ABCDEFGHIJKLMNOPQRSTUVWXYZ
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Mean Long-Short Return Across 205 Predictors (%, Monthly)
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Implementationbefore samplein samplepost sample but before pubpost publast 5 years2020
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Original Paper0.560.680.460.270.09-0.14
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HoldPer_10.540.720.490.280.10-0.15
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HoldPer_30.360.630.420.270.100.16
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HoldPer_60.300.570.350.220.04-0.01
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HoldPer_120.270.490.270.280.02-0.09
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ME_gt_NYSE20pct0.260.490.280.180.03-0.29
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NYSEonly0.380.450.140.17-0.02-0.33
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Price_gt_50.340.550.340.17-0.01-0.44
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VWforce0.430.440.260.110.00-0.59
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Quintiles (cts only)0.420.630.410.230.06-0.03
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QuintilesVW (cts only)0.290.400.270.10-0.02-0.44
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Deciles (cts only)0.400.790.500.320.130.24
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DecilesVW (cts only)0.310.530.310.130.06-0.22
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