Comparison_to_HLZ.csv

Year,Common #,Indi. #,Risk factor,Formation,Type,Journal,Short reference,Full reference,Link without href,Predictability.in.OP,Coverage,New Journal,notes
NA,NA,2,Idiosyncratic volatility,Residual stock volatility from CAPM,Individual financial,Journal of Political Economy,Fama 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,1_clear,done!,NA,NA
1975,NA,3,Earnings growth expectations,"Projecting firm earnings growth based on market beta, firm size, dividend payout ratio, leverage and earnings variability",Individual accounting,Journal of Finance,Ofer (1975),"Ofer, Aharon R., ``Investor's expectations of earnings growth, their accuracy and effects on the structure of realized rates of return"", Journal of Finance 30, 509-523.",http://www.jstor.org/stable/pdfplus/2978730.pdf,1_clear,done!,NA,NA
1977,NA,4,PE ratio,Firm price-to-earnings ratio,Individual accounting,Journal of Finance,Basu (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.pdf,1_clear,done!,NA,NA
1979,NA,5,Dividend yield,Dividend per share divided by share price,Individual accounting,Journal of Financial Economics,Litzenberger 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#,1_clear,done!,NA,NA
1981,NA,6,Firm size,Market value of firm stocks,Individual financial,Journal of Financial Economics,Banz (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/0304405X81900180,1_clear,done!,NA,NA
1981,NA,7,Short interest,Equity short interest,Individual 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,1_clear,done!,NA,NA
1983,NA,8,EP ratio,Firm earnings-to-price ratio,Individual accounting,Journal of Financial Economics,Basu (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..pdf,1_clear,done!,NA,NA
1985,NA,9,Long-term return reversal,Long-term past abnormal return,Individual  other,Journal of Finance,De Bondt and Thaler (1985),"De Bondt , Werner F. M. and Richard Thaler, 1985, ``Does the stock market overreact?"", Journal of Finance 40, 28-30.",http://www.jstor.org/stable/pdfplus/2327804.pdf,1_clear,done!,NA,NA
1988,NA,10,Debt to equity ratio,Non-common equity liabilities to equity,Individual accounting,Journal of Finance,Bhandari (1988),"Bhandari, Laxmi Chand, ``Debt/Equity ratio and expected common stock returns: Empirical evidence"", Journal of Finance 43, 507-528.",http://www.jstor.org/stable/pdfplus/2328473.pdf,1_clear,done!,NA,NA
1989,NA,11,Illiquidity,Illiquidity proxied by bid-ask spread,Individual microstructure,Journal 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/2328600,1_clear,done!,NA,NA
1989,NA,12,Predicted earnings change,Predicted earnings change in one year based on a financial statement analysis that combines a large set of financial statement items,Individual accounting,Journal of Accounting & Economics,Ou and Penman (1989),"Ou, Jane and Stephen Penman, 1989, Financial statement analysis and the prediction of stock returns, Journal of Accounting & Economics 11, 295-329.",http://www.sciencedirect.com/science/article/pii/0165410189900177,1_clear,done!,NA,NA
1990,NA,13,Return predictability,Short-term (one month) and long-term (twelve months) serial correlations in returns,Individual financial,Journal of Finance,Jegadeesh (1990),"Jegadeesh, Narasimhan, 1990, Evidence of predictable behavior of security returns, Journal of Finance 45, 147-171.",http://www.jstor.org/stable/pdfplus/2328797.pdf?acceptTC=true,1_clear,done!,NA,NA
1993,NA,14,Return momentum,Past stock returns,Individual other,Journal 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/2328882,1_clear,done!,NA,NA
1995,NA,15,New public stock issuance,New public stock issuance,Individual accounting,Journal of Finance,Loughran and Ritter (1995),"Loughran, Tim and Jay R. Ritter, 1995, ``The new issues puzzle"", Journal of Finance 50, 23-51.",http://www.jstor.org/stable/pdfplus/2329238.pdf,1_clear,done!,NA,NA
