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Campbell R. Harvey and Yan Liu, A Census of the Factor Zoo
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SSRN paper:
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3341728
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(All factors sorted by year)
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Please send updates to:
https://docs.google.com/forms/d/e/1FAIpQLSflDTiqr2bFsP5tqW7XStIp0-ikwHqK94dbCoMshLfesvKL2g/viewform?vc=0&c=0&w=1
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YearCommon FlagIndividual FlagRisk factorFormationTypeJournalShort referenceFull referenceLinkT-statisticSampleAlternative T-statsNotes
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1964Market returnTHEORYCommon financialJournal of FinanceSharpe (1964)Sharpe, William F., 1964, "Capital asset prices: A theory of market equilibrium under conditions of risk", Journal of Finance 19, 425-442.http://www.jstor.org/stable/2977928.pdf
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1965Market returnTHEORYCommon financialJournal of FinanceLintner(1965)Lintner, John, 1965, "Security prices, risk, and maximal gains from diversification", Journal of Finance 20, 587-615.http://www.jstor.org/stable/2977249.pdf
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1966Market returnTHEORYCommon financialEconometricaMossin (1966)Mossin, Jan, 1966, "Equilibrium in a Capital Asset Market", Econometrica 34, 768-783.http://www.jstor.org/stable/pdfplus/1910098.pdf
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19671Total volatilityIndividual stock volatilityIndividual financialYale Economic EssaysDouglas (1967)Douglas, G.W., 1967, "Risk in the equity markets: An empirical appraisal of market efficiency", Yale Economic Essays 9, 3-48.http://yufind.library.yale.edu/yufind/Record/32834368
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1972Market returnTHEORYCommon financialJournal of FinanceHeckerman (1972)Heckerman, Donald G., 1972, "Portfolio selection and the structure of capital asset prices when relative prices of consumption goods may change", Journal of Finance 27, 47-60.http://www.jstor.org/stable/2978502.pdf
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Relative prices of consumption goods
THEORYCommon macro
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19721Market returnEquity index returnCommon financial
Studies in the Theory of Capital Markets
Black, Jensen and Scholes (1972)
Black, Fisher, Michael C Jensen and Myron Scholes, 1972, "The capital asset pricing model: Some empirical tests", In Studies in the theory of capital markets, ed. Michael Jensen, pp. 79-121. New York: Praeger.http://papers.ssrn.com/sol3/papers.cfm?abstract_id=9085692.33
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1972Market returnTHEORYCommon financialJournal of BusinessBlack (1972)Black, Fischer, 1972, "Capital market equilibrium with restricted borrowing", Journal of Business 45, 444-455.http://www.jstor.org/stable/10.2307/2351499
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1973
State variables representing future investment opportunity
THEORYCommon financial/macroEconometricaMerton (1973)Merton, Robert C., 1973, "An intertemporal capital asset pricing model", Econometrica 41, 867-887.http://www.jstor.org/stable/pdfplus/1913811.pdf
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1973Market returnEquity index returnCommon financialJournal of Political EconomyFama and MacBeth (1973)Fama, Eugene F. and James D. MacBeth, 1973, "Risk, return, and equilibrium: Empirical tests", Journal of Political Economy 81, 607-636.http://www.jstor.org/stable/pdfplus/1831028.pdf
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1Beta squaredSquare of market betaCommon financial0.86
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1Idiosyncratic volatilityResidual stock volatility from CAPMIndividual financial1.11
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1973High order market returnTHEORYCommon financial
Journal of Financial and Quantitative Analysis
Rubinstein (1973)Rubinstein, Mark E., 1973, "The fundamental of parameter-preference security valuation", Journal of Financial and Quantitative Analysis 8, 61-69.http://www. Jstor.org/stable/10.2307/2329748
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1974World market returnTHEORYCommon financialJournal of Economic TheorySolnik (1974)Solnik, Bruno, 1974, "An equilibrium model of the international capital market", Journal of Economic Theory 8, 500-524.
