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Year Risk factor Formation Type Journal
1964 Market return THEORY Common financial Journal of Finance
1965 Market return THEORY Common financial Journal of Finance
1966 Market return THEORY Common financial Econometrica
1967 1 Total volatility Individual stock volatility Individual financial
1972
Market return THEORY Common financial
Journal of Finance
THEORY Common macro
1972 1 Market return Equity index return Common financial
1972 Market return THEORY Common financial Journal of Business
Common #
Indi. #
Yale Economic Essays
Relative prices of consumption goods
Studies in the Theory of Capital
Markets
HLZ: For this sheet, all factors ("common" & "individual") are sorted by year.
1973 THEORY Econometrica
1973
Market return Equity index return Common financial
2 Beta squared Square of market beta Common financial
2 Idiosyncratic volatility Residual stock volatility from CAPM Individual financial
1973 THEORY Common financial
1974 World market return THEORY Common financial
1974 THEORY Common financial
1975 3 Journal of Finance
1976
Market return Equity index return Common financial
Journal of Finance
State variables representing future
investment opportunityCommon
financial/macro
Journal of Political Economy
High order market return
Journal of Financial and Quantitative
Analysis
Journal of Economic Theory
Individual investor resources
Journal of Financial
Economics
Earnings growth expectations
Projecting firm earnings growth based on market beta, firm size, dividend payout ratio, leverage
and earnings variabilityIndividual
accounting
1976
3 Squared market return Square of equity index return Common financial
Journal of Finance
1977 4 PE ratio Firm price-to-earnings ratio Journal of Finance
1978 THEORY Common macro Econometrica
1979
5 Dividend yield Dividend per share divided by share price
Market return Equity index return Common financial
1979 THEORY Common macro
1980 Short sale restrictions THEORY Journal of Finance
1981
Market return Equity index return Common financial
Journal of FinanceTreasury bond return 3-month US Treasury bill return Common financial
Individual accounting
Marginal rate of substitution
Individual accounting Journal of
Financial Economics
Aggregate real consumption
Journal of Financial
Economics
Individual microstructure
1981
Corporate bond return Common financial
Journal of Finance
1981 4 Treasury bill return Common financial Journal of Finance
1981 World consumption THEORY Common macro
1981 Transaction costs THEORY Journal of Finance
1981 6 Firm size Market value of firm stocks Individual financial
1981 7 Short interest Equity short interest
1982 THEORY Common financial Journal of Business
1983 8 EP ratio Firm earnings-to-price ratio
Index of long-term Aa utility bonds with deferred calls returns
Principle components extracted from returns of Treasury bills
Journal of Financial
Economics
Individual microstructure
Journal of Financial
Economics
Individual microstructure
Journal of Financial and Quantitative
Analysis
Individual consumer's wealth
Individual accounting
Journal of Financial
Economics
1983 THEORY Common financial Journal of Finance
1983 Institutional holding Individual other
1984 Earnings expectations Consensus earnings expectations
1984 New listings dummy
1985
Market return Equity index return Common financial
5 Common macro
6 Common macro
7 Unanticipated inflation Realized minus expected inflation Common macro
8 Credit premium Common financial
Foreign exchange rate change
Institutional concentration rankings from Standard and Poor's
Financial Analyst Journal
Individual accounting
Financial Analyst Journal
Announcement that a company has filed a formal application to list on the NYSE
Individual accounting
Financial Analyst Journal
Journal of Financial
Economics
Industrial production growth
Seasonally adjusted monthly growth rate of industrial production
Change in expected inflation
Change in expected inflation as defined in Fama and Gibbons (1984)
Risk premium measured as difference in return between ``under Baa" bond portfolio and long-
term government bond portfolio
1985
9 Term structure Common financial
1985 9 Long-term past abnormal return Individual other Journal of Finance
1985 THEORY Common financial Econometrica
1986 Transaction costs THEORY
1986 Transaction costs THEORY
1986 Expected inflation THEORY Common macro Journal of Finance
1986 10 Long-term interest rate Common financial Journal of Finance
1986
Common macro
Journal of Business
Journal of Financial
Economics
Yield curve slope measured as difference in return between long-term government bond and
1-month Treasury bill
Long-term return reversal
Investment opportunity change
Common microstructure
Journal of Financial
Economics
Common microstructure
Journal of Political Economy
Change in the yield of long-term government bonds
Industrial production growth
Seasonally adjusted monthly growth rate of industrial production
1986
Credit premium Common financial
Journal of Business
Term structure Common financial
Unanticipated inflation Realized minus expected inflation Common macro
Common macro
11 Change in oil prices Growth rate in oil prices Common macro
1988 10 Debt to equity ratio Non-common equity liabilities to equity Journal of Finance
1988
1989 12 Consumption growth Per capita real consumption growth Common macro Journal of Finance
1989 11 Illiquidity Illiquidity proxied by bid-ask spread Journal of Finance
Risk premium measured as difference in return between ``under Baa" bond portfolio and long-
term government bond portfolio
Yield curve slope measured as difference in return between long-term government bond and
1-month Treasury bill
Changes in expected inflation
Changes in expected inflation as defined in Fama and Gibbons (1984)
Individual accounting
Long-term growth forecasts
Long-term growth forecasts proxied by the five-year earnings per share growth rate forecasts
Individual accounting
Financial Analyst Journal
Individual microstructure
1989 12
1990 13 Return predictability Journal of Finance
1991
Market return Equity index return Common financial
Consumption growth Common macro
Credit spread Common financial
13 Common financial
Unexpected inflation Common macro
14 Real short rate One-month Treasury bill return less inflation rate Common financial
1992
15 Size
Journal of Finance
16 Value
Predicted earnings change
Predicted earnings change in one year based on a financial statement analysis that combines a large
set of financial statement itemsIndividual
accountingJournal of
Accounting & Economics
Short-term (one month) and long-term (twelve months) serial correlations in returns Individual financial
Journal of Political Economy
Real per capita growth of personal consumption expenditures for nondurables & services
Baa corporate bond return less monthly long-term government bond return
Change in the slope of the yield curve
Change in the difference between a 10-year Treasury bond yield and a 3-month Treasury bill
yield
Difference between actual and time-series forecasts of inflation rate
Return on a zero-investment portfolio long in small stocks and short in large stocks
Common accounting
Return on a zero-investment portfolio long in growth stocks and short in value stocks
Common accounting
1992 Return momentum Individual financial
1992 Predicted return signs
1993 14 Return momentum Past stock returns Individual other Journal of Finance
1993
Return on S&P stocks Returns on S&P stocks Common financial
Returns on non-S&P stocks Common financial
1993 High order equity index returns and bond returns Common financial Journal of Finance
1993
Market return Equity index return Common financial
Size
Value
Size and beta adjusted mean prior five-year returns
Journal of Financial
Economics
Return signs predicted by a logit model using financial ratios
Individual accounting
Journal of Accounting &
Economics
Review of Financial Studies
Returns on non-S&P stocks
High order market and bond return
Journal of Financial
Economics
Return on a zero-investment portfolio long in small stocks and short in large stocks
Common accounting
Return on a zero-investment portfolio long in growth stocks and short in value stocks
Common accounting
1993
Term structure Common financial
Credit risk Common financial
1993
World equity return Common financial
Common financial
Change in long-term inflationary expectations Common macro
Common financial
Change in oil price Common macro
Common financial
Change in G-7 industrial production Common macro
Common macro
1994
17 World equity return Common financial
Journal of Financial
Economics
Difference in return between long-term government bond and one-month Treasury bill
Difference in return between long-term corporate bond and long-term government bond
US dollar return of the MSCI world equity market in excess of a short-term interest rate
Review of Financial Studies
Change in weighted exchange rate
Log first difference of the trade-weighted US dollar price of ten industrialized countries'
currencies
Change in long-term inflationary expectations
Weighted real short-term interest rate
GDP weighted average of short-term interest rates in G-7 countries
Change in the monthly average US dollar price per barrel of crude oil
Change in the Eurodollar-Treasury yield
spreadFirst difference of the spread between the 90-day Eurodollar yield and the 90-day Treasury-bill yield
Change in G-7 industrial production
Unexpected inflation for the G-7 countries
Unexpected inflation based on a time-series model on an aggregate G-7 inflation rate
US dollar return of the MSCI world equity market in excess of a short-term interest rate
Journal of Banking and Finance
1994
18 Common financial
19 Change in long-term inflationary expectations Common macro
Change in oil price Common macro
1994
20 Tax rate for capital gains Short-term capital gains tax rate
Journal of Finance
21 Tax rate for dividend Dividend tax rate
1995
22 Change in expectation from economic surveys Common macro
Journal of Finance
23 Change in expected GNP Change in expectation from economic surveys Common macro
1995 15 New public stock issuance Journal of Finance
1995
16 Dividend initiations Initiations of cash dividend payments Individual financial
Journal of Finance
17 Dividend omissions Omissions of cash dividend payments Individual financial
Journal of Banking and Finance
Change in weighted exchange rate
Log first difference of the trade-weighted US dollar price of ten industrialized countries'
currencies
Change in long-term inflationary expectations
Change in the monthly average US dollar price per barrel of crude oil
Common accounting
Common accounting
Change in expected inflation
New public stock issuance
Individual accounting
1995 Whether a firm makes seasoned equity offerings Individual financial
1996 24 Money growth Common macro Journal of Finance
1996 25 Common macro
1996
Market return Equity index return Common financial
Labor income Real labor income growth rate Common macro
Dividend yield Dividend yield on value-weighted index Common financial
Interest rate Treasury bill rate less 1-year moving average Common financial
Term structure Long-short government bond yield spread Common financial
1996
Market return Equity index return Common financial
Journal of Finance
Seasoned equity offerings
Journal of Financial
Economics
M2 or M3 minus currency, divided by total population
Returns on physical investment
Inferred from investment data via a production function
Journal of Political Economy
Journal of Political Economy
1996 Slope of yield curve Long-short government bond yield spread Common financial Journal of Finance
Labor income Real labor income growth rate Common macro
1996 18 Earnings forecast Errors in analysts' forecasts on earnings growth Journal of Finance
1996 19 R&D capital R&D capital over total assets
1996 20 Accruals Accounting Review
1996
21 Buy recommendations Buy recommendations from security analysts Individual financial
Journal of Finance
22 Sell recommendations Sell recommendations from security analysts Individual financial
1996 23 Credit rating Individual other
Individual accounting
Individual accounting
Journal of Accounting &
Economics
Accruals defined by the change in non-cash current assets, less the change in current
liabilities, less depreciation expense, all divided by average total assets
Individual accounting
Institutional investor country credit rating from semi-annual survey
Journal of Portfolio Management
1996 24 Illiquidity
1997 Common macro Journal of Finance
1997
Common financial
Common financial
Value strategy return Common financial
Common financial
Common financial
1997
Size
Journal of Finance
Value
Market return Equity index return Common financial
Derivative transaction price with respect to signed trade size
Individual microstructure
Journal of Financial
Economics
Nonlinear functions of consumption growth
Low order orthonormal polynomials of current and future consumption growth
Opportunistic strategy return
Return for hedge funds that follow an opportunistic strategy
Review of Financial Studies
Global/macro strategy return
Return for hedge funds that follow a global/macro strategy
Return for hedge funds that follow a value strategy
Trend following strategy return
Return for hedge funds that follow a trend following strategy
Distressed investment strategy return
Return for hedge funds that follow a distressed investment strategy
Return on a zero-investment portfolio long in small stocks and short in large stocks
Common accounting
Return on a zero-investment portfolio long in growth stocks and short in value stocks
Common accounting
1997
27 Momentum Common other
Journal of Finance
1997
Size Market value of equity
Book-to-market ratio
Momentum Past cumulative stock return Individual financial
25 Trading volume Dollar volume traded per month
1997 26 Disclosure level Accounting Review
1997 27 Standard deviation of earnings forecasts
1997
Size Market value of equity
Journal of Finance
Value
1997
Return on a zero-investment portfolio long in past winners and short in past losers
Individual accounting
Journal of Financial
Economics
Book value of equity plus deferred taxes to market value of equity
Individual accounting
Individual microstructure
Voluntary disclosure level of manufacturing firms' annual reports
Individual accounting
Earning forecasts uncertainty
Individual accounting
Journal of Financial Research
Individual accounting
Book value of equity plus deferred taxes to market value of equity
Individual accounting
Earnings management likelihood
Earnings management likelihood obtained by regressiong realized violators of Generally
Accepted Accounting Principles on firm characteristics
Individual accounting
Journal of Accounting and
Public Policy
1997 28 Corporate acquisitions Individual financial Journal of Finance
1998 Fundamental analysis
1998 Firm fundamental value
1998 29 Bankruptcy risk The probability of bankruptcy from Altman (1968) Journal of Finance
1998 30 Illiquidity
1999 28 Common financial Journal of Finance
1999 31 Industry momentum Industry-wide momentum returns Individual other Journal of Finance
Difference between stock mergers and cash tender offers for corporate acquisitions
Investment signals constructed using a collection of variables that relate to contemporaneous changes in inventories, accounts receivables,
gross margins, selling expenses, capital expenditures, effective tax rates, inventory
methods, audit qualifications, and labor force sales productivity.