1995,NA,16,Dividend initiations,Initiations of cash dividend payments,Individual financial,Journal of Finance,"Michaely, Thaler and Womack (1995)","Michaely, Roni, Richard Thaler and Kent Womack, 1995, Price reactions to dividend initiations and omissions: overreaction or drift? Journal of Finance 50, 573-608.",http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.1995.tb04796.x/abstract,1_clear,done!,NA,NA
NA,NA,17,Dividend omissions,Omissions of cash dividend payments,Individual financial,Journal of Finance,"Michaely, Thaler and Womack (1995)","Michaely, Roni, Richard Thaler and Kent Womack, 1995, Price reactions to dividend initiations and omissions: overreaction or drift? Journal of Finance 50, 573-608.",http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.1995.tb04796.x/abstract,1_clear,done!,NA,NA
1996,NA,18,Earnings forecast,Errors in analysts' forecasts on earnings growth,Individual accounting,Journal of Finance,La Porta (1996),"La Porta, Rafael, 1996, ``Expectations and the cross-section of stock returns"", Journal of Finance 51, 1715-1742.",http://www.jstor.org/stable/pdfplus/2329535.pdf,1_clear,done!,NA,NA
1996,NA,19,R&D capital,R&D capital over total assets,Individual accounting,Journal of Accounting & Economics,Lev and Sougiannis (1996),"Lev, Baruch and Theodore Sougiannis, 1996, The capitalization, amortization, and value-relevance of R&D, Journal of Accounting and Economics 21, 107-138.",http://www.sciencedirect.com/science/article/pii/0165410195004106,1_clear,done!,NA,NA
1996,NA,20,Accruals,"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,Accounting Review,Sloan (1996),"Sloan, Richard, 1996, Do stock prices fully reflect information in accruals and cash flows about future earnings? Accounting Review 71, 289-315.",http://www.jstor.org/stable/pdfplus/248290.pdf,1_clear,done!,NA,NA
1996,NA,21,Buy recommendations,Buy recommendations from security analysts,Individual financial,Journal of Finance,Womack (1996),"Womack, Kent, 1996, Do brokerage analysts' recommendations have investment value? Journal of Finance 51, 137-167.",http://www.jstor.org.proxy.lib.duke.edu/stable/pdfplus/2329305.pdf,1_clear,done!,NA,NA
NA,NA,22,Sell recommendations,Sell recommendations from security analysts,Individual financial,Journal of Finance,Womack (1996),"Womack, Kent, 1996, Do brokerage analysts' recommendations have investment value? Journal of Finance 51, 137-167.",http://www.jstor.org.proxy.lib.duke.edu/stable/pdfplus/2329305.pdf,1_clear,done!,NA,NA
NA,NA,25,Trading volume,Dollar volume traded per month,Individual microstructure,Journal of Financial Economics,"Brennan, Chordia and Subrahmanyam (1997)","Brennan, Michael J., Tarun Chordia and Avanidhar Subrahmanyam, 1997, ``Alternative factor specifications, security characteristics, and the cross-section of expected stock returns"", Journal of Financial Economics 49, 345-373.",http://www.sciencedirect.com/science/article/pii/S0304405X98000282#,1_clear,done!,NA,NA
1998,NA,29,Bankruptcy risk,The probability of bankruptcy from Altman (1968),Individual accounting,Journal of Finance,Ilia (1998),"Dichev, Ilia, 1998, Is the risk of bankruptcy a systematic risk? Journal of Finance 53, 1131-1147.",http://onlinelibrary.wiley.com/doi/10.1111/0022-1082.00046/pdf,1_clear,done!,NA,NA
1998,NA,30,Illiquidity,Liquidity proxied by the turnover rate: number of shares traded as a fraction of the number of shares outstanding,Individual microstructure,Journal of Financial Markets,"Datar, Naik and Radcliffe (1998)","Datar, Vinay, Narayan Naik and Robert Radcliffe, 1998, Liquidity and stock returns: An alternative test, Journal of Financial Markets 1, 203-219.",http://www.sciencedirect.com/science/article/pii/S1386418197000049,1_clear,done!,NA,NA
1999,NA,31,Industry momentum,Industry-wide momentum returns,Individual other,Journal of Finance,Moskowitz and Grinblatt (1999),"Moskowitz, Tobias J. and Mark Grinblatt, 1999, ``Do industries explain momentum?"", Journal of Finance 54, 1249-1290.",http://www.jstor.org/stable/pdfplus/798005.pdf,1_clear,done!,NA,NA