http://www.sciencedirect.com/science/article/pii/0022053174900246
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1974Individual investor resourcesTHEORYCommon financialJournal of Financial EconomicsRubinstein (1974)Rubinstein, Mark E., 1974, "An aggregation theorem for securities markets", Journal of Financial Economics 1, 225-244.
http://www.sciencedirect.com/science/article/pii/0304405X74900191
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19751
Earnings growth expectations
Projecting firm earnings growth based on market beta, firm size, dividend payout ratio, leverage and earnings variability
Individual accountingJournal of FinanceGupta and Ofer (1975)Gupta, Manak C. and Aharon R. Ofer, "Investor's expectations of earnings growth, their accuracy and effects on the structure of realized rates of return", Journal of Finance 30, 509-523.http://www.jstor.org/stable/pdfplus/2978730.pdf2.1807
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1976Market returnEquity index returnCommon financialJournal of FinanceKraus and Litzenberger (1976)Kraus, Alan and Robert H. Litzenberger, 1976, "Skewness preference and the valuation of risk assets", Journal of Finance 31, 1085-1100.http://www.jstor.org/stable/2326275.pdf
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1Squared market returnSquare of equity index returnCommon financial1.905
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19771PE ratioFirm price-to-earnings ratioIndividual accountingJournal of FinanceBasu (1977)Basu, S., 1977, "Investment performance of common stocks in relation to their price-earnings ratios: a test of the efficient market hypothesis", Journal of Finance 32, 663-682.http://www.jstor.org/stable/pdfplus/2326304.pdf2.472
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1978Marginal rate of substitutionTHEORYCommon macroEconometricaLucas (1978)Lucas Jr, Robert E., 1978, "Asset prices in an exchange economy", Econometrica 46, 1429-1445.
http://www.hss.caltech.edu/~pbs/expfinance/Readings/Lucas1978.pdf
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19791Dividend yield
Dividend per share divided by share price
Individual accountingJournal of Financial EconomicsLitzenberger and Ramaswamy (1979)Litzenberger, Robert H. and Krishna Ramaswamy, 1979, "The effect of personal taxes and dividends on capital asset prices", Journal of Financial Economics 7, 163-195.http://www.sciencedirect.com/science/article/pii/0304405X79900126#6.33
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Market returnEquity index returnCommon financial
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1979
Aggregate real consumption
THEORYCommon macroJournal of Financial EconomicsBreeden (1979)Breeden, Douglas T., 1979, "An intertemporal asset pricing model with stochastic consumption and investment opportunities", Journal of Financial Economics 7, 265-296.
http://www.sciencedirect.com/science/article/pii/0304405X79900163
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1980Short sale restrictionsTHEORYIndividual microstructureJournal of FinanceJarrow (1980)Jarrow, Robert, 1980, "Heterogeneous expectations, restrictions on short sales, and equilibrium asset prices", Journal of Finance 35, 1105-1113.
http://forum.johnson.cornell.edu/faculty/jarrow/004%20Heterogeneous%20Expectations%20JF%201980.pdf
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1981Market returnEquity index returnCommon financialJournal of FinanceFogler, John and Tipton (1981)Fogler, H. Russell, Rose John and James Tipton, 1981, "Three factors, interest rate differentials and stock groups", Journal of Finance 36, 323-335.www.jstor.org/stable/pdfplus/2327014.pdf
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Treasury bond return3-month US Treasury bill returnCommon financial
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Corporate bond return
Index of long-term Aa utility bonds with deferred calls returns
Common financial
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19811Treasury bill return
Principle components extracted from returns of Treasury bills
Common financialJournal of Finance
Oldfield and Rogalski (1981)
Oldfield, George S. and Richard J. Rogalski, 1981, "Treasury bill factors and common stock returns", Journal of Finance 36, 337-350.http://www.jstor.org/stable/pdfplus/2327015.pdf2.281
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1981World consumptionTHEORYCommon macroJournal of Financial EconomicsStulz (1981)Stulz, Rene M., 1981, "A model of international asset pricing", Journal of Financial Economics 9, 383-406.