Individual accounting
Accounting Review
Firms' fundamental values estimated from I/B/E/S consensus forecasts and a residual
income modelIndividual
accountingJournal of
Accounting and Economics
Individual accounting
Liquidity proxied by the turnover rate: number of shares traded as a fraction of the number of
shares outstandingIndividual
microstructureJournal of
Financial Markets
Fitted return based on predictive regressions
Expected portfolio return obtained by projecting historical returns on lagged macro instruments,
including term spreads, dividend yield, credit spread and short-term Treasury bill
1999 Debt offerings Individual financial
2000 29 Entrepreneur income Proprietary income of entrepreneurs Common financial Journal of Finance
2000 30 Coskewness Common financial Journal of Finance
2000 32 Trading volume Past trading volume Journal of Finance
2000
33 Within-industry size Individual financial
Working Paper
34 Within-industry value
35
36
37 Individual financial
Whether a firm makes straight and convertible debt offerings
Journal of Financial
Economics
Excess return on a portfolio which long stocks with low past coskewness
Individual microstructure
Difference between firm size and average firm size within the industry
Difference between firm book-to-market ratio and average book-to-market ratio within the
industryIndividual
accounting
Within-industry cashflow to price ratio
Difference between firm cashflow to price ratio and average cashflow to price ratio within the
industryIndividual
accounting
Within-industry percent change in employees
Difference between firm percent change in employees and average percent change in
employees within the industryIndividual
accounting
Within-industry momentum
Difference between firm past stock prices and average past stock prices within the industry
2000 38
2001
Consumption growth Per capita real consumption growth rate Common macro
31 Common macro
2001
39 Level of liquidity Level of dollar trading volume and share turnover
40 Variability of liquidity
2001 41 Financial constraints Individual financial
2001 Straddle return Common financial
2001 Journal of Finance
Financial statement information
A composite score based on historical financial statement that separates winners from losers
Individual accounting
Journal of Accounting Research
Journal of Political Economy
Consumption-wealth ratio
Proxied by a weighted average of human and nonhuman wealth
Individual microstructure Journal of
Financial EconomicsVolatility of dollar trading volume and share
turnoverIndividual
microstructure
Measure financial constraints with Kaplan and Zingales (1997) index
Review of Financial Studies
Lookback straddles' returns constructed based on option prices
Review of Financial Studies
Consensus recommendations
Consensus recommendations measured by the average analyst recommendations
Individual accounting
2001 42 Bond rating changes Moody's bond ratings changes Individual financial Journal of Finance
2001 43 Analysts' forecasts Financial analysts' forecasts of annual earnings Accounting Review
2001 44 Institutional ownership Institutional holdings of firm assets
2002
Market return Equity index return Common financial
Journal of Finance
Squared market return Squared equity index return Common financial
Labor income growth Smoothed labor income growth rate Common financial
32 Squared smoothed labor income growth rate Common financial
2002 45 Distress risk Distress risk as proxied by Ohlson's O-score Individual financial Journal of Finance
2002 46 Analyst dispersion Dispersion in analysts' earnings forecasts Journal of Finance
Individual accounting
Individual accounting
Quarterly Journal of Economics
Squared labor income growth
Individual behavioral
2002 47 Breadth of ownership
2002 48 Information risk Journal of Finance
2002 49 Short-sale constraints Shorting costs for NYSE stocks
2002 50 Earnings sustainability Working Paper
2002 33 Market illiquidity
2003 34 GDP growth news Common macro
2003 35 Market liquidity
2003
Individual financial
Ratio of the number of mutual funds holding long positions in the stock to total number of mutual
fundsIndividual
microstructureJournal of Financial
Economics
Probability of information-based trading for individual stock
Individual microstructure
Individual microstructure
Journal of Financial
Economics
A summary score based on firm fundamentals that informs about the sustainability of earning
Individual accounting
Average over the year of the daily ratio of the stock's absolute return to its dollar trading
volumeCommon
microstructureJournal of
Financial Markets
GDP growth news obtained from predictive regressions on lagged equity and fixed-
income portfolios
Journal of Financial
Economics
Aggregated liquidity based on firm future excess stock return regressed on current signed excess
return times trading volumeCommon
microstructureJournal of Political
Economy
Idiosyncratic return volatility
Residual variance obtained by regressing daily stock returns on market index return
Journal of Financial
Economics
2003 Transaction costs Bid-ask spread, volume, etc.
Investor sophistication Number of analysts or institutional owners
2003 51 Shareholder rights
2003 52 Excluded expenses Excluded expenses in firm's earnings reports
2003 53 Growth in long-term net operating assets Accounting Review
2003 54 Order backlog
2003 55 Return consistency Consecutive returns with the same sign Individual financial
2004 36 Cross-sectional consumption growth variance Common macro Journal of Finance
Journal of Financial
EconomicsIndividual
microstructure
Individual accounting
Shareholder rights as proxied by an index using 24 governance rules
Individual accounting
Quarterly Journal of Economics
Individual accounting
Review of Accounting Studies
Growth in long-term net operating assets
Individual accounting
Order backlog divided by average total assets, transformed to a scaled-decile variable
Individual accounting
Review of Accounting Studies
Journal of Behavioral Finance
Idiosyncratic consumption
2004
37 Cash flow news News about future market cash flow Common financial
38 Discount rate news News about future market discount rate Common financial
2004
Market return Equity index return Common financial
39 Index option returns Return on S\&P 500 index option Common financial
2004 40 Default risk Common financial Journal of Finance
2004
41 Real interest rate Common financial
Journal of Finance
42 Common financial
2004 43 Common other
2004 56 Journal of Finance
American Economic Review
Review of Financial Studies
Firm default likelihood using Merton's option pricing model
Real interest rates extracted from a time-series model of bond yields and expected inflation
Maximum Sharpe ratio portfolio
Maximum Sharpe ratio portfolio extracted from a time-series model of bond yields and expected
inflation
Return reversals at the style level
Zero-investment portfolios sorted based on past return performance at the style level
Journal of Financial
Economics
Unexpected change in R&D
Unexpected change in firm research and expenditures
Individual accounting
2004 57 52-week high Nearness to the 52-week high price Individual financial Journal of Finance
2004 58 Journal of Finance
2004 59 Put-call parity Violations of put-call parity Individual financial
2004 60
2005 44 Three-year consumption growth rate Common macro
2005 45 Long run consumption Common macro Journal of Finance
2005 46 Housing price ratio Ratio of housing to human wealth Common financial Journal of Finance
2005
61 Proxies for corporate control
Journal of Finance
Analysts' recommendations
Consensus analysts' recommendations from sell-side firms
Individual accounting
Journal of Financial
Economics
Abnormal capital investment
Past year capital expenditures scaled by average capital expenditures for previous three years
Individual accounting
Journal of Financial and Quantitative
Analysis
Long-horizon consumption growth
Journal of Political Economy
Cash flow risk measured by cointegration residual with aggregate consumption
External corporate governance
Individual accounting
2005
62 Proxies for share-holder activism
Journal of Finance
2005
Market return Equity index return Common financial
47 Market liquidity
63 Individual stock liquidity
2005 64 Price delay Delay in a stock price's response to information
2005 65 Heterogeneous beliefs Individual financial
2005 66 Short-sale constraints
2005 67 Short-sale constraints
2005 68 Patent citation Individual other
Internal corporate governance
Individual accounting
Journal of Financial
Economics Value-weighted individual stock illiquidity as
defined in Amihud (2002) Common
microstructure
Individual stock illiquidity as defined in Amihud (2002)
Individual microstructure
Individual microstructure
Review of Financial Studies
Factors constructed from disagreement among analysts about expected short- and long-term
earningsReview of
Financial Studies
Short-sale constraint proxied by Institutional ownership
Individual microstructure
Journal of Financial
Economics
Short-sale constraint proxied by short interest and institutional ownership
Individual microstructure
Journal of Financial
Economics
Change of patent citation impact deflated by average total assets
Journal of Accounting,
Auditing & Finance
2005 69 Information uncertainty Individual financial
2005 70 Adjusted R&D Working Paper
2005 71 R&D reporting biases
2005 72 Growth index
2006
Market return Equity index return and its square Common financial
Index option return Index option return and its square Common financial
Product of market and option returns Common financial
2006 48 Financing frictions Default premium Common financial
2006
49 Household investment growth Common macro
Journal of Business
Information uncertainty proxied by firm age, return volatility, trading volume or cash flow
durationReview of
Accounting Studies
Adjusted R&D that incorporates capitalization and amortization
Individual accounting
R&D reporting biases proxied by the difference between R&D growth and earnings growth
Individual accounting
Contemporary Accounting Research
A combined index constructed based on earnings, cash flows, earnings stability, growth stability and
intensity of R&D, capital expenditure and advertising
Individual accounting
Review of Accounting Studies
Review of Financial Studies
Interaction between index and option return
Review of Financial Studies
Investment growth by households
2006
50 Common macro
Journal of Business
51 Common macro
52 Financial firms investment growth Common macro
2006 Third to tenth power of market return Common financial Journal of Business
2006 73 Financial constraints Individual financial
2006 53 Downside risk Common financial
2006
54 Systematic volatility Common financial
Journal of Finance
74 idiosyncratic volatility Individual financial
2006 55 Investor sentiment Journal of Finance
Investment growth by nonfarm nonfinancial
corporate firmsNonfarm nonfinancial corporate firms investment
growth
Investment growth by nonfarm noncorporate
businessNonfarm noncorporate business investment
growth
Investment growth by financial firms
Third to tenth power of market return
Constraint index estimated from a firm's investment Euler equation
Review of Financial Studies
Correlation with index return conditional on index return being below a threshold value
Review of Financial Studies
Aggregate volatility relative to Fama and French (1992) three-factor model
Idiosyncratic volatility relative to Fama and French (1992) three-factor model
Composite sentiment index based on various sentiment measures
Common behavioral
2006 56 Retail investor sentiment Journal of Finance
2006 57 Durable and nondurable consumption growth Common macro Journal of Finance
2006
Market return Equity index return Common financial
Journal of Finance
58 Trading volume
2006 59 Liquidity
2006 60 Earnings
2006 61 Liquidity
2006 75 Capital investment Capital expenditure growth Journal of Finance
Systematic retail trading based on transaction data
Common behavioral
Durable and nondurable consumption growth
Return on a hedge portfolio constructed using trading volume and market returns
Common microstructure
Market-wide liquidity constructed first by decomposing firm-level liquidity into variable and
fixed price effects then averaging the variable component
Common microstructure
Journal of Financial
Economics
Return on a zero-investment portfolio long in stocks with high earnings surprises and short in
stocks with low earnings surprisesCommon
accountingJournal of Financial
Economics
Turnover-adjusted number of days with zero trading over the prior 12 months
Common microstructure
Journal of Financial
Economics
Individual accounting
2006 76 Industry concentration Journal of Finance
2006
77 Environment indicator Individual other
78 Employment indicator Individual other
79 Community indicator Individual other
2006 80 Intangible information Journal of Finance
2006
81 Profitability Expected earnings growth
82 Investment Expected growth in book equity
Book-to-market
2006 83 Net financing
Industry concentration as proxied by the Herfindahl index
Individual accounting
A composite index measuring a firm's environmental responsibility
Financial Management
A composite index measuring employee responsibility
A composite index measuring community responsiveness
Residuals from cross-sectional regression of firm returns on fundamental growth measures
Individual accounting
Individual accounting