2000,NA,32,Trading volume,Past trading volume,Individual microstructure,Journal of Finance,Lee and Swaminathan (2000),"Lee, Charles M.C. and Bhaskaran Swaminathan, 2000, ``Price momentum and trading volume"", Journal of Finance 55, 2017-2069.",http://www.jstor.org/stable/pdfplus/222483.pdf,1_clear,done!,NA,NA
2000,NA,36,Within-industry percent change in employees,Difference between firm percent change in employees and average percent change in employees within the industry,Individual accounting,Working Paper,"Asness, Porter and Stevens (2000)","Asness, Clifford, R. Burt Porter and Ross Stevens, 2000, Predicting stock returns using industry-relative firm characteristics, Working Paper, AQR Capital Management.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=213872,1_clear,done!,WP,we cite Grinblatt and Moskowitz
2000,NA,38,Financial statement information,A composite score based on historical financial statement that separates winners from losers,Individual accounting,Journal of Accounting Research,Piotroski (2000),"Piotroski, Joseph, 2000, Value investing: The use of historical financial statement information to separate winners from losers, Journal of Accounting Research 38, 1-41.",http://www.jstor.org/stable/pdfplus/2672906.pdf?acceptTC=true,1_clear,done!,NA,NA
2001,NA,39,Level of liquidity,Level of dollar trading volume and share turnover,Individual microstructure,Journal of Financial Economics,"Chordia, Subrahmanyam and Anshuman (2001)","Chordia, Tarun, Avanidhar Subrahmanyam and V. Ravi Anshuman, 2001, ``Trading activity and expected stock returns"", Journal of Financial Economics 59, 3-32.",http://www.sciencedirect.com/science/article/pii/S0304405X00000805#,1_clear,done!,NA,NA
NA,NA,40,Variability of liquidity,Volatility of dollar trading volume and share turnover,Individual microstructure,Journal of Financial Economics,"Chordia, Subrahmanyam and Anshuman (2001)","Chordia, Tarun, Avanidhar Subrahmanyam and V. Ravi Anshuman, 2001, ``Trading activity and expected stock returns"", Journal of Financial Economics 59, 3-32.",http://www.sciencedirect.com/science/article/pii/S0304405X00000805#,1_clear,done!,NA,NA
2001,NA,41,Financial constraints,Measure financial constraints with Kaplan and Zingales (1997) index,Individual financial,Review of Financial Studies,"Lamont, Polk and Saa-Requejo (2001)","Lamont, Owen, Christopher Polk and Jesus Saa-Requejo, 2001, ``Financial constraints and stock returns"", Review of Financial Studies 14, 529-554.",http://www.jstor.org/stable/pdfplus/2696750.pdf,1_clear,done!,NA,NA
2001,NA,42,Bond rating changes,Moody's bond ratings changes,Individual financial,Journal of Finance,Dichev and Piotroski (2001),"Dichev, Ilia and Joseph Piotroski, 2001, The long-run stock returns following bond ratings changes, Journal of Finance 56,173-203.",http://onlinelibrary.wiley.com/doi/10.1111/0022-1082.00322/abstract,1_clear,done!,NA,NA
2001,NA,43,Analysts' forecasts,Financial analysts' forecasts of annual earnings,Individual accounting,Accounting Review,"Pieter, Lo and Pfeiffer (2011)","Elgers, Pieter, May Lo and Ray Pfeiffer, 2001, Delayed security price adjustments to financial analysts' forecasts of annual earnings, Accounting Review 76, 613-632.",http://www.jstor.org/stable/pdfplus/3068929.pdf?acceptTC=true,1_clear,done!,NA,NA
2001,NA,44,Institutional ownership,Institutional holdings of firm assets,Individual accounting,Quarterly Journal of Economics,Gompers and Metrick (2001),"Gompers, Paul and Andrew Metrick, 2001, Institutional investors and equity prices, Quarterly Journal of Economics, 116, 229-259.",http://qje.oxfordjournals.org/content/116/1/229.abstract,1_clear,done!,NA,NA