http://www.sciencedirect.com/science/article/pii/0304405X81900052
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1981Transaction costsTHEORYIndividual microstructureJournal of FinanceMayshar (1981)Mayshar, Joram, 1981, "Transaction costs and the pricing of assets", Journal of Finance 36, 583-597.http://www.jstor.org/stable/pdfplus/2327520.pdf
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19811Firm sizeMarket value of firm stocksIndividual financialJournal of Financial EconomicsBanz (1981)Banz, Rolf W., 1981, "The relationship between return and market value of common stocks", Journal of Financial Economics 9, 3-18.
http://www.sciencedirect.com/science/article/pii/0304405X81900180
2.92
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19811Short interestEquity short interestIndividual microstructure
Journal of Financial and Quantitative Analysis
Figlewski (1981)Figlewski, Stephen, 1981, "The informational effects of restrictions on short sales: some empirical evidence", Journal of Financial and Quantitative Analysis 16, 463-476.
http://www.jstor.org/stable/pdfplus/2330366.pdf?acceptTC=true
2.786
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1982
Individual consumer's wealth
THEORYCommon financialJournal of BusinessConstantinides (1982)Constantinides, George, 1982, "Intertemporal asset pricing with heterogeneous consumers and without demand aggregation", Journal of Business 55, 253-267.http://www.jstor.org/stable/10.2307/2352702
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1982Dividend yield
Total dividends divided by market capitalization
Individual accountingJournal of Finance
Litzenberger and Ramaswamy (1982)
Litzenberger, Robert H. and Krishna Ramaswamy, 1982, "The effects of dividends on common stock prices tax effects or information effects?", Journal of Finance 37, 429-443.
https://www.jstor.org/stable/2327346?seq=1#page_scan_tab_contents
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19831EP ratioFirm earnings-to-price ratioIndividual accountingJournal of Financial EconomicsBasu (1983)Basu, S., 1983, "The relationship between earnigns' yield, market value and return for NYSE common stocks: further evidence", Journal of Financial Economics 12, 129-156.http://www.uadphilecon.gr/UA/files/1436950889..pdf2.617
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1983
Foreign exchange rate change
THEORYCommon financialJournal of Finance
Adler and Dumas (1983)
Adler, Michael and Bernard Dumas, 1983, "International portfolio choice and corporation finance: A synthesis", Journal of Finance 38, 925-984.http://www.jstor.org/stable/10.2307/2328091
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1983Institutional holding
Institutional concentration rankings from Standard and Poor's
Individual otherFinancial Analyst Journal
Arbel, Carvell and Strebel (1983)
Arbel, Avner, Steven Carvell and Paul Strebel, 1983, "Giraffes, institutions and neglected firms", Financial Analysts Journal 39, 57-63.
http://www.jstor.org/stable/pdfplus/4478647.pdf?acceptTC=true
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1984Earnings expectationsConsensus earnings expectationsIndividual accountingFinancial Analyst Journal
Hawkins, Chamberlin and Daniel (1984)
Hawkins, Eugene H., Stanley C. Chamberlin and Wayne E. Daniel, 1984, "Earnings expectations and security prices", Financial Analysts Journal., 24-39.
http://www.jstor.org/stable/pdfplus/4478772.pdf?acceptTC=true
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1984New listings dummy
Announcement that a company has filed a formal application to list on the NYSE
Individual accountingFinancial Analyst Journal
McConnell and Sanger (1984)
McConnell, John J. and Gary C. Sanger, 1984, "A trading strategy for new listings on the NYSE", Financial Analysts Journal, 34-38.