Journal of Financial
EconomicsIndividual
accounting
Book value of equity plus deferred taxes to market value of equity
Individual accounting
Net amount of cash flow received from external financing
Individual accounting
Journal of Accounting and
Economics
2006 84 Analysts' forecasted earnings per share Working Paper
2006 85 Pension plan funding Journal of Finance
2006 86 Acceleration Individual financial Working Paper
200t6 87
2007 62 Payout yield Journal of Finance
2007
63 Productivity Productivity level as in King and Rebelo (2000) Common macro
64 Capital stock Common macro
2007 65 Common macro Journal of Finance
Forecasted earnings per share
Individual accounting
Pension plan funding status calculated as the difference between the fair value of plan assets and the projected benefit obligation, divided by
market capitalization
Individual accounting
Firm's ranking on change in six-month momentum relative to the cross-section of other
firms
Unexpected earnings' autocorrelations
Standardized unexpected earnings' autocorrelations via the sign of the most recent
earnings realizationIndividual
accountingJournal of
Accounting Research
Return on a zero-investment portfolio long in high-yield stocks and short in low-yield stocks
Common accounting
Journal of Financial
EconomicsQuarterly capital stock interpolated from annual data
Fourth-quarter to fourth-quarter
consumption growth Fourth-quarter to fourth-quarter consumption
growth rate
2007 88 Credit rating S&P firm credit rating Individual financial Journal of Finance
2007 89 Trader composition Working Paper
2007 90 Change in order backlog Change in order backlog
2007 91 Firm productivity Working Paper
2007 92 Individual financial Working Paper
2007 93 Ticker symbol Creativity in stocks' ticker symbols Individual other
2007 66 Earnings cyclicality Common macro Working Paper
2008
67 Common financial
Fraction of total trading volume of a stock from institutional trading
Individual microstructure
Individual accounting
Seoul Journal of Business
Firm productivity measured by returns on invested capital
Individual accounting
Insider forecasts of firm volatility
Future firm volatility obtained from executive stock options
Quarterly Review of Economics &
Finance
Sensitivity of earnings to changes in aggregate total factor productivity
Market volatility innovation
Difference in monthly average of squared daily return differences
Review of Financial Studies
2008
94 Firm age Firm's public listing age
Market return Equity index return Common financial
95 Product of market volatility and firm age
2008
68 Common financial
Journal of Finance
69 Common financial
2008 70 Investment growth Common financial
2008
71 Across-state mean consumption growth rate Common macro
72 Across-state consumption growth variance Common macro
73 Mean habit growth Across-state mean habit growth rate Common macro
74 Variance of habit growth Across-state habit growth variance Common macro
Review of Financial Studies
Individual accounting
Interaction between market volatility and
firm ageIndividual
accounting
Short-run market volatility
High frequency volatility extracted from a time-series model of market returns
Long-run market volatility
Low frequency volatility extracted from a time-series model of market returns
Return on a zero-investment portfolio long in low investment growth firms and short in high
investment growth firmsReview of
Financial Studies
Mean consumption growth
Review of Financial Studies
Variance of consumption growth
2008 75 Liquidity
2008 96 Individual financial
2008 97 Distress Individual financial Journal of Finance
2008
98 Shareholder advantage Benefits from renegotiation upon default
99
2008 100 Asset growth Year-on-year percentage change in total assets Journal of Finance
2008 101 Share issuance Annual share issuance based on adjusted shares Journal of Finance
2008 Working Paper
Systematic liquidity extracted from eight empirical liquidity measures
Common microstructure
Journal of Financial
Economics
Country-level idiosyncratic volatility
Weighted average of variances and auto-covariances of firm-level idiosyncratic return
shocksReview of
Financial Studies
Distressed firm failure probability estimated based on a dynamic logit model
Individual accounting
Review of Financial StudiesInteraction between
shareholder advantage and implied market
value of assets
Implied market value of assets provided by Moody's KMV
Individual accounting
Individual accounting
Individual accounting
Earnings announcement return
Earnings announcement return capturing the market reaction to unexpected information
contained in the firm's earnings releaseIndividual financial
2008 102 Firm economic links Individual financial Journal of Finance
2008 103 Sin stock Individual other
2008 104 Goodwill impairment Buyers' overpriced shares at acquisition Accounting Review
2008 105 Changes in order backlog on future profitability Working Paper
2008 106 Investor recognition Individual other
2008 107 DuPont analysis Sales over net operating assets in DuPont analysis Accounting Review
2008 108 Small trades Volume arising from small trades
2008 76 Common financial Working Paper
Economic links proxied by return of a portfolio of its major customers
Stocks in the industry of adult services, alcohol, defense, gaming, medical and tobacco
Financial Analyst Journal
Individual accounting
Information in order backlog
Individual accounting
Investor recognition proxied by the change in the breadth of institutional ownership
Review of Accounting Studies
Individual accounting
Individual microstructure
Review of Financial Studies
Idiosyncratic component of S&P 500 return
Residual of the linear projection of the S&P 500 return onto the CRSP value weighted index return
2009
77 Common macro
Journal of Finance
78 Cash flow duration Common macro
2009 Financial constraints THEORY Journal of Finance
2009 79 Aggregated microlevel stockholder consumption Common macro Journal of Finance
2009 80 Takeover likelihood Common financial
2009 81 Illiquidity
2009 82 Cash flow
2009
83 Investors' beliefs Common other
84 Investors' uncertainty Common other
Cash flow covariance with aggregate consumption
Cash flow covariance with aggregate consumption
Cash flow duration sensitivity to aggregate consumption
Common financial/macro
Long-run stockholder consumption growth
Estimated via a logit model of regressing ex-post acquisition indicator on various firm- and
industry-level accounting variablesReview of
Financial Studies
Estimated using structural formula in line with Kyle's (1985) lambda
Common microstructure
Review of Financial Studies
Aggregate earnings based on revisions to analyst earnings forecasts
Common accounting
Journal of Financial
Economics
Belief extracted from a two-state regime-switching model of aggregate market return and
aggregate output Review of Financial StudiesUncertainty extracted from a two-state regime-
switching model of aggregate market return and aggregate output
2009 109 Media coverage Firm mass media coverage Journal of Finance
2009 110 Financial distress Credit rating downgrades
2009 111 Idiosyncratic volatility
2009 112 Debt capacity Journal of Finance
2009
113
114 Difference between call and put implied volatility
2009 115 Productivity of cash Working Paper
2009 116 Advertising Change in expenditures on advertising Working Paper
Individual behavioral
Individual accounting
Journal of Financial
Economics
Conditional expected idiosyncratic volatility estimated from a GARCH model
Individual accounting
Journal of Financial
Economics
Firm tangibility as in Almeida and Campello (2007)
Individual accounting
Realized-implied volatility spread
Difference between past realized volatility and the average of call and put implied volatility Individual financial
Management Science
Call-put implied volatility spread Individual financial
Net present value of all firm's present and future projects generated per dollar of cash holdings
Individual accounting
Individual accounting
2009 117 Individual financial
2009 118 Information revelation Working Paper
2009 119 Earnings volatility Earnings volatility Working Paper
2009 120 Cash flow volatility
2009
121 Local unemployment Relative state unemployment Individual other
Working Paper
122 Local housing collateral State-level housing collateral Individual other
2009 123 Efficiency score Individual financial
2009 124 Order imbalance
Analyst forecasts optimism
Relative optimism and pessimism proxied by the difference between long-term and short-term
analyst forecast of earnings growthJournal of
Financial Markets
Monthly estimate of the daily correlation between absolute returns and dollar volume
Individual microstructure
Individual accounting
Rolling standard deviation of the standardized cashflow over the past sixteen quarters
Individual accounting
Journal of Empirical Finance
Firm efficiency/inefficiency estimated from firm characteristics based on a stochastic frontier
approach
Journal of Financial and Quantitative
Analysis
Difference between buyer- and seller-initiated trades
Individual microstructure
Review of Financial Studies
2010 85 Estimated based on S&P index option returns Common financial Working Paper
2010 86 Market mispricing
2010 125 Idiosyncratic skewness Individual financial
2010 126 Firm contributions to US political campaigns Individual other Journal of Finance
2010 127 Real estate holdings
2010
128 Realized skewness
Working Paper
129 Realized kurtosis Individual financial
2010 130 Excess multiple
Market volatility and jumps
Zero-investment portfolio constructed from repurchasing and issuing firms
Common behavioral
Review of Financial Studies
Skewness forecasted using firm level predictive variables
Review of Financial Studies
Political campaign contributions
Real estate to total property, plant and equipment
Individual accounting
Review of Financial Studies
Realized skewness obtained from high-frequency intraday prices Individual financial
Realized kurtosis obtained from high-frequency intraday prices
Excess multiple calculated as the difference between the accounting multiple and the
warranted multiple obtained by regressing the cross-section of firm multiples on accounting
variables
Individual accounting
Journal of Accounting,
Auditing & Finance
2010 131 Firm information quality Working Paper
2010 132 Individual financial Working Paper
2010 87 Private information
2010 133 Individual financial Working Paper
2010 134 Related industry returns Individual financial Journal of Finance
2010
135 Earnings distributed to equity holders
136 Dividends minus stock issues
2010 137 Excess cash
Firm information quality proxied by analyst forecasts, idiosyncratic volatility and standard
errors of beta estimates
Individual financial/accounti
ng
Long-run idiosyncratic volatility
Long-run idiosyncratic volatility filtered from idiosyncratic volatility using HP filters
Return on a zero-investment portfolio long in high PIN stocks and short in low PIN stocks; PIN
(private information) is the probability of information-based trade
Common microstructure
Journal of Financial and Quantitative
Analysis
Intra-industry return reversals
Intra-industry return reversals captured by the return difference between loser stocks and winners stocks based on relative monthly
performance within the industry
Stock returns from economically related supplier and customer industries
Earnings distributed to equity holders
Individual accounting Review of
Accounting & FinanceNet cash distributed to
equity holdersIndividual
accounting
Most recently available ratio of cash to total assets
Individual accounting
Financial Management
2010 138 Extreme downside risk Individual financial
2010 139 Volatility smirk Steepness in individual option volatility smirk Individual financial
2010 THEORY Individual financial
2011 88 Rare disasters Common financial
2011 Distress risk Common financial
2011
Momentum Common other
89 Cash flow-to-price
2011
140 R&D investment Firm's investment in research and development
Financial constraints Individual financial
Extreme downside risk proxied by the left tail index in the classical generalized extreme value
distributionJournal of Banking
and Finance
Journal of Financial and Quantitative
Analysis
Exposure to financial distress costs
Journal of Financial
Economics
Disaster index based on international political crises
Journal of Financial
Economics
Aggregate distress risk obtained by projecting future business failure growth rates on a set of
basis assets
Journal of Financial
Economics
Factor-mimicking portfolios based on momentum of international equity returns
Review of Financial Studies
Factor-mimicking portfolios based on cash flow-to-price of international equity returns
Common accounting
Individual accounting
Review of Financial Studies
Kaplan and Zingales (1997) financial constraint index
2011 141 Extreme stock returns Portfolios sorted based on extreme past returns Individual financial
2011 142 Individual financial
2011 143 Intangibles Individual other
2011
Market return Equity index return Common financial
Working Paper90 Common financial
91 Common financial
2011 144 Volatility of liquidity Working Paper
2011 145 Dispersion in beliefs Working Paper
2011 146 Five-year spread less one-year spread Individual financial Working Paper
Journal of Financial
Economics
Jumps in individual stock returns
Average jump size proxied by slope of option implied volatility smile
Journal of Financial
Economics