2002,NA,45,Distress risk,Distress risk as proxied by Ohlson's O-score,Individual financial,Journal of Finance,Griffin and Lemmon (2002),"Griffin, John M. and Michael L. Lemmon, 2002, ``Book-to-market equity, distress risk, and stock returns"", Journal of Finance 57, 2317-2336.",http://www.jstor.org/stable/pdfplus/3094513.pdf,1_clear,done!,NA,NA
2002,NA,46,Analyst dispersion,Dispersion in analysts' earnings forecasts,Individual behavioral,Journal of Finance,"Diether, Malloy and Scherbina (2002)","Diether, Karl B., Christopher J. Malloy and Anna Scherbina, 2002, ``Differences of opinion and the cross section of stock returns"", Journal of Finance 57, 2113-2141.",http://www.jstor.org/stable/pdfplus/3094506.pdf,1_clear,done!,NA,NA
2002,NA,47,Breadth of ownership,Ratio of the number of mutual funds holding long positions in the stock to total number of mutual funds,Individual microstructure,Journal of Financial Economics,"Chen, Hong and Stein (2002)","Chen, Joseph, Harrison Hong and Jeremy C. Stein, 2002, ``Breadth of ownership and stock returns"", Journal of Financial Economics 66, 171-205.",http://www.sciencedirect.com/science/article/pii/S0304405X02002234#,1_clear,done!,NA,NA
2003,NA,51,Shareholder rights,Shareholder rights as proxied by an index using 24 governance rules,Individual accounting,Quarterly Journal of Economics,"Gompers, Ishii and Metrick (2003)","Gompers, Paul, Joy Ishii and Andrew Metrick, 2003, ``Corporate governance and equity prices"", Quarterly Journal of Economics 118, 107-155.",http://www.jstor.org/stable/pdfplus/25053900.pdf,1_clear,done!,NA,NA
2003,NA,52,Excluded expenses,Excluded expenses in firm's earnings reports,Individual accounting,Review of Accounting Studies,"Jeffrey, Lundholm and Soliman (2003)","Doyle, Jeffrey, Russell Lundholm and Mark Soliman, 2003, The predictive value of expenses excluded from pro forma earnings, Review of Accounting Studies 8, 145-174.",http://link.springer.com/content/pdf/10.1023%2FA%3A1024472210359.pdf,1_clear,done!,NA,NA
2003,NA,53,Growth in long-term net operating assets,Growth in long-term net operating assets,Individual accounting,Accounting Review,"Fairfield, Whisenant and Yohn (2003)","Fairfield, Patricia, Scott Whisenant and Teri Lombardi Yohn, 2003, Accrued earnings and growth: implications for future profitability and market mispricing, Accounting Review 78, 353-371.",http://www.jstor.org/stable/pdfplus/3203307.pdf?acceptTC=true,1_clear,done!,NA,NA
2003,NA,55,Return consistency,Consecutive returns with the same sign,Individual financial,Journal of Behavioral Finance,Watkins (2003),"Watkins, Boyce, 2003, Riding the wave of sentiment: An analysis of return consistency as a predictor of future returns, Journal of Behavioral Finance 4, 191-200.",http://www.tandfonline.com/doi/pdf/10.1207/s15427579jpfm0404_2,1_clear,done!,NA,NA
2004,NA,56,Unexpected change in R&D,Unexpected change in firm research and expenditures,Individual accounting,Journal of Finance,"Allan, Maxwell and Siddique (2004)","Eberhart, Allan, William Maxwell and Akhtar Siddique, 2004, An examination of long-term abnormal stock returns and operating performance following R&D increases, Journal of Finance 59, 623-650.",http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2004.00644.x/abstract,1_clear,done!,NA,NA
2004,NA,57,52-week high,Nearness to the 52-week high price,Individual financial,Journal of Finance,George and Hwang (2004),"George, Thomas and Chuan-yang Hwang, 2004, The 52-week high and momentum investing, Journal of Finance 5, 2145-2176.",http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2004.00695.x/full,1_clear,done!,NA,NA
2004,NA,58,Analysts' recommendations,Consensus analysts' recommendations from sell-side firms,Individual accounting,Journal of Finance,"Jegadeesh, Kim, Krische and Lee (2004)","Jegadeesh, Narasimhan, Joonghyuk Kim, Suan Krische and Charles Lee, 2004, Analyzing the analysts: When do recommendations add value? Journal of Finance 59, 1083-1124.",http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2004.00657.x/pdf,1_clear,done!,NA,NA