http://www.jstor.org/stable/pdfplus/4478714.pdf?acceptTC=true
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1985Market returnEquity index returnCommon financialJournal of Financial EconomicsChan, Chen and Hsieh (1985)Chan, K. C., Nai-fu Chen and David A. Hsieh, 1985, "An exploratory investigation of the firm size effect", Journal of Financial Economics 14, 451-471.http://www.sciencedirect.com/science/article/pii/0304405X8590008X
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1Industrial production growth
Seasonally adjusted monthly growth rate of industrial production
Common macro2.72
48
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Change in expected inflation
Change in expected inflation as defined in Fama and Gibbons (1984)
Common macro1.61
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1Unanticipated inflationRealized minus expected inflationCommon macro2.56
50
1Credit premium
Risk premium measured as difference in return between ``under Baa" bond portfolio and long-term government bond portfolio
Common financial2.87
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1Term structure
Yield curve slope measured as difference in return between long-term government bond and 1-month Treasury bill
Common financial1.41
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19851Long-term return reversalLong-term past abnormal returnIndividual otherJournal of Finance
Bondt and Thaler (1985)
Bondt , Werner F. M. and Richard Thaler, 1985, "Does the stock market overreact?", Journal of Finance 40, 793-805.http://www.jstor.org/stable/pdfplus/2327804.pdf3.14
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1985
Investment opportunity change
THEORYCommon financialEconometrica
Cox, Ingersoll and Ross (1985)
Cox, John, Jonathan Ingersoll and Stephen Ross, 1985, "A theory of the term structure of interest rates", Econometrica 53, 385-407.http://www.jstor.org/stable/10.2307/1911242
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1986Transaction costsTHEORYCommon microstructureJournal of Financial Economics
Amihud and Mendelson (1986)
Amihud, Yakov and Haim Mendelson, 1986, "Asset pricing and the bid-ask spread", Journal of Financial Economics 17, 223-249.
http://www.sciencedirect.com/science/article/pii/034405X86900656
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1986Transaction costsTHEORYCommon microstructureJournal of Political EconomyConstantinides (1986)Constantinides, George, 1986, "Capital market equilibrium with transaction costs", Journal of Political Economy 94, 842-862.http://www.jstor.org/stable/10.2307/1833205
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1986Expected inflationTHEORYCommon macroJournal of FinanceStulz (1986)Stulz, Rene M., 1986, "Asset Pricing and Expected Inflation", Journal of Finance 41, 209-223.http://www.jstor.org/stable/pdfplus/2328353.pdf
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19861Long-term interest rate
Change in the yield of long-term government bonds
Common financialJournal of Finance
Sweeney and Warga (1986)
Sweeney, Richard J. and Arthur D. Warga, 1986, "The pricing of interest-rate risk: evidence from the stock market", Journal of Finance 41, 393-410.http://www.jstor.org/stable/pdfplus/2328443.pdf5.1
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1986Industrial production growth
Seasonally adjusted monthly growth rate of industrial production
Common macroJournal of BusinessChen, Roll and Ross (1986)Chen, Nai-Fu, Richard Roll and Stephen A. Ross, 1986, "Economic forces and stock market", Journal of Business 59, 383-403.http://www.jstor.org/stable/pdfplus/2352710.pdf
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Credit premium
Risk premium measured as difference in return between ``under Baa" bond portfolio and long-term government bond portfolio
Common financial
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Term structure
Yield curve slope measured as difference in return between long-term government bond and 1-month Treasury bill
Common financial
61
Unanticipated inflationRealized minus expected inflationCommon macro
62
Changes in expected inflation
Changes in expected inflation as defined in Fama and Gibbons (1984)
Common macro
63
1Change in oil pricesGrowth rate in oil pricesCommon macro0.996
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19881Debt to equity ratio
Non-common equity liabilities to equity
Individual accountingJournal of FinanceBhandari (1988)Bhandari, Laxmi Chand, 1988, "Debt/Equity ratio and expected common stock returns: Empirical evidence", Journal of Finance 43, 507-528.http://www.jstor.org/stable/pdfplus/2328473.pdf3.93