Employee satisfaction proxied by the list of ``100 Best Companies to Work for in America"
Journal of Financial
Economics
Investment portfolio return
Difference between returns of portfolios with low and high investment-to-asset ratio
Return-on-equity portfolio return
Difference between returns of portfolios with high and low return on equity
Measured by the price impact of trade as in Amihud (2002)
Individual microstructure
Revealed through active holdings of fund managers
Individual behavioral
Credit default swap spreads
2011 147 Organizational capital Working Paper
2011 148 Residual income
2011 149 Accrual volatility Working Paper
2011 150 Implied cost of capital Individual financial Working Paper
2011
151 Individual financial
152
2011 153 Labor unions Individual other
2011 154 Individual other Working Paper
Directly measured using Selling, General and Administrative expenditures
Individual accounting
Firm residual income growth extracted from firm earnings growth
Individual accounting
Review of Accounting Studies
Firm accrual volatility measured by the standard deviation of the ratio of accruals to sales
Individual accounting
Implied cost of capital estimated using option contracts
Non-accounting information quality
Average delay with which non-accounting information is impounded into stock price Contemporary
Accounting Research Accounting information
qualityAverage delay with which accounting information
is impounded into stock priceIndividual
accounting
Labor force unionization measured by the percentage of employed workers in a firm's
primary Census industry Classification industry covered by unions in collective bargaining with
employers
Journal of Financial and Quantitative
Analysis
Overreaction to nonfundamental price
changes
Overreaction to within-industry discount rate shocks as captured by decomposing the short-
term reversal into across-industry return momentum, within-industry variation in expected
returns, under-reaction to within-industry cash flow news and overreaction to within-industry
discount rate news
2011 155 Short interest Short interest from short sellers Individual financial Accounting Review
2011 156 Percent total accrual Firm accruals scaled by earnings Accounting Review
2011 Working Paper
2011 157 Firm productivity Individual financial Working Paper
2011 158 Really dirty surplus Accounting Review
2011 159 Earnings forecast Earnings forecast based on firm fundamentals
2011 160 Asset growth Working Paper
2011 161 Real asset liquidity Working Paper
Individual accounting
Projected earnings accuracy
Skilled analysts identified by both past earnings forecasts accuracy and skills
Individual accounting
Firm level total factor productivity estimated from firm value added, employment and capital
Really dirty surplus that happens when a firm issues or reacquires its own shares in a
transaction that does not record the shares at fair market value
Individual accounting
Individual accounting
Review of Accounting Studies
Yearly percentage change in total balance sheet assets
Individual accounting
Number of potential buyers for a firm's assets from within the industry
Individual microstructure
2011 162 Annual change in customer-base concentration Individual other Working Paper
2011 163 Tax expense surprises Seasonally differenced quarterly tax expense
2011
2011 Shareholder recovery THEORY Common financial Journal of Finance
2011 92 Garbage growth Realized annual garbage growth Common macro Journal of Finance
2012 93 Common financial Journal of Finance
2012 94 Stochastic volatility Common financial Working Paper
2012 95 Common financial
Customer-base concentration
Individual accounting
Journal of Accounting Research
Predicted earnings increase score
Predicted earnings increase score based on financial statement information
Individual accounting
Review of Accounting Studies
Financial intermediary's wealth
Intermediary's marginal value of wealth proxied by shocks to leverage of securities broker-dealers
Estimated from a heteroscedastic VAR based on market and macro variables
Average variance of equity returns
Decomposition of market variance into an average correlation component and an average
variance componentReview of
Financial Studies
2012
96 Income growth for goods producing industries Common macro
Journal of Finance
97 Income growth for manufacturing industries Common macro
98 Income growth for distributive industries Common macro
99 Income growth for service industries Common macro
100 Income growth for government Common macro
2012 101 Consumption volatility Common macro Journal of Finance
2012 102 Market skewness Common financial
2012
103 Learning Common financial
Working Paper
104 Knightian uncertainty Common financial
2012 105 Market uncertainty Proxied by variance risk premium Common financial Working Paper
Income growth for goods producing
industries
Income growth for manufacturing industries
Income growth for distributive industries
Income growth for service industries
Income growth for government
Filtered consumption growth volatility from a Markov regime-switching model based on
historical consumption data
Higher moments of market returns estimated from daily index options
Journal of Financial
Economics
Learning estimated from an investor's optimization problem under Knightian
uncertainty
Knightian uncertainty estimated from an investor's optimization problem under Knightian
uncertainty
2012 Labor income Labor income at the census division level Common macro Working Paper
2012 164 Product price change Individual financial Working Paper
2012 106 Common macro Working Paper
2012 THEORY Common macro
2012 107 Market-wide liquidity Proxied by ``noise" in Treasury prices Working Paper
2012 165 Stock skewness Individual financial Journal of Finance
2012 166 Individual financial Working Paper
2012 167 Information intensity Working Paper
Cumulative product price changes since an industry enters the producer price index program
Future growth in the opportunity cost of
money
Opportunity cost of money as proxied by 3-month Treasury bill rate or effective Federal
Funds rate
Inter-cohort consumption differences
Journal of Financial
Economics
Common microstructure
Ex ante stock risk-neutral skewness implied by option prices
Expected return uncertainty
Proxied by the volatility of option-implied volatility
Proxied by monthly frequency of current report filings
Individual microstructure
2012 168 Credit risk premia Individual financial Working Paper
2012 169 Geographic dispersion Individual other
2012 170 Political geography Individual other
2012 171 Option volume divided by stock volume
2012 172 Cash holdings Firm cash holdings
2012 173 Labor mobility Working Paper
2012 174 Working Paper
2012 175 Individual financial Working Paper
Market implied credit risk premia based on the term structure of CDS spreads
Number of states in which a firm has business operations
Journal of Financial
Economics
Political proximity measured by political alignment index of each state's leading politicians
with the ruling presidential party
Journal of Financial
Economics
Option to stock volume ratio
Individual microstructure
Journal of Financial
Economics
Individual accounting
Journal of Financial
Economics
Labor mobility based on average occupational dispersion of employees in an industry
Individual accounting
Debt covenant protection
Firm-level covenant index constructed based on 30 covenant categories
Individual accounting
Stock-cash flow sensitivity
Stock-cash flow sensitivity estimated from a structural one-factor contingent-claim model
2012 108 Jump beta Common financial Working Paper
2012
Common macro
Common macro
Common macro
2012 176 Change in call implied volatility Individual financial Working Paper
177 Change in put implied volatility Individual financial
2012 178 Firm hiring rate Individual other Working Paper
2012 179 Past return for paired pseudo-conglomerates Individual financial
2012
180 Opportunistic buy
Journal of Finance
Discontinuous jump beta based on Todorov and Bollerslev (2010)
Long-run consumption growth
Long-run consumption growth rate identified from the risk-free rate and market price-dividend ratio based on Bansal and Yaron (2005)'s long-run
risk model
Journal of Financial
EconomicsShort-run consumption
growt
Short-run consumption growth rate identified from the risk-free rate and market price-dividend ratio based on Bansal and Yaron (2005)'s long-run
risk model
Consumption growth volatility
Consumption growth volatility shocks identified from the risk-free rate and market price-dividend ratio based on Bansal and Yaron (2005)'s long-run
risk model
Change in call implied volatility
Change in put implied volatility
Firm hiring rate measured by the change in the number of employees over the average number
of employees
Information processing complexity
Journal of Financial
Economics
Prior month buy indicator for opportunistic traders who do not trade routinely
Individual microstructure
2012
181 Opportunistic sell
Journal of Finance
2012 182 Innovative efficiency Individual other
2012
183 Abnormal operating cash flows
Working Paper
184 Abnormal production costs
2012 185 Deferred revenues Changes in the current deferred revenue liability
2012 186 Sentiment of conference call wording Individual other
2012 187 Working Paper
2012 109 Commodity index Common financial Working Paper
2012 188 Time-series momentum Individual financial
Prior month sell indicator for opportunistic traders who do not trade routinely
Individual microstructure
Patents/citations scaled by research and development expenditures
Journal of Financial
Economics
Abnormal operating cash flows
Individual accounting
Abnormal production costs
Individual accounting
Individual accounting
Contemporary Accounting Research
Earnings conference calls
Journal of Banking and Finance
Earnings forecast optimism
Difference between characteristic forecasts and analyst forecasts
Individual accounting
Open interest-weighted total index that aggregates 33 commodities
Time-series momentum strategy based on autocorrelations of scaled returns
Journal of Financial
Economics
2012 189 Carry Individual financial Working Paper
2012 190 Expected return proxy Individual financial
2012 191 Fraud probability
2012
192 Buy orders Sensitivity of price changes to sell orders
193 Sell orders Sensitivity of price changes to buy orders
2013
110 Expected dividend level Common financial
Working Paper
111 Common financial
2013 194 Firm's ability to innovate
2013 195 Board centrality Individual other
Expected return minus expected price appreciation
Logistic transformation of the fit (R^2) from a regression of returns on past prices
Journal of Financial
Economics
Probability of manipulation based on accounting variables
Individual accounting
Financial Analysts Journal
Individual microstructure Journal of
Financial EconomicsIndividual
microstructure
Expected dividend level based on a macro time-series model
Expected dividend growth
Expected dividend growth based on a macro time-series model
Rolling firm-by-firm regressions of firm-level sales growth on lagged R&D
Individual accounting
Review of Financial Studies
Board centrality measured by four basic dimensions of well-connectedness
Journal of Accounting and
Economics
2013 196 Gross profitability Gross profits to assets
2013 197 Betting-against-beta Individual financial Working Paper
2013
198 Secured debt Proportion of secured to total debt
Working Paper199 Convertible debt Proportion of convertible to total debt
200
2013 112 Working Paper
2013 201 Attenuated returns Individual financial Working Paper
2013 202 Bad private information Working Paper
2013 113 Trend signal Common other Working Paper
Individual accounting
Journal of Financial
Economics
Long leveraged low-beta assets and short high-beta assets
Individual accounting
Individual accounting
Convertible debt indicator
Dummy variable indicating whether a firm has convertible debt outstanding
Individual accounting
Cross-sectional pricing inefficiency
Pricing inefficiency proxied by returns to simulated trading strategies that capture
momentum, profitability, value, earnings and reversal
Common microstructure
Composite trading strategy returns where the weights are based on averaging percentile rank
scores of various characteristics for each stock on portfolios
Decomposing the PIN measure of Easley, Hvidkjaer and O'Hara (2002) into two elements that reflect informed trading on good news and
bad news
Individual microstructure
Return on a zero-investment portfolio long in past winners and short in past losers based on short-term, intermediate-term and long-term
stock price trends
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Type Year Risk factor Formation Other factor(s) Journal
Financial 1964 Market return THEORY Journal of Finance
Financial 1965 Market return THEORY Journal of Finance
Financial 1966 Market return THEORY Econometrica
Financial 1972 Market return THEORY Journal of Finance
Financial 1972 Market return Equity index return
Financial 1972 Market return THEORY Journal of Business
Financial 1973 THEORY Econometrica
Financial 1973
Market return Equity index return Idiosyncratic volatility
Relative prices of consumption goods
Studies in the Theory of Capital
Markets
State variables representing future
investment opportunity
Journal of Political Economy
HLZ: For this sheet, "common" factors are first sorted by characteristics (e.g., financial, macro, etc.) and then by year.