2004,NA,60,Abnormal capital investment,Past year capital expenditures scaled by average capital expenditures for previous three years,Individual accounting,Journal of Financial and Quantitative Analysis,"Titman, Wei and Xie (2004)","Titman, Sheridan, John Wei and Feixue Xie, 2004, Capital investments and stock returns, Journal of Financial and Quantitative Analysis 39, 677-700.",http://www.jstor.org/stable/pdfplus/30031881.pdf?acceptTC=true,1_clear,done!,NA,NA
2005,NA,61,External corporate governance,Proxies for corporate control,Individual accounting,Journal of Finance,Cremers and Nair (2005),"Cremers, K.J. Martijn and Vinay B. Nair, 2005, ``Governance Mechanisms and equity prices"", Journal of Finance 60, 2859-2894.",http://www.jstor.org/stable/pdfplus/3694806.pdf,1_clear,done!,NA,NA
NA,NA,62,Internal corporate governance,Proxies for share-holder activism,Individual accounting,Journal of Finance,Cremers and Nair (2005),"Cremers, K.J. Martijn and Vinay B. Nair, 2005, ``Governance Mechanisms and equity prices"", Journal of Finance 60, 2859-2894.",http://www.jstor.org/stable/pdfplus/3694806.pdf,1_clear,done!,NA,NA
NA,NA,63,Individual stock liquidity,Individual stock illiquidity as defined in Amihud (2002),Individual microstructure,Journal of Financial Economics,Acharya and Pedersen (2005),"Acharya, Viral V. and Lasse Heje Pedersen, 2005, ``Asset pricing with liquidity risk"", Journal of Financial Economics 77, 375-410.",http://www.sciencedirect.com/science/article/pii/S0304405X05000334,1_clear,done!,NA,NA
2005,NA,64,Price delay,Delay in a stock price's response to information,Individual microstructure,Review of Financial Studies,Hou and Moskowitz (2005),"Hou, Kewei and Tobias J. Moskowitz, 2005, ``Market frictions, price delay, and the cross-section of expected returns"", Review of Financial Studies 18, 981-1020.",http://www.jstor.org/stable/pdfplus/3598084.pdf,1_clear,done!,NA,NA
2005,NA,65,Heterogeneous beliefs,Factors constructed from disagreement among analysts about expected short- and long-term earnings,Individual financial,Review of Financial Studies,"Anderson, Ghysels and Juergens (2005)","Anderson, Evan W., Eric Ghysels and Jennifer L. Juergens, 2005, ``Do heterogeneous beliefs matter for asset pricing"", Review of Financial Studies 18, 875-924.",http://www.jstor.org/stable/pdfplus/3598081.pdf,1_clear,done!,NA,NA
2005,NA,66,Short-sale constraints,Short-sale constraint proxied by Institutional ownership,Individual microstructure,Journal of Financial Economics,Nagel (2005),"Nagel, Stefan, 2005, ``Short sales, institutional investors and the cross-section of stock returns"", Journal of Financial Economics 78, 277-309.",http://www.sciencedirect.com/science/article/pii/S0304405X05000735#,1_clear,done!,NA,NA
2005,NA,67,Short-sale constraints,Short-sale constraint proxied by short interest and institutional ownership,Individual microstructure,Journal of Financial Economics,"Asquith, Pathak and Ritter (2005)","Asquith, Paul, Parag A. Pathak and Jay R. Ritter, 2005, ``Short interest, institutional ownership and stock returns"", Journal of Financial Economics 78, 243-276.",http://www.sciencedirect.com/science/article/pii/S0304405X05001170#,1_clear,done!,NA,NA
2005,NA,72,Growth index,"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,Mohanram (2005),"Mohanram, Partha, 2005, Separating winners from losers among low book-to-market stocks using financial statement analysis, Review of Accounting Studies 10, 133-170.",http://www.jstor.org/stable/pdfplus/2329420.pdf,1_clear,done!,NA,NA
2006,NA,73,Financial constraints,Constraint index estimated from a firm's investment Euler equation,Individual financial,Review of Financial Studies,Whited and Wu (2006),"Whited, Toni M. and Guojun Wu, 2006, ``Financial constraints risk"", Review of Financial Studies 19, 531-559.",http://www.jstor.org/stable/pdfplus/3844005.pdf,1_clear,done!,NA,NA