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19881
Long-term growth forecasts
Long-term growth forecasts proxied by the five-year earnings per share growth rate forecasts
Individual accountingFinancial Analyst Journal
Bauman and Dowen (1988)
Bauman, Scott and Richard Dowen, 1988, "Growth projections and common stock returns", Financial Analyst Journal 44, 79-80.CFA institute
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19881Sales-to-price
Trailing year's sales-per-share divided by price, relative to the cap-weighted industry average
Individual AccountingFinancial Analyst JournalJacobs and Levy (1988)Jacobs, Bruce I. and Kenneth N. Levy, 1988, "Disentangling Equity Return Regularities: New Insights and Investment Opportunities", Financial Analysts Journal 44, 18-43.https://www.jlem.com/documents/FG/jlem/articles/579649_Disentangling-FAJ_MJ88.pdf 3.41978-1986From Table 5 p. 36, pure anomaly
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1
Trends in analysts' earnings estimates
Change in next fiscal year's consensus estimate, normalized by price
Individual Accounting7.9
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19891Consumption growth
Per capita real consumption growth
Common macroJournal of Finance
Breeden, Gibbons and Litzenberger (1989)
Breeden, Douglas T., Michael R. Gibbons and Robert H. Litzenberger, "Empirical Test of the Consumption-Oriented CAPM", Journal of Finance 44, 231-262.http://www.jstor.org/stable/pdfplus/2328589.pdf3.594
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19891IlliquidityIlliquidity proxied by bid-ask spreadIndividual microstructureJournal of Finance
Amihud and Mendelson (1989)
Amihud, Yakov and Haim Mendelson, 1989, "The effects of beta, bid-ask spread, residual risk, and size on stock returns", Journal of Finance 44, 479-486.http://www.jstor.org/stable/23286005.1
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19891Predicted earnings change
Predicted earnings change in one year based on a financial statement analysis that combines a large set of financial statement items
Individual accountingJournal of Accounting & EconomicsOu and Penman (1989)Ou, Jane A. and Stephen H. Penman, 1989, "Financial statement analysis and the prediction of stock returns", Journal of Accounting & Economics 11, 295-329.
http://www.sciencedirect.com/science/article/pii/0165410189900177
6.23
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19901Return predictability
Short-term (one month) and long-term (twelve months) serial correlations in returns
Individual financialJournal of FinanceJegadeesh (1990)Jegadeesh, Narasimhan, 1990, "Evidence of predictable behavior of security returns", Journal of Finance 45, 881-898.
http://www.jstor.org/stable/pdfplus/2328797.pdf?acceptTC=true
6.94
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1991Market returnEquity index returnCommon financialJournal of Political EconomyFerson and Harvey (1991)Ferson, Wayne E. and Campbell R. Harvey, 1991, "The variation of economic risk premiums", Journal of Political Economy 99, 385-415.http://www.jstor.org/stable/pdfplus/2937686.pdf
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Consumption growth
Real per capita growth of personal consumption expenditures for nondurables & services
Common macro
74
Credit spread
Baa corporate bond return less monthly long-term government bond return
Common financial
75
1
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
Common financial2.57
76
Unexpected inflation
Difference between actual and time-series forecasts of inflation rate
Common macro
77
1Real short rate
One-month Treasury bill return less inflation rate
Common financial2.16
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19921Size
Return on a zero-investment portfolio long in small stocks and short in large stocks
Common accountingJournal of FinanceFama and French (1992)Fama, Eugene F. and Kenneth R. French, 1992, "The cross-section of expected stock returns", Journal of Finance 47, 427-465.www.jstor.org/stable/pdfplus/2329112.pdf2.58
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1Value
Return on a zero-investment portfolio long in growth stocks and short in value stocks
Common accounting5.71
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1992Return momentum
Size and beta adjusted mean prior five-year returns
Individual financialJournal of Financial Economics
Chopra, Lakonishok and Ritter (1992)
Chopra, Navin, Josef Lakonishok and Jay R. Ritter, 1992, "Measuring abnormal performance", Journal of Financial Economics 31, 235-268.