Financial 1973
Beta squared Square of market beta
Financial 1973 THEORY
Financial 1974 World market return THEORY
Financial 1974 THEORY
Financial 1976
Market return Equity index return
Journal of Finance
Squared market return Square of equity index return
Financial 1979 Market return Equity index return Dividend yield
Financial 1981
Market return Equity index return
Journal of FinanceTreasury bond return 3-month US Treasury bill return
Journal of Political Economy
High order market return
Journal of Financial and Quantitative
Analysis
Journal of Economic Theory
Individual investor resources
Journal of Financial
Economics
Journal of Financial
Economics
Financial 1981
Corporate bond return
Journal of Finance
Financial 1981 Treasury bill return Journal of Finance
Financial 1981 THEORY Journal of Business
Financial 1983 THEORY Journal of Finance
Financial 1985
Market return Equity index return
Credit premium
Term structure
Financial 1985 THEORY Econometrica
Financial 1986 Long-term intereste rate Journal of Finance
Index of long-term Aa utility bonds with deferred calls returns
Principle components extracted from returns of Treasury bills
Individual consumer's wealth
Foreign exchange rate change
Industrial production; change in expected
inflation; unanticipated inflation
Journal of Financial
Economics
Risk premium measured as difference in return between ``under Baa" bond portfolio and long-
term government bond portfolio
Yield curve slope measured as difference in return between long-term government bond and
1-month Treasury bill
Investment opportunity change
Change in the yield of long-term government bonds
Financial 1986
Credit premium
Journal of Business
Term structure
Financial 1991
Market return Equity index return
Credit spread
Real short rate One-month Treasury bill return less inflation rate
Financial 1993
Return on S&P stocks Returns on S&P stocks
Returns on non-S&P stocks
Financial 1993 High order equity index returns and bond returns Journal of Finance
Financial 1993
Market return Equity index return
Size; value
Risk premium measured as difference in return between ``under Baa" bond portfolio and long-
term government bond portfolioIndustrial production
growth; unanticipated inflation; changes in expected inflation; change in oil prices
Yield curve slope measured as difference in return between long-term government bond and
1-month Treasury bill
Consumption growth; unexpected inflation
Journal of Political Economy
Baa corporate bond return less monthly long-term government bond return
Change in the slope of the yield curve
Change in the difference between a 10-year Treasury bond yield and a 3-month Treasury bill
yield
Review of Financial Studies
Returns on non-S&P stocks
High order market and bond return
Journal of Financial
Economics
Financial 1993 Term structure Size; value
Credit risk
Financial 1993
World equity return
Financial 1994
World equity return
Financial 1996
Market return Equity index return
Labor income
Dividend yield Dividend yield on value-weighted index
Interest rate Treasury bill rate less 1-year moving average
Journal of Financial
EconomicsDifference in return between long-term
government bond and one-month Treasury bill
Difference in return between long-term corporate bond and long-term government bond
US dollar return of the MSCI world equity market in excess of a short-term interest rate Change in long-term
inflationary expectations; Change in oil price; Change in G-7 industrial production;
Unexpected inflation for the G-7 countries
Review of Financial Studies
Changes in weighted exchange rate
Log first difference of the trade-weighted US dollar prices of the currencies of ten
industrialized countries
Weighted real short-term interest rate
GDP weighted average of short-term interest rates in G-7 countries
Change in the Eurodollar-Treasury yield
spreadFirst difference of the spread between the 90-day Eurodollar yield and the 90-day Treasury-bill yield
US dollar return of the MSCI world equity market in excess of a short-term interest rate Change in long-term
inflationary expectations; Change in
oil priceJournal of Banking
and FinanceChange in weighted
exchange rateLog first difference of the trade-weighted US
dollar price of ten industrialized countries' currencies
Journal of Political Economy
Financial 1996
Term structure Long-short government bond yield spread
Labor income
Financial 1996
Market return Equity index return
Labor income Journal of Finance
Slope of yield curve Long-short government bond yield spread
Financial 1997 Value strategy return
Financial 1997 Market return Equity index return Size; value; momentum Journal of Finance
Financial 1999 Journal of Finance
Journal of Political Economy
Opportunistic strategy return
Return for hedge funds that follow an opportunistic strategy
Review of Financial Studies
Global/macro strategy return
Return for hedge funds that follow a global/macro strategy
Return for hedge funds that follow a value strategy
Trend following strategy return
Return for hedge funds that follow a trend following strategy
Distressed investment strategy return
Return for hedge funds that follow a distressed investment strategy
Fitted return based on predictive regressions
Expected portfolio return obtained by projecting historical returns on lagged macro instruments,
including term spreads, dividend yield, credit spread and short-term Treasury bill
Financial 2000 Entrepreneur income Proprietary income for entrepreneurs Journal of Finance
Financial 2000 Coskewness Journal of Finance
Financial 2001 Straddle return
Financial 2002
Market return Equity index return
Journal of Finance
Squared market return Squared equity index return
Labor income growth Smoothed labor income growth rate
Squared smoothed labor income growth rate
Financial 2004
Cash flow news News about future market cash flow
Discount rate news News about future market discount rate
Financial 2004
Market return Equity index return
Excess return on a portfolio which long stocks with low past coskewness
Lookback straddles' returns constructed based on option prices
Review of Financial Studies
Squared labor income growth
American Economic Review
Review of Financial Studies
Financial 2004
Index option return Return on S&P 500 index option
Financial 2004 Default risk Journal of Finance
Financial 2004
Real interest rate
Journal of Finance
Financial 2005 Housing price ratio Ratio of housing to human wealth Journal of Finance
Financial 2005 Market return Equity index return
Financial 2006
Market return Equity index return and its square
Index option return Index option return and its square
Product of market and option returns
Review of Financial Studies
Firm default likelihood using Merton's option pricing model
Real interest rates extracted from a time-series model of bond yields and expected inflation
Maximum Sharpe ratio portfolio
Maximum Sharpe ratio portfolio extracted from a time-series model of bond yields and expected
inflation
Market liquidity; individual stock liquidity
Journal of Financial
Economics
Review of Financial Studies
Interaction between index and option return
Financial 2006 Financing frictions Default premium
Financial 2006 Third to tenth power of market return Journal of Business
Financial 2006 Downside risk
Financial 2006 Systematic volatility Idiosyncratic volatility Journal of Finance
Financial 2006 Market return Equity index return Trading volume Journal of Finance
Financial 2008
Market return Equity index return
Financial
2008
Short-run volatility
Journal of Finance
Financial Long-run volatility
Review of Financial Studies
Third to tenth power of market return
Correlation with index return conditional on index return being below a threshold value
Review of Financial Studies
Aggregate volatility relative to Fama and French (1992) three-factor model
Market volatility innovation
Difference in monthly average of squared daily return differences Firm age; interaction
between market volatility and firm age
Review of Financial Studies
High frequency volatility extracted from a time-series model of market returns
Low frequency volatility extracted from a time-series model of market returns
Financial 2008 Investment growth
Financial 2008 Journal of Finance
Financial 2008 Working Paper
Financial 2009 Financial constraint THEORY Journal of Finance
Financial 2009 Takeover likelihood
Financial 2010 Estimated based on S&P index option returns Working Paper
Financial 2011 Rare disasters
Financial 2011 Distress risk
Return on a zero-investment portfolio long in low investment growth firms and short in high
investment growth firmsReview of
Financial Studies
Short- and long-run market volatility
High and low frequency volatility extracted from a time-series model of market returns
Idiosyncratic component of S&P 500 return
Residual of the linear projection of the S&P 500 return onto the CRSP value weighted index return
Estimated via a logit model of regressing ex-post acquisition indicator on various firm- and
industry-level accounting variablesReview of
Financial Studies
Market volatility and jumps
Disaster index based on international political crises
Journal of Financial
Economics
Aggregate distress risk obtained by projecting future business failure growth rates on a set of
basis assets
Journal of Financial
Economics
Financial 2011
Market return Equity index return
Working Paper
Financial 2011 Shareholder recovery THEORY Journal of Finance
Financial 2012 Journal of Finance
Financial 2012 Stochastic volatility Working Paper
Financial 2012
Financial 2012 Market skewness
Financial 2012
Learning
Working Paper
Investment portfolio return
Difference between returns of portfolios with low and high investment-to-asset ratio
Return-on-equity portfolio return
Difference between returns of portfolios with high and low return on equity
Financial intermediary's wealth
Intermediary's marginal value of wealth proxied by shocks to leverage of securities broker-dealers
Estimated from a heteroscedastic VAR based on market and macro variables
Average variance of equity returns
Decomposition of market variance into an average correlation component and an average
variance componentReview of
Financial Studies
Higher moments of market returns estimated from daily index options
Journal of Financial
Economics
Learning estimated from an investor's optimization problem under Knightian
uncertainty
Financial 2012
Knightian uncertainty
Working Paper
Financial 2012 Market uncertainty Proxied by variance risk premium Working Paper
Financial 2012 Jump beta Working Paper
Financial 2012 Commodity index Working Paper
Financial 2013
Expected dividend level
Working Paper
Macro 1972 THEORY Market return Journal of Finance
Macro 1973 THEORY Econometrica
Macro 1978 THEORY Econometrica
Knightian uncertainty estimated from an investor's optimization problem under Knightian
uncertainty
Discontinuous jump beta based on Todorov and Bollerslev (2010)
Open interest-weighted total index that aggregates 33 commodities
Expected dividend level based on a macro time-series model
Expected dividend growth
Expected dividend growth based on a macro time-series model
Relative prices of consumption goods
State variables representing future
investment opportunity
Marginal rate of substitution
Macro 1979 THEORY
Macro 1981 World consumption THEORY
Macro 1985
Unanticipated inflation Realized minus expected inflation
Macro 1986 Expected inflation THEORY Journal of Finance
Macro 1986 Journal of Business
Unanticipated inflation Realized minus expected inflation
Change in oil price Growth rate in oil prices
Aggregate real consumption
Journal of Financial
Economics
Journal of Financial
Economics
Industrial production growth
Seasonally adjusted monthly growth rate of industrial production
Market return; credit premium; term structure
Journal of Financial
EconomicsChange in expected
inflationChange in expected inflation as defined in Fama
and Gibbons (1984)
Industrial production growth
Seasonally adjusted monthly growth rate of industrial production
Credit premium; Term structure
Changes in expected inflation
Changes in expected inflation as defined in Fama and Gibbons (1984)
Macro 1989 Consumption growth Per capita real consumption growth Journal of Finance
Macro 1991 Investment returns Marginal rates of transformation for capital Journal of Finance
Macro 1991
Consumption growth
Unexpected inflation
Macro 1993
Change in long-term inflationary expectations
Change in oil price
Change in G-7 industrial production
Macro 1994
Change in long-term inflationary expectations
Change in oil price
Real per capita growth of personal consumption expenditures for nondurables & services Market return; credit
spread; change in the slope of the yield curve;
real short rate
Journal of Political Economy
Difference between actual and time-series forecasts of inflation rate
Change in long-term inflationary expectations
World equity return; change in weighted
exchange rate; change in the Eurodollar-Treasury yield spread; changes in
oil price
Review of Financial Studies
Change in the monthly average US dollar price per barrel of crude oil
Change in G-7 industrial production
Unexpected inflation for the G-7 countries
Unexpected inflation based on a time-series model on an aggregate G-7 inflation rate
Change in long-term inflationary expectations World equity return;
change in weighted exchange rate
Journal of Banking and Finance
Change in the monthly average US dollar price per barrel of crude oil
Macro 1995
Change in expectation from economic surveys
Journal of Finance
Change in expected GNP Change in expectation from economic surveys
Macro 1996 Money growth Journal of Finance
Macro 1996
Macro 1996 Labor income Real labor income growth rate
Macro 1996 Labor income Real labor income growth rate Journal of Finance
Macro 1997 Journal of Finance
Macro 2001
Consumption growth Per capita real consumption growth rate
Change in expected inflation
M2 or M3 minus currency, divided by total population
Returns on physical investment
Inferred from investment data via a production function
Journal of Political Economy
Market return; Dividende yield; interest
rate; term structureJournal of Political
Economy
Market return; slope of the yield curve
Nonlinear functions of consumption growth
Low order orthonormal polynomials of current and future consumption growth
Journal of Political Economy
Consumption-wealth ratio
Proxied by a weighted average of human and nonhuman wealth
Macro 2003 GDP growth news
Macro 2004 Cross-sectional consumption growth variance Journal of Finance
Macro 2005 Three-year consumption growth rate
Macro 2005 Long run consumption Journal of Finance
Macro 2006
Household investment growth
Journal of Business
Financial firms investment growth
Macro 2006 Durable and nondurable consumption growth Journal of Finance
GDP growth news obtained from predictive regressions on lagged equity and fixed-income
portfolios
Journal of Financial
Economics
Idiosyncratic consumption
Long-horizon consumption growth
Journal of Political Economy
Cash flow risk measured by cointegration residual with aggregate consumption
Investment growth by households
Investment growth by nonfarm nonfinancial
corporate firmsNonfarm nonfinancial corporate firms investment
growth
Investment growth by nonfarm noncorporate
businessNonfarm noncorporate business investment
growth
Investment growth by financial firms
Durable and nondurable consumption growth
Macro 2007
Productivity Productivity level as in King and Rebelo (2000)