NA,NA,74,idiosyncratic volatility,Idiosyncratic volatility relative to Fama and French (1992) three-factor model,Individual financial,Journal of Finance,"Ang, Hodrick, Xing and Zhang (2006)","Ang, Andrew, Robert J. Hodrick, Yuhang Xing and Xiaoyan Zhang, 2006, ``The cross-section of volatility and expected returns"", Journal of Finance 61, 259-299.",http://www.jstor.org/stable/pdfplus/3699341.pdf,1_clear,done!,NA,NA
2006,NA,75,Capital investment,Capital expenditure growth,Individual accounting,Journal of Finance,Anderson and Garcia-Feijoo (2006),"Anderson, Christopher W. and Luis Garcia-Feijoo, 2006, ``Empirical evidence on capital investment, growth options, and security returns"", Journal of Finance 61, 171-194.",http://www.jstor.org/stable/pdfplus/3699338.pdf,1_clear,done!,NA,NA
2006,NA,76,Industry concentration,Industry concentration as proxied by the Herfindahl index,Individual accounting,Journal of Finance,Hou and Robinson (2006),"Hou, Kewei and David T. Robinson, 2006, ``Industry concentration and average stock returns"", Journal of Finance 61, 1927-1956.",http://www.jstor.org/stable/pdfplus/3874731.pdf,1_clear,done!,NA,NA
2006,NA,80,Intangible information,Residuals from cross-sectional regression of firm returns on fundamental growth measures,Individual accounting,Journal of Finance,Daniel and Titman (2006),"Daniel, Kent and Sheridan Titman, 2006, ``Market reactions to tangible and intangible information"", Journal of Finance 61, 1605-1643.",http://www.jstor.org/stable/pdfplus/3874722.pdf,1_clear,done!,NA,NA
2006,NA,81,Profitability,Expected earnings growth,Individual accounting,Journal of Financial Economics,Fama and French (2006),"Fama, Eugene F. and Kenneth R. French, 2006, ``Profitability, investment and average returns"", Journal of Financial Economics 82, 491-518.",http://www.sciencedirect.com/science/article/pii/S0304405X06001164#,1_clear,done!,NA,NA
NA,NA,82,Investment,Expected growth in book equity,Individual accounting,Journal of Financial Economics,Fama and French (2006),"Fama, Eugene F. and Kenneth R. French, 2006, ``Profitability, investment and average returns"", Journal of Financial Economics 82, 491-518.",http://www.sciencedirect.com/science/article/pii/S0304405X06001164#,1_clear,done!,NA,NA
2006,NA,83,Net financing,Net amount of cash flow received from external financing,Individual accounting,Journal of Accounting and Economics,"Bradshaw, Richardson and Sloan (2006)","Bradshaw, Mark, Scott Richardson and Richard Sloan, 2006, The relation between corporate financing activities, analysts' forecasts and stock returns, Journal of Accounting and Economics 42, 53-85.",http://www.sciencedirect.com/science/article/pii/S0165410106000371,1_clear,done!,NA,NA
2006,NA,85,Pension plan funding,"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,Journal of Finance,Franzoni and Marin (2006),"Franzoni, Francesco and Jose Marin, 2006, Pension plan funding and stock market efficiency, Journal of Finance 61, 921-956.",http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2006.00859.x/full,1_clear,done!,NA,NA
200t6,NA,87,Unexpected earnings' autocorrelations,Standardized unexpected earnings' autocorrelations via the sign of the most recent earnings realization,Individual accounting,Journal of Accounting Research,Narayanamoorthy (2006),"Narayanamoorthy, Ganapathi, 2006, Conservatism and cross-sectional variation in the post-earnings announcement drift, Journal of Accounting Research 44, 763-789.",http://onlinelibrary.wiley.com/doi/10.1111/j.1475-679X.2006.00218.x/pdf,1_clear,done!,NA,NA
2007,NA,88,Credit rating,S&P firm credit rating,Individual financial,Journal of Finance,"Avramov, Chordia, Jostova and Philipov (2007)","Avramov, Doron, Tarun Chordia, Gergana Jostova and Alexander Philipov, 2007, ``Momentum and credit rating"", Journal of Finance 62, 2503-2520.",http://www.jstor.org/stable/pdfplus/4622342.pdf,1_clear,done!,NA,NA
