected inflation as defined in Fama

1985 7 Unanticipated inflation Realized minus expected inflation Common macro

Risk premium measured as difference in return

1986 Expected inflation THEORY Common macro

Change in the yield of long-term government

Industrial production Seasonally adjusted monthly growth rate of

Unanticipated inflation Realized minus expected inflation Common macro

Changes in expected Changes in expected inflation as defined in Fama

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

Long-term growth Long-term growth forecasts proxied by the five- Individual

Short-term (one month) and long-term (twelve

Market return Equity index return Common financial

Real per capita growth of personal consumption

Baa corporate bond return less monthly long-term

Difference between actual and time-series

Return on a zero-investment portfolio long in small Common

Return signs predicted by a logit model using Individual

1993 14 Return momentum Past stock returns Individual other

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

High order market and

Market return Equity index return Common financial

Return on a zero-investment portfolio long in small Common

Return on a zero-investment portfolio long in Common

Difference in return between long-term

Difference in return between long-term corporate

US dollar return of the MSCI world equity market in

Change in weighted Log first difference of the trade-weighted US dollar

Weighted real short-term GDP weighted average of short-term interest rates

Change in G-7 industrial

Unexpected inflation for Unexpected inflation based on a time-series model

US dollar return of the MSCI world equity market in

Change in the monthly average US dollar price per

New public stock Individual

16 Dividend initiations Initiations of cash dividend payments Individual financial

17 Dividend omissions Omissions of cash dividend payments Individual financial

M2 or M3 minus currency, divided by total

Returns on physical Inferred from investment data via a production