Capital stock
Macro 2007 Journal of Finance
Macro 2007 Earnings cyclicality Working Paper
Macro 2008 Monetary policy shocks Working Paper
Macro 2008
Across-state mean consumption growth rate
Across-state consumption growth variance
Mean habit growth Across-state mean habit growth rate
Variance of habit growth Across-state habit growth variance
Macro 2009 Journal of Finance
Journal of Financial
EconomicsQuarterly capital stock interpolated from annual data
Fourth-quarter to fourth-quarter
consumption growth Fourth-quarter to fourth-quarter consumption
growth rate
Sensitivity of earnings to changes in aggregate total factor productivity
Identified from a Bayesian estimation of DSGE models
Mean consumption growth
Review of Financial Studies
Variance of consumption growth
Cash flow covariance with aggregate consumption
Cash flow covariance with aggregate consumption
Macro 2009
Cash flow duration
Journal of Finance
Macro 2009 Financial constraints THEORY Journal of Finance
Macro 2009 Aggregated microlevel stockholder consumption Journal of Finance
Macro 2011 Garbage growth Realized annual garbage growth Journal of Finance
Macro 2012
Income growth for goods producing industries
Journal of Finance
Income growth for manufacturing industries
Income growth for distributive industries
Income growth for service industries
Income growth for government
Cash flow duration sensitivity to aggregate consumption
Long-run stockholder consumption growth
Income growth for goods producing
industries
Income growth for manufacturing industries
Income growth for distributive industries
Income growth for service industries
Income growth for government
Macro 2012 Consumption volatility Journal of Finance
Macro 2012 Labor income Labor income at the census division level Working Paper
Macro 2012 Working Paper
Macro 2012 THEORY
Macro 2012
Microstructure 1986 Transaction costs THEORY
Filtered consumption growth volatility from a Markov regime-switching model based on
historical consumption data
Future growth in the opportunity cost of
money
Opportunity cost of money as proxied by 3-month Treasury bill rate or effective Federal
Funds rate
Inter-cohort consumption differences
Journal of Financial
Economics
Long-run consumption growth
Long-run consumption growth rate identified from the risk-free rate and market price-dividend ratio based on Bansal and Yaron (2005)'s long-run
risk model
Journal of Financial
EconomicsShort-run consumption
growt
Short-run consumption growth rate identified from the risk-free rate and market price-dividend ratio based on Bansal and Yaron (2005)'s long-run
risk model
Consumption growth volatility
Consumption growth volatility shocks identified from the risk-free rate and market price-dividend ratio based on Bansal and Yaron (2005)'s long-run
risk model
Journal of Financial
Economics
Microstructure 1986 Transaction costs THEORY
Microstructure 2002 Market illiquidity
Microstructure 2003 Market liquidity
Microstructure 2005 Market liquidity
Microstructure 2006 Trading volume Market return Journal of Finance
Microstructure 2006 Liquidity
Microstructure 2006 Liquidity
Microstructure 2008 Liquidity
Journal of Political Economy
Average over the year of the daily ratio of the stock's absolute return to its dollar trading
volumeJournal of
Financial Markets
Aggregated liquidity based on firm future excess stock return regressed on current signed excess
return times trading volumeJournal of Political
Economy
Value-weighted individual stock illiquidity as defined in Amihud (2002)
Market return; individual stock liquidity
Journal of Financial
Economics
Return on a hedge portfolio constructed using trading volume and market returns
Market-wide liquidity constructed first by decomposing firm-level liquidity into variable and
fixed price effects then averaging the variable component
Journal of Financial
Economics
Turnover-adjusted number of days with zero trading over the prior 12 months
Journal of Financial
Economics
Systematic liquidity extracted from eight empirical liquidity measures
Journal of Financial
Economics
Microstructure 2009 Illiquidity
Microstructure 2010 Private information
Microstructure 2012 Market-wide liquidity Proxied by ``noise" in Treasury prices Working Paper
Behavioral 2006 Investor sentiment Journal of Finance
Behavioral 2006 Retail investor sentiment Journal of Finance
Behavioral 2010 Market mispricing
Accounting 1992
Size
Journal of Finance
Value
Accounting 1993
Size
Estimated using structural formula in line with Kyle's (1985) lambda
Review of Financial Studies
Return on a zero-investment portfolio long in high PIN stocks and short in low PIN stocks; PIN
(private information) is the probability of information-based trade
Journal of Financial and Quantitative
Analysis
Composite sentiment index based on various sentiment measures
Systematic retail trading based on transaction data
Zero-investment portfolio constructed from repurchasing and issuing firms
Review of Financial Studies
Return on a zero-investment portfolio long in small stocks and short in large stocks
Return on a zero-investment portfolio long in growth stocks and short in value stocks
Return on a zero-investment portfolio long in small stocks and short in large stocks
Market return; term structure; credit risk
Journal of Financial
Economics
Accounting 1993
Value
Accounting 1994
Tax rate for capital gains Short-term capital gains tax rate
Journal of Finance
Tax rate for dividend Dividend tax rate
Accounting 1997
Size
Journal of Finance
Value
Accounting 2006 Earnings
Accounting 2007 Payout yield Journal of Finance
Accounting 2009 Cash flow
Accounting 2011 Cash flow-to-price Momentum
Market return; term structure; credit risk
Journal of Financial
EconomicsReturn on a zero-investment portfolio long in growth stocks and short in value stocks
Return on a zero-investment portfolio long in small stocks and short in large stocks
Market return; Momentum
Return on a zero-investment portfolio long in growth stocks and short in value stocks
Return on a zero-investment portfolio long in stocks with high earnings surprises and short in
stocks with low earnings surprises
Journal of Financial
Economics
Return on a zero-investment portfolio long in high-yield stocks and short in low-yield stocks
Aggregate earnings based on revisions to analyst earnings forecasts
Journal of Financial
Economics
Factor-mimicking portfolios based on cash flow-to-price of international equity returns
Review of Financial Studies
Other 1997 Momentum Journal of Finance
Other 2004
Other 2009
Investors' beliefs
Investors' uncertainty
Other 2011 Momentum Cash flow-to-price
Other 2013 Trend signal Working Paper
Return on a zero-investment portfolio long in past winners and short in past losers
Size; value; market return
Return reversals at the style level
Zero-investment portfolios sorted based on past return performance at the style level
Journal of Financial
Economics
Belief extracted from a two-state regime-switching model of aggregate market return and
aggregate output Review of Financial StudiesUncertainty extracted from a two-state regime-
switching model of aggregate market return and aggregate output
Factor-mimicking portfolios based on momentum of international equity returns
Review of Financial Studies
Return on a zero-investment portfolio long in past winners and short in past losers based on short-term, intermediate-term and long-term
stock price trends
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Type Year Risk factor Formation
Financial 1967 Total volatility Individual stock volatility
Financial 1973 Idiosyncratic volatility Residual stock volatility from CAPM
Financial 1981 Firm size Market value of firm stocks
Financial 1990 Return predictability
Financial 1992 Return momentum
Financial 1995
Dividend initiations Initiations of cash dividend payments
Dividend omissions Omissions of cash dividend payments
Financial 1995 Whether a firm makes seasoned equity offerings
Financial 1997 Momentum Past cumulative stock return
Financial 1997 Corporate acquisitions
Financial 1999 Debt offerings
Short-term (one month) and long-term (twelve months) serial correlations in returns
Size and beta adjusted mean prior five-year returns
Seasoned equity offerings
Difference between stock mergers and cash tender offers for corporate acquisitions
Whether a firm makes straight and convertible debt offerings
HLZ: For this sheet, "individual" factors are first sorted by characteristics (e.g., financial, microstructure, etc.) and then by year.
Financial 2000 Within-industry size
Financial 2001 Bond rating changes Moody's bond ratings changes
Financial 2001 Financial constraints
Financial 2002 Distress risk Distress risk as proxied by Ohlson's O-score
Financial 2003
Financial 2003 Return consistency Consecutive returns with the same sign
Financial 2004 52-week high Nearness to the 52-week high price
Financial 2004 Put-call parity Violations of put-call parity
Financial 2005 Heterogeneous beliefs
Financial 2005 Information uncertainty
Financial 2006 Financial constraints
Difference between firm size and average firm size within the industry
Measure financial constraints with Kaplan and Zingales (1997) index
Idiosyncratic return volatility
Residual variance obtained by regressing daily stock returns on market index return
Factors constructed from disagreement among analysts about expected short- and long-term
earnings
Information uncertainty proxied by firm age, return volatility, trading volume or cash flow
duration
Constraint index estimated from a firm's investment Euler equation
Financial 2006 Idiosyncratic volatility
Financial 2006 Acceleration
Financial 2007 Credit rating S&P firm credit rating
Financial 2007
Financial 2008
Financial 2008 Distress
Financial 2008
Financial 2008 Firm economic links
Financial 2009
Difference between call and put implied volatility
Financial 2009
Idiosyncratic volatility relative to Fama and French (1992) three-factor model
Firm's ranking on change in six-month momentum relative to the cross-section of other
firms
Insider forecasts of firm volatility
Future firm volatility obtained from executive stock options
Country-level idiosyncratic volatility
Weighted average of variances and auto-covariances of firm-level idiosyncratic return
shocks
Distressed firm failure probability estimated based on a dynamic logit model
Earnings announcement return
Earnings announcement return capturing the market reaction to unexpected information
contained in the firm's earnings release
Economic links proxied by return of a portfolio of its major customers
Realized-implied volatility spread
Difference between past realized volatility and the average of call and put implied volatility
Call-put implied volatility spread
Analyst forecasts optimism
Relative optimism and pessimism proxied by the difference between long-term and short-term
analyst forecast of earnings growth
Financial 2009 Efficiency score
Financial 2010 Idiosyncratic skewness
Financial 2010
Realized skewness
Realized kurtosis
Financial 2010 Excess multiple
Financial 2010
Financial 2010 Firm information quality
Financial 2010
Financial 2010 Related industry returns
Financial 2010 Extreme downside risk
Financial 2010 Volatility smirk Steepness in individual option volatility smirk
Firm efficiency/inefficiency estimated from firm characteristics based on a stochastic frontier
approach
Skewness forecasted using firm level predictive variables
Realized skewness obtained from high-frequency intraday prices
Realized kurtosis obtained from high-frequency intraday prices
Excess multiple calculated as the difference between the accounting multiple and the
warranted multiple obtained by regressing the cross-section of firm multiples on accounting
variables
Long-run idiosyncratic volatility
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
Intra-industry return reversals captured by the return difference between loser stocks and winners stocks based on relative monthly
performance within the industry
Stock returns from economically related supplier and customer industries
Extreme downside risk proxied by the left tail index in the classical generalized extreme value
distribution
Financial 2010 THEORY
Financial 2011 Financial constraints
Financial 2011 Extreme stock returns Portfolios sorted based on extreme past returns
Financial 2011
Financial 2011 Five-year spread less one-year spread
Financial 2011 Implied cost of capital
Financial 2011 Short interest Short interest from short sellers
Financial 2011 Firm productivity
Financial 2011
Financial 2012 Product price change
Financial 2012 Stock skewness
Exposure to financial distress costs
Kaplan and Zingales (1997) financial constraint index
Jumps in individual stock returns
Average jump size proxied by slope of option implied volatility smile
Credit default swap spreads
Implied cost of capital estimated using option contracts
Firm level total factor productivity estimated from firm value added, employment and capital
Non-accounting information quality
Average delay with which non-accounting information is impounded into stock price
Cumulative product price changes since an industry enters the producer price index program
Ex ante stock risk-neutral skewness implied by option prices
Financial 2012
Financial 2012 Credit risk premia
Financial 2012
Financial 2012
Change in call implied volatility
Change in put implied volatility
Financial 2012 Past return for paired pseudo-conglomerates
Financial 2012 Time-series momentum
Financial 2012 Carry
Financial 2012 Expected return proxy
Financial 2013 Betting-against-beta
Financial 2013 Attenuated returns
Expected return uncertainty
Proxied by the volatility of option-implied volatility
Market implied credit risk premia based on the term structure of CDS spreads
Stock-cash flow sensitivity
Stock-cash flow sensitivity estimated from a structural one-factor contingent-claim model
Change in call implied volatility
Change in put implied volatility
Information processing complexity
Time-series momentum strategy based on autocorrelations of scaled returns
Expected return minus expected price appreciation
Logistic transformation of the fit (R^2) from a regression of returns on past prices
Long leveraged low-beta assets and short high-beta assets
Composite trading strategy returns where the weights are based on averaging percentile rank
scores of various characteristics for each stock on portfolios
Microstructure 1980 Short sale restrictions THEORY
Microstructure 1981 Transaction costs THEORY
Microstructure 1981 Short interest Equity short interest
Microstructure 1989 Illiquidity Illiquidity proxied by bid-ask spread
Microstructure 1997 Trading volume Dollar volume traded per month
Microstructure 1998 Illiquidity
Microstructure 2000 Trading volume Past trading volume
Microstructure 2001
Level of liquidity Level of dollar trading volume and share turnover
Variability of liquidity
Microstructure 2002 Breadth of ownership
Microstructure 2002 Information risk
Liquidity proxied by the turnover rate: number of shares traded as a fraction of the number of
shares outstanding
Volatility of dollar trading volume and share turnover
Ratio of the number of mutual funds holding long positions in the stock to total number of mutual
funds
Probability of information-based trading for individual stock
Microstructure 2002 Short-sale constraints Shorting costs for NYSE stocks
Microstructure 2003 Transaction costs Bid-ask spread, volume, etc.