NA,NA,94,Firm age,Firm's public listing age,Individual accounting,Review of Financial Studies,"Kumar, Sorescu, Boehme and Danielsen (2008)","Kumar, Praveen, Sorin M. Sorescu, Rodney D. Boehme and Bartley R. Danielsen, 2008, ``Estimation risk, information, and the conditional CAPM: Theory and evidence"", Review of Financial Studies 21, 1037-1075.",http://www.jstor.org/stable/pdfplus/40056844.pdf,1_clear,done!,NA,NA
NA,NA,95,Interaction between market volatility and firm age,Product of market volatility and firm age,Individual accounting,Review of Financial Studies,"Kumar, Sorescu, Boehme and Danielsen (2008)","Kumar, Praveen, Sorin M. Sorescu, Rodney D. Boehme and Bartley R. Danielsen, 2008, ``Estimation risk, information, and the conditional CAPM: Theory and evidence"", Review of Financial Studies 21, 1037-1075.",http://www.jstor.org/stable/pdfplus/40056844.pdf,1_clear,done!,NA,NA
2008,NA,96,Country-level idiosyncratic volatility,Weighted average of variances and auto-covariances of firm-level idiosyncratic return shocks,Individual financial,Review of Financial Studies,Guo and Savickas (2008),"Guo, Hui and Robert Savickas, 2008, ``Average idiosyncratic volatility in G7 countries"", Review of Financial Studies 21, 1259-1296.",http://www.jstor.org/stable/pdfplus/40056850.pdf,1_clear,done!,NA,NA
2008,NA,97,Distress,Distressed firm failure probability estimated based on a dynamic logit model,Individual financial,Journal of Finance,"Campbell, Hilscher and Szilagyi (2008)","Campbell, John Y., Jens Hilscher and Jan Szilagyi, 2008, ``In search of distress risk"", Journal of Finance 63, 2899-2939.",http://www.jstor.org/stable/pdfplus/20487953.pdf,1_clear,done!,NA,NA
2008,NA,98,Shareholder advantage,Benefits from renegotiation upon default,Individual accounting,Review of Financial Studies,"Garlappi, Shu and Yan (2008)","Garlappi, Lorenzo, Tao Shu and Hong Yan, 2008, ``Default risk, shareholder advantage, and stock returns"", Review of Financial Studies 21, 2743-2778.",http://www.jstor.org/stable/pdfplus/40056898.pdf,1_clear,done!,NA,NA
NA,NA,99,Interaction between shareholder advantage and implied market value of assets,Implied market value of assets provided by Moody's KMV,Individual accounting,Review of Financial Studies,"Garlappi, Shu and Yan (2008)","Garlappi, Lorenzo, Tao Shu and Hong Yan, 2008, ``Default risk, shareholder advantage, and stock returns"", Review of Financial Studies 21, 2743-2778.",http://www.jstor.org/stable/pdfplus/40056898.pdf,1_clear,done!,NA,NA
2008,NA,100,Asset growth,Year-on-year percentage change in total assets,Individual accounting,Journal of Finance,"Cooper, Gulen and Schill (2008)","Cooper, Michael J., Huseying Gulen and Michael J. Schill, 2008,  ``Asset growth and the cross-section of stock returns"", Journal of Finance 63, 1609-1651.",http://www.jstor.org/stable/pdfplus/25094485.pdf,1_clear,done!,NA,NA
2008,NA,101,Share issuance,Annual share issuance based on adjusted shares,Individual accounting,Journal of Finance,Pontiff and Woodgate (2008),"Pontiff, Jeffrey and Arteiza Woodgate, 2008, ``Share issuance and cross-sectional returns"", Journal of Finance 63, 921-945.",http://www.jstor.org/stable/pdfplus/25094460.pdf,1_clear,done!,NA,NA
2008,NA,102,Firm economic links,Economic links proxied by return of a portfolio of its major customers,Individual financial,Journal of Finance,Cohen and Frazzini (2008),"Cohen, Lauren and Andrea Frazzini, 2008, Economic links and predictable returns, Journal of Finance 63, 1977-2011.",http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2008.01379.x/full,1_clear,done!,NA,NA
2008,NA,103,Sin stock,"Stocks in the industry of adult services, alcohol, defense, gaming, medical and tobacco",Individual other,Financial Analyst Journal,"Frank, Ma and Oliphant (2008)","Fabozzi, Frank, K.C. Ma and Becky Oliphant, 2008, Sin stock returns, Financial Analysts Journal Fall, 82-94.",http://gyanresearch.wdfiles.com/local--files/alpha/JPM_FA_08_FABOZZI.pdf,1_clear,done!,NA,We cite Hong and Kacperczyk 2009