http://www.sciencedirect.com/science/article/pii/0304405X9290005I
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1992Predicted return signs
Return signs predicted by a logit model using financial ratios
Individual accountingJournal of Accounting & Economics
Holthausen and Larcker (1992)
Holthausen, Robert and David Larcker, 1992, "The prediction of stock returns using financial statement information", Journal of Accounting & Economics 15, 373-411.
http://www.sciencedirect.com/science/article/pii/016541019290025W
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19931Return momentumPast stock returnsIndividual otherJournal of Finance
Jegadeesh and Titman (1993)
Jegadeesh, Narasimhan and Sheridan Titman, 1993, "Returns to buying winners and selling losers: implications for stock market efficiency", Journal of Finance 48, 65-91.http://www.jstor.org/stable/23288822.6
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1993Return on S&P stocksReturns on S&P stocksCommon financialReview of Financial StudiesElton, Gruber, Das and Hlavka (1993)Elton, Edwin, Martin Gruber, Sanjiv Das and Matthew Hlavka, 1993, "Efficiency with costly information: A reinterpretation of evidence from managed portfolios", Review of Financial Studies 6, 1-22.http://www.jstor.org/stable/10.2307/2961987
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Returns on non-S&P stocksReturns on non-S&P stocksCommon financial
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1993
High order market and bond return
High order equity index returns and bond returns
Common financialJournal of Finance
Bansal and Viswanathan (1993)
Bansal, Ravi and S.Viswanathan, 1993, "No arbitrage and arbitrage pricing: a new approach", Journal of Finance 48, 1231-1262.http://www.jstor.org/stable/pdfplus/2329037.pdf
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1993Market returnEquity index returnCommon financialJournal of Financial EconomicsFama and French (1993)Fama, Eugene F. and Kenneth R. French, 1993, "Common risk factors in the returns on stocks and bonds", Journal of Financial Economics 33, 3-56.http://www.sciencedirect.com/science/article/pii/0304405X93900235#
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Size
Return on a zero-investment portfolio long in small stocks and short in large stocks
Common accounting
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Value
Return on a zero-investment portfolio long in growth stocks and short in value stocks
Common accounting
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Term structure
Difference in return between long-term government bond and one-month Treasury bill
Common financial
90
Credit risk
Difference in return between long-term corporate bond and long-term government bond
Common financial
91
1993World equity return
US dollar return of the MSCI world equity market in excess of a short-term interest rate
Common financialReview of Financial StudiesFerson and Harvey (1993)Ferson, Wayne E. and Campbell R. Harvey, 1993, "The risk and predictability of international equity returns", Review of Financial Studies 6, 527-566.http://www.jstor.org./stable/pdfplus/2961978.pdf
92
Change in weighted exchange rate
Log first difference of the trade-weighted US dollar price of ten industrialized countries' currencies
Common financial
93
Change in long-term inflationary expectations
Change in long-term inflationary expectations
Common macro
94
Weighted real short-term interest rate
GDP weighted average of short-term interest rates in G-7 countries
Common financial
95
Change in oil price
Change in the monthly average US dollar price per barrel of crude oil
Common macro
96
Change in the Eurodollar-Treasury yield spread
First difference of the spread between the 90-day Eurodollar yield and the 90-day Treasury-bill yield
Common financial
97
Change in G-7 industrial production
Change in G-7 industrial production
Common macro
98
Unexpected inflation for the G-7 countries
Unexpected inflation based on a time-series model on an aggregate G-7 inflation rate
Common macro
99
19941World equity return
US dollar return of the MSCI world equity market in excess of a short-term interest rate
Common financialJournal of Banking and FinanceFerson and Harvey (1994)Ferson, Wayne and Campbell Harvey, 1994, "Sources of risk and expected returns in global equity markets", Journal of Banking and Finance 18, 775-803.http://www.sciencedirect.com/science/article/pii/037842669300020P1.969
100
1
Change in weighted exchange rate
Log first difference of the trade-weighted US dollar price of ten industrialized countries' currencies
Common financial0.954
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