Microstructure 2005 Individual stock liquidity
Microstructure 2005 Price delay Delay in a stock price's response to information
Microstructure 2005 Short-sale constraints
Microstructure 2005 Short-sale constraints
Microstructure 2007 Trader composition
Microstructure 2008 Small trades Volume arising from small trades
Microstructure 2009 Information revelation
Microstructure 2009 Order imbalance
Microstructure 2011 Volatility of liquidity
Individual stock illiquidity as defined in Amihud (2002)
Short-sale constraint proxied by Institutional ownership
Short-sale constraint proxied by short interest and institutional ownership
Fraction of total trading volume of a stock from institutional trading
Monthly estimate of the daily correlation between absolute returns and dollar volume
Difference between buyer- and seller-initiated trades
Measured by the price impact of trade as in Amihud (2002)
Microstructure 2011 Real asset liquidity
Microstructure 2012 Information intensity
Microstructure 2012 Option volume divided by stock volume
Microstructure 2012
Opportunistic buy
Opportunistic sell
Microstructure 2012
Buy orders Sensitivity of price changes to sell orders
Sell orders Sensitivity of price changes to buy orders
Microstructure 2013
Microstructure 2013 Bad private information
Behavioral 2002 Analyst dispersion Dispersion in analysts' earnings forecasts
Behavioral 2009 Media coverage Firm mass media coverage
Behavioral 2011 Dispersion in beliefs
Number of potential buyers for a firm's assets from within the industry
Proxied by monthly frequency of current report filings
Option to stock volume ratio
Prior month buy indicator for opportunistic traders who do not trade routinely
Prior month sell indicator for opportunistic traders who do not trade routinely
Cross-sectional pricing inefficiency
Pricing inefficiency proxied by returns to simulated trading strategies that capture
momentum, profitability, value, earnings and reversal
Decomposing the PIN measure of Easley, Hvidkjaer and O'Hara (2002) into two elements that reflect informed trading on good news and
bad news
Revealed through active holdings of fund managers
Other 1983 Institutional holding
Other 1985 Long-term past abnormal return
Other 1993 Return momentum Past stock returns
Other 1999 Industry momentum Industry-wide momentum returns
Other 2005 Patent citation
Other 2006
Environment indicator
Employment indicator
Community indicator
Other 2007 Ticker symbol Creativity in stocks' ticker symbols
Other 2008 Sin stock
Other 2008 Investor recognition
Other 2009
Local unemployment Relative state unemployment
Local housing collateral State-level housing collateral
Institutional concentration rankings from Standard and Poor's
Long-term return reversal
Change of patent citation impact deflated by average total assets
A composite index measuring a firm's environmental responsibility
A composite index measuring employee responsibility
A composite index measuring community responsiveness
Stocks in the industry of adult services, alcohol, defense, gaming, medical and tobacco
Investor recognition proxied by the change in the breadth of institutional ownership
Other 2010 Firm contributions to US political campaigns
Other 2011 Intangibles
Other 2011 Labor unions
Other 2011
Other 2011 Annual change in customer-base concentration
Other 2012 Geographic dispersion
Other 2012 Political geography
Other 2012 Firm hiring rate
Other 2012 Innovative efficiency
Other 2013 Board centrality
Accounting 1975
Political campaign contributions
Employee satisfaction proxied by the list of ``100 Best Companies to Work for in America"
Labor force unionization measured by the percentage of employed workers in a firm's
primary Census industry Classification industry covered by unions in collective bargaining with
employers
Overreaction to nonfundamental price
changes
Overreaction to within-industry discount rate shocks as captured by decomposing the short-
term reversal into across-industry return momentum, within-industry variation in expected
returns, under-reaction to within-industry cash flow news and overreaction to within-industry
discount rate news
Customer-base concentration
Number of states in which a firm has business operations
Political proximity measured by political alignment index of each state's leading politicians
with the ruling presidential party
Firm hiring rate measured by the change in the number of employees over the average number
of employees
Patents/citations scaled by research and development expenditures
Board centrality measured by four basic dimensions of well-connectedness
Earnings growth expectations
Projecting firm earnings growth based on market beta, firm size, dividend payout ratio, leverage
and earnings variability
Accounting 1977 PE ratio Firm price-to-earnings ratio
Accounting 1979 Dividend yield Dividend per share divided by share price
Accounting 1983 EP ratio Firm earnings-to-price ratio
Accounting 1984 Earnings expectations Consensus earnings expectations
Accounting 1984 New listings dummy
Accounting 1988
Accounting 1988 Debt to equity ratio Non-common equity liabilities to equity
Accounting 1989
Accounting 1992 Predicted return signs
Accounting 1995 New public stock issuance
Accounting 1996 R&D capital R&D capital over total assets
Announcement that a company has filed a formal application to list on the NYSE
Long-term growth forecasts
Long-term growth forecasts proxied by the five-year earnings per share growth rate forecasts
Predicted earnings change
Predicted earnings change in one year based on a financial statement analysis that combines a large
set of financial statement items
Return signs predicted by a logit model using financial ratios
New public stock issuance
Accounting 1996 Earnings forecast Errors in analysts' forecasts on earnings growth
Accounting 1997
Size Market value of equity
Book-to-market ratio
Accounting 1997 Disclosure level
Accounting 1997 Standard deviation of earnings forecasts
Accounting
1997
Size Market value of equity
Accounting Value
Accounting 1997
Accounting 1998 Fundamental analysis
Accounting 1998 Bankruptcy risk The probability of bankruptcy from Altman (1968)
Accounting 1998 Firm fundamental value
Book value of equity plus deferred taxes to market value of equity
Voluntary disclosure level of manufacturing firms' annual reports
Earning forecasts uncertainty
Book value of equity plus deferred taxes to market value of equity
Earnings management likelihood
Earnings management likelihood obtained by regressiong realized violators of Generally
Accepted Accounting Principles on firm characteristics
Investment signals constructed using a collection of variables that relate to contemporaneous changes in inventories, accounts receivables,
gross margins, selling expenses, capital expenditures, effective tax rates, inventory
methods, audit qualifications, and labor force sales productivity.
Firms' fundamental values estimated from I/B/E/S consensus forecasts and a residual
income model
Accounting 2000
Within-industry value
Accounting 2000
Accounting 2001 Analysts' forecasts Financial analysts' forecasts of annual earnings
Accounting 2001 Institutional ownership Institutional holdings of firm assets
Accounting 2001
Accounting 2002 Earnings sustainability
Accounting 2003 Excluded expenses Excluded expenses in firm's earnings reports
Accounting 2003 Investor sophistication Number of analysts or institutional owners
Accounting 2003 Shareholder rights
Difference between firm book-to-market ratio and average book-to-market ratio within the
industry
Within-industry cashflow to price ratio
Difference between firm cashflow to price ratio and average cashflow to price ratio within the
industry
Within-industry percent change in employees
Difference between firm percent change in employees and average percent change in
employees within the industry
Within-industry momentum
Difference between firm past stock prices and average past stock prices within the industry
Financial statement information
A composite score based on historical financial statement that separates winners from losers
Consensus recommendations
Consensus recommendations measured by the average analyst recommendations
A summary score based on firm fundamentals that informs about the sustainability of earning
Shareholder rights as proxied by an index using 24 governance rules
Accounting 2003 Growth in long-term net operating assets
Accounting 2003 Order backlog
Accounting 2004
Accounting 2004
Accounting 2004
Accounting
2005
Proxies for corporate control
Accounting Proxies for share-holder activism
Accounting 2005 Adjusted R&D
Accounting 2005 R&D reporting biases
Accounting 2005 Growth index
Accounting 2006 Capital investment Capital expenditure growth
Growth in long-term net operating assets
Order backlog divided by average total assets, transformed to a scaled-decile variable
Analysts' recommendations
Consensus analysts' recommendations from sell-side firms
Unexpected change in R&D
Unexpected change in firm research and expenditures
Abnormal capital investment
Past year capital expenditures scaled by average capital expenditures for previous three years
External corporate governance
Internal corporate governance
Adjusted R&D that incorporates capitalization and amortization
R&D reporting biases proxied by the difference between R&D growth and earnings growth
A combined index constructed based on earnings, cash flows, earnings stability, growth stability and
intensity of R&D, capital expenditure and advertising
Accounting 2006 Industry concentration
Accounting 2006
Accounting 2006 Intangible information
Accounting
2006
Profitability Expected earnings growth
Accounting Investment Expected growth in book equity
Accounting Book-to-market
Accounting 2006 Analysts' forecasted earnings per share
Accounting 2006 Net financing
Accounting 2006 Pension plan funding
Accounting 2006
Accounting 2007 Change in order backlog Change in order backlog
Accounting 2007 Firm productivity
Industry concentration as proxied by the Herfindahl index
Firm's social performance
A composite social performance index based on community, environmental and employee
performance
Residuals from cross-sectional regression of firm returns on fundamental growth measures
Book value of equity plus deferred taxes to market value of equity
Forecasted earnings per share
Net amount of cash flow received from external financing
Pension plan funding status calculated as the difference between the fair value of plan assets and the projected benefit obligation, divided by
market capitalization
Unexpected earnings' autocorrelations
Standardized unexpected earnings' autocorrelations via the sign of the most recent
earnings realization
Firm productivity measured by returns on invested capital
Accounting
2008
Firm age Firm's public listing age
Accounting Product of market volatility and firm age
Accounting 2008
Shareholder advantage Benefit from renegotiation upon default
Accounting 2008 Asset growth Year-on-year percentage change in total assets
Accounting 2008 Share issuance Annual share issuance based on adjusted shares
Accounting 2008 Goodwill impairment Buyers' overpriced shares at acquisition
Accounting 2008 Changes in order backlog on future profitability
Accounting 2008 DuPont analysis Sales over net operating assets in DuPont analysis
Accounting 2009 Productivity of cash
Accounting 2009 THEORY
Interaction between market volatility and
firm age
Interaction between shareholder advantage
and implied market value of assets
Implied market value of assets provided by Moody's KMV
Information in order backlog
Net present value of all firm's present and future projects generated per dollar of cash holdings
Consumption surplus ratio
Accounting 2009 Financial distress Credit rating downgrades
Accounting 2009 Idiosyncratic volatility
Accounting 2009 Debt capacity
Accounting 2009 Advertising Change in expenditures on advertising
Accounting 2009 Earnings volatility Earnings volatility
Accounting 2009 Cash flow volatility
Accounting 2010 Real estate holdings
Accounting 2010 Excess multiple
Accounting 2010 Excess multiple
Accounting 2010 Firm information quality
Accounting 2010
Earnings distributed to equity holders
Conditional expected idiosyncratic volatility estimated from a GARCH model
Firm tangibility as in Almeida and Campello (2007)
Rolling standard deviation of the standardized cashflow over the past sixteen quarters
Real estate to total property, plant and equipment
Excess multiple calculated as the difference between the accounting multiple and the
warranted multiple obtained by regressing the cross-section of firm multiples on accounting
variablesExcess multiple calculated as the difference between the accounting multiple and the
warranted multiple obtained by regressing the cross-section of firm multiples on accounting
variables
Firm information quality proxied by analyst forecasts, idiosyncratic volatility and standard
errors of beta estimates
Earnings distributed to equity holders
Accounting 2010
Dividends minus stock issues
Accounting 2010 Excess cash
Accounting 2011 R&D investment Firm's investment in research and development
Accounting 2011 Organizational capital
Accounting 2011 Residual income
Accounting 2011 Residual income
Accounting 2011 Percent total accrual Firm accruals scaled by earnings
Accounting 2011
Accounting 2011 Really dirty surplus
Accounting 2011 Earnings forecast Earnings forecast based on firm fundamentals
Accounting 2011 Asset growth
Net cash distributed to equity holders
Most recently available ratio of cash to total assets
Directly measured using Selling, General and Administrative expenditures
Firm residual income growth extracted from firm earnings growth
Firm residual income growth extracted from firm earnings growth
Projected earnings accuracy
Skilled analysts identified by both past earnings forecasts accuracy and skills
Really dirty surplus that happens when a firm issues or reacquires its own shares in a
transaction that does not record the shares at fair market value
Yearly percentage change in total balance sheet assets
Accounting 2011 Tax expense surprises Seasonally differenced quarterly tax expense
Accounting 2011
Accounting 2011
Accounting 2012 Cash holdings Firm cash holdings
Accounting 2012 Labor mobility
Accounting 2012
Accounting 2012
Abnormal operating cash flows
Abnormal production costs
Accounting 2012 Deferred revenues Changes in the current deferred revenue liability
Accounting 2012 Sentiment of conference call wording
Accounting 2012
Predicted earnings increase score
Predicted earnings increase score based on financial statement information
Accounting information quality
Average delay with which accounting information is impounded into stock price
Labor mobility based on average occupational dispersion of employees in an industry
Debt covenant protection
Firm-level covenant index constructed based on 30 covenant categories
Abnormal operating cash flows
Abnormal production costs
Earnings conference calls
Earnings forecast optimism
Difference between characteristic forecasts and analyst forecasts
Accounting 2012 Fraud probability
Accounting 2013 Firm's ability to innovate
Accounting 2013 Gross profitability Gross profits to assets
Accounting 2013
Secured debt Proportion of secured to total debt
Convertible debt Proportion of convertible to total debt
Probability of manipulation based on accounting variables
Rolling firm-by-firm regressions of firm-level sales growth on lagged R&D
Convertible debt indicator
Dummy variable indicating whether a firm has convertible debt outstanding
Other factor(s) Journal Short reference
Douglas (1969)
Banz (1981)
Journal of Finance Jegadeesh (1990)
Journal of Finance
Journal of Finance
Yale Economic Essays
Journal of Political Economy
Fama and MacBeth (1973)
Journal of Financial
Economics
Journal of Financial
Economics
Chopra, Lakonishok and
Ritter (1992)
Michaely, Thaler and Womack
(1995)
Journal of Financial
EconomicsSpiess and Affleck-
Graves (1995)
Size; book-to-market ratio; trading volume
Journal of Financial
Economics
Brennan, Chordia and
Subrahmanyam (1997)
Loughran and Vijh (1997)
Journal of Financial
EconomicsSpiess and Affleck-
Graves (1999)
Working Paper
Journal of Finance
Journal of Finance
Watkins (2003)
Journal of Finance
Within-industry value, cashflow to price ratio,
percent change in employees, momentum
Asness, Porter and Stevens (2000)
Dichev and Piotroski (2001)
Review of Financial Studies
Lamont, Polk and Saa-Requejo
(2001)
Griffin and Lemmon (2002)
Transaction costs; investor sophistication
Journal of Financial
EconomicsAli, Hwang and
Trombley (2003)
Journal of Behavioral Finance
George and Hwang (2004)
Journal of Financial
Economics
Ofek, Richardson and Whitelaw
(2004)
Review of Financial Studies
Anderson, Ghysels and Juergens
(2005)
Review of Accounting Studies
Jiang, Lee and Zhang (2005)
Review of Financial Studies
Whited and Wu (2006)
Systematic volatility Journal of Finance
Working Paper
Journal of Finance
Working Paper
Journal of Finance
Working Paper
Journal of Finance
Ang, Hodrick, Xing and Zhang (2006)
Gettleman and Marks (2006)
Avramov, Chordia, Jostova and
Philipov (2007)
James, Fodor and Peterson (2007)
Review of Financial Studies
Guo and Savickas (2008)
Campbell, Hilscher and Szilagyi (2008)
Brandt, Kishore, Santa-Clara and Venkatachalam
(2008)
Cohen and Frazzini (2008)
Management Science
Bali and Hovakimian (2009)
Journal of Financial Markets
Da and Warachka (2009)
Working Paper
Working Paper Cao and Xu (2010)
Working Paper
Working Paper
Journal of Finance
Journal of Financial and Quantitative
Analysis
Nguyen and Swanson (2009)
Review of Financial Studies
Boyer, Mitton and Vorkink (2010)
Amaya, Christoffersen,
Jacobs and Vasquez (2011)
Journal of Accounting,
Auditing & FinanceAn, Bhojraj and Ng
(2010)
Armstrong, Banerjee and Corona (2010)
Hameed, Huang and Mian (2010)
Menzly and Ozbas (2010)
Journal of Banking and Finance
Huang, Liu, Rhee and Wu (2010)
Journal of Financial and Quantitative
Analysis
Xing, Zhang and Zhao (2010)
R&D investment Li (2011)
Yan (2011)
Working Paper
Working Paper
Accounting Review
Working Paper
Working Paper
Journal of finance
Journal of Financial
EconomicsGeorge and
Hwang (2010)
Review of Financial Studies
Journal of Financial
EconomicsBali, Cakici and
Whitelaw (2011)
Journal of Financial
Economics
Han and Zhou (2011)
Callen and Lyle (2011)
Michael and Rees (2011)
Imrohoroglu and Tuzel (2011)
Accounting information quality
Contemporary Accounting Research
Callen, Khan and Lu (2011)
Van Binsbergen (2012)
Conrad, Dittmar and Ghysels
(2012)
Working Paper
Working Paper
Working Paper
Working Paper
Working Paper
Working Paper
Working Paper
Baltussen, Bekkum, Van Der
Grient (2012)
Friewald, Wagner and Zechner
(2012)
Chen and Strebulaev (2012)
Ang, Bali and Cakici (2012)
Journal of Financial
EconomicsCohen and Lou
(2012)
Journal of Financial
Economics
Moskowitz, Ooi and Pedersen
(2012)
Koijen, Moskowitz, Pedersen and Vrugt (2012)
Journal of Financial
Economics
Burlacu, Fontaine, Jimenez-Garces and Seasholes
(2012)
Frazzini and Pedersen (2013)
Chordia, Subrahmanyam and Tong (2013)
Journal of Finance Jarrow (1980)
Journal of Finance Mayshar (1981)
Figlewski (1981)
Journal of Finance
Journal of Finance
Journal of Finance
Journal of Financial and Quantitative
Analysis
Amihud and Mendelson (1989)
Size; book-to-market ratio; momentum
Journal of Financial
Economics
Brennan, Chordia and
Subrahmanyam (1998)
Journal of Financial Markets
Datar, Naik and Radcliffe (1998)
Lee and Swaminathan
(2000)
Journal of Financial
Economics
Chordia, Subrahmanyam and Anshuman
(2001)
Journal of Financial
EconomicsChen, Hong and
Stein (2002)
Easley, Hvidkjaer and O'Hara (2002)
Nagel (2005)
Working Paper Shu (2007)
Hvidkjaer (2008)
Working Paper Gokcen (2009)
Working Paper
Journal of Financial
EconomicsJones and Lamont
(2002)
Idiosyncratic return volatility; investor
sophistication
Journal of Financial
EconomicsAli, Hwang and
Trombley (2003)
Market return; market liquidity
Journal of Financial
EconomicsAcharya and
Pedersen (2005)
Review of Financial Studies
Hou and Moskowitz (2005)
Journal of Financial
Economics
Journal of Financial
EconomicsAsquith, Pathak
and Ritter (2005)
Review of Financial Studies
Review of Financial Studies
Barber, Odean and Zhu (2009)
Akbas, Armstrong and Petkova
(2011)
Working Paper
Working Paper Zhao (2012)
Journal of Finance
Working Paper
Working Paper
Journal of Finance
Journal of Finance
Working Paper
Ortiz-Molina and Phillips (2011)
Journal of Financial
EconomicsJohnson and So
(2012)
Cohen, Malloy and Pomorski (2012)
Journal of Financial
Economics
Brennan, Chordia, Subrahmanyam and Tong (2012)
Akbas, Armstrong, Sorescu and
Subrahmanyam (2013)
Brennan, Huh and Subrahmanyam
(2013)
Diether, Malloy and Scherbina
(2002)
Fang and Peress (2009)
Jiang and Sun (2011)
Journal of Finance
Journal of Finance
Journal of Finance
Gu (2005)
Working Paper
Financial Analyst Journal
Arbel, Carvell and Strebel (1983)
De Bondt and Thaler (1984)
Jegadeesh and Titman (1993)
Moskowitz and Grinblatt (1999)
Journal of Accounting,
Auditing & Finance
Financial Management
Brammer, Brooks and Pavelin (2006)
Quarterly Review of Economics &
FinanceHead, Smith and
Wilson (2007)
Financial Analyst Journal
Frank, Ma and Oliphant (2008)
Review of Accounting Studies
Lehavy and Sloan (2008)
Korniotis and Kumar (2009)
Journal of Finance
Edmans (2011)
Working Paper
Working Paper Patatoukas (2011)
Working Paper
Journal of Finance Ofer (1975)
Cooper, Gulen and Ovtchinnikov
(2010)
Journal of Financial
Economics
Journal of Financial and Quantitative
Analysis
Chen, Kacperczyk and Ortiz-Molina
(2011)
Da, Liu and Schaumburg
(2011)
Journal of Financial
EconomicsGarcia and Norli
(2012)
Journal of Financial
EconomicsKim, Pantzalis and
Park (2012)
Bazdresch, Belo and Lin (2012)
Journal of Financial
EconomicsHirshleifer, Hsu
and Li (2012)
Journal of Accounting and
EconomicsLarcker, So and
Wang (2013)
Journal of Finance Basu (1977)
Market return
Basu (1983)
Journal of Finance Bhandari (1988)
Journal of Finance
Journal of Financial
Economics
Litzenberger and Ramaswamy
(1979)
Journal of Financial
Economics
Financial Analyst Journal
Hawkins, Chamberlin and
Daniel (1984)
Financial Analyst Journal
McConnell and Sanger (1984)
Financial Analyst Journal
Bauman and Dowen (1988)
Journal of Accounting &
EconomicsOu and Penman
(1989)
Journal of Accounting &
EconomicsHolthausen and Larcker (1992)
Loughran and Ritter (1995)
Journal of Accounting &
EconomicsLev and
Sougiannis (1996)
Journal of Finance La Porta (1996)
Accounting Review Botosan (1997)
Journal of Finance
Beneish (1997)
Journal of Finance Ilia (1998)
Momentum; trading volume
Journal of Financial
Economics
Brennan, Chordia and
Subrahmanyam (1998)
Journal of Financial Research
Ackert and Athanassakos
(1997)
Daniel and Titman (1997)
Journal of Accounting and
Public Policy
Accounting Review
Abarbanell and Bushee (1998)
Journal of Accounting and
EconomicsFrankel and Lee
(1998)
Working Paper
Piotroski (2000)
Accounting Review
Journal of Finance
Working Paper
Difference between firm size and average firm
size within the industryAsness, Porter and
Stevens (2000)
Journal of Accounting Research
Pieter, Lo and Pfeiffer (2011)
Quarterly Journal of Economics
Gompers and Metrick (2001)
Barber, Lehavy, McNichols and
Trueman (2001)
Penman and Zhang (2002)
Review of Accounting Studies
Jeffrey, Lundholm and Soliman
(2003)
Idiosyncratic return volatility; transaction
costs
Journal of Financial
EconomicsAli, Hwang and
Trombley (2003)
Quarterly Journal of Economics
Gompers, Ishii and Metrick (2003)
Accounting Review
Journal of Finance
Journal of Finance
Journal of Finance
Working Paper
Mohanram (2005)
Journal of Finance
Fairfield, Whisenant and
Yohn (2003)
Review of Accounting Studies
Rajgopal, Shevlin and
Venkatachalam (2003)
Jegadeesh, Kim, Krische and Lee
(2004)
Allan, Maxwell and Siddique
(2004)
Journal of Financial and Quantitative
Analysis
Titman, Wei and Xie (2004)
Cremers and Nair (2005)
Lev, Nissim and Thomas (2005)
Contemporary Accounting Research
Lev, Sarath and Sougiannis (2005)
Review of Accounting Studies
Anderson and Garcia-Feijoo
(2006)
Journal of Finance
Journal of Finance
Working Paper
Journal of Finance
Working Paper
Hou and Robinson (2006)
Financial Management
Brammer, Brooks and Pavelin (2006)
Daniel and Titman (2006)
Journal of Financial
EconomicsFama and French
(2006)
Cen, Wei and Zhang (2006)
Journal of Accounting and
Economics
Bradshaw, Richardson and
Sloan (2006)
Franzoni and Marin (2006)
Journal of Accounting Research
Narayanamoorthy (2006)
Seoul Journal of Business
Baik and Ahn (2007)
Brown and Rowe (2007)
Journal of Finance
Journal of Finance
Accounting Review Gu and Lev (2008)
Working Paper
Accounting Review Soliman (2008)
Working Paper
Working Paper Binsbergen (2009)
Market volatility innovation; market
returnReview of
Financial StudiesKumar, Sorescu,
Boehme and Danielsen (2008)
Review of Financial Studies
Garlappi, Shu and Yan (2008)
Cooper, Gulen and Schill (2008)
Pontiff and Woodgate (2008)
Gu, Wang and Ye (2008)
Chandrashekar and Rao (2009)
Fu (2009)
Journal of Finance
Working Paper
Working Paper
Huang (2009)
Tuzel (2010)
Working Paper
Journal of Financial
Economics
Avramov, Chordia, Jostova and
Philipov (2009)
Journal of Financial
Economics
Hahn and Lee (2009)
Chemmanur and Yan (2009)
Gow and Taylor (2009)
Journal of Empirical Finance
Review of Financial Studies
Journal of Accounting,
Auditing & FinanceAn, Bhojraj and Ng
(2010)
Journal of Accounting,
Auditing & FinanceAn, Bhojraj and Ng
(2010)
Armstrong, Banerjee and Corona (2010)
Review of Accounting &
Finance
Papanastasopoulos, Thomakos and
Wang (2010)
Simutin (2010)
Financial constraints Li (2011)
Working Paper
Accounting Review
Working Paper
Accounting Review
Li (2011)
Working Paper
Review of Accounting &
Finance
Papanastasopoulos, Thomakos and
Wang (2010)
Financial Management
Review of Financial Studies
Eisfeldt and Papanikolaou
(2011)
Review of Accounting Studies
Balachandran and Mohanram (2011)
Review of Accounting Studies
Balachandran and Mohanram (2011)
Hafzalla, Lundholm and Van
Winkle (2007)
Hess, Kreutzmann and Pucker (2011)
Landsman, Miller, Peasnell and Shu
(2011)
Review of Accounting Studies
Nyberg and Poyry (2011)
Palazzo (2012)
Working Paper Donangelo (2012)
Working Paper Wang (2012)
Working Paper Li (2012)
Working Paper So (2012)
Journal of Accounting Research
Thomas and Zhang (2011)
Review of Accounting Studies
Wahlen and Wieland (2011)
Non-accounting information quality
Contemporary Accounting Research
Callen, Khan and Lu (2011)
Journal of Financial
Economics
Contemporary Accounting Research
Prakash and Sinha (2012)
Journal of Banking and Finance
Price, Doran, Peterson and Bliss
(2012)
Novy-Marx (2013)
Working Paper Valta (2013)
Financial Analysts Journal
Beneish, Lee and Nichols (2013)
Review of Financial Studies
Cohen, Diether and Malloy (2013)
Journal of Financial
Economics
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