2008,NA,106,Investor recognition,Investor recognition proxied by the change in the breadth of institutional ownership,Individual other,Review of Accounting Studies,Lehavy and Sloan (2008),"Lehavy, Reuven and Richard Sloan, 2008, Investor recognition and stock returns, Review of Accounting Studies 13, 327-361.",http://link.springer.com/content/pdf/10.1007%2Fs11142-007-9063-y.pdf,1_clear,done!,NA,NA
2008,NA,107,DuPont analysis,Sales over net operating assets in DuPont analysis,Individual accounting,Accounting Review,Soliman (2008),"Soliman, Mark, 2008, The use of DuPont analysis by market participants, Accounting Review 83, 823-853.",http://faculty.haas.berkeley.edu/kli/papers/Soliman-2008TAR.pdf,1_clear,done!,NA,NA
2009,NA,110,Financial distress,Credit rating downgrades,Individual accounting,Journal of Financial Economics,"Avramov, Chordia, Jostova and Philipov (2009)","Avramov, Doron, Tarun Chordia, Gergana Jostova and Alexander Philipov, 2009, ``Dispersion in analysts' earnings forecasts and credit rating"", Journal of Financial Economics 91, 83-101.",http://www.sciencedirect.com/science/article/pii/S0304405X08001840#,1_clear,done!,NA,NA
2009,NA,111,Idiosyncratic volatility,Conditional expected idiosyncratic volatility estimated from a GARCH model,Individual accounting,Journal of Financial Economics,Fu (2009),"Fu, Fangjian, 2009, ``Idiosyncratic risk and the cross-section of expected stock returns"", Journal of Financial Economics 91, 24-37.",http://www.sciencedirect.com/science/article/pii/S0304405X08001694,1_clear,done!,NA,NA
2009,NA,112,Debt capacity,Firm tangibility as in Almeida and Campello (2007),Individual accounting,Journal of Finance,Hahn and Lee (2009),"Hahn, Jaehoon and Hangyong Lee, 2009, ``Financial constraints, debt capacity, and the cross-section of stock returns"", Journal of Finance 64, 891-921.",http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2009.01452.x/pdf,1_clear,done!,NA,NA
2009,NA,115,Productivity of cash,Net present value of all firm's present and future projects generated per dollar of cash holdings,Individual accounting,Working Paper,Chandrashekar and Rao (2009),"Chandrashekar, Satyajit and Ramesh K.S. Rao, 2009 ``The productivity of corporate cash holdings and the cross-section of expected stock returns"", Working Paper.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1334162,1_clear,done!,WP,got it from GHZ
2009,NA,116,Advertising,Change in expenditures on advertising,Individual accounting,Working Paper,Chemmanur and Yan (2009),"Chemmanur, Thomas and An Yan, 2009, Advertising, attention, and stock returns, Working Paper, Boston College.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1340605,1_clear,done!,NA,We cite Lou 2014
2009,NA,119,Earnings volatility,Earnings volatility,Individual accounting,Working Paper,Gow and Taylor (2009),"Gow, Ian and Daniel Taylor, 2009, Earnings volatility and the cross-section of returns, Working Paper, Northwestern University.",http://areas.kenan-flagler.unc.edu/Accounting/fallcamp/Document%20Library/GT_2009-09-11.pdf,1_clear,done!,WP,"same as EarningsPredictability, see note on page 24 of WP ""EVOL mirrors... ...Predictability in Francis et al. (2004).""  Francis et al. do not show return predictability, but for simplicity we'll keep this as a maybe."
2009,NA,123,Efficiency score,Firm efficiency/inefficiency estimated from firm characteristics based on a stochastic frontier approach,Individual financial,Journal of Financial and Quantitative Analysis,Nguyen and Swanson (2009),"Nguyen, Giao and Peggy Swanson, 2009, Firm characteristics, relative efficiency and equity returns, Journal of Financial and Quantitative Analysis 44, 213-236.",http://journals.cambridge.org/action/displayAbstract?fromPage=online&aid=5468968,1_clear,done!,NA,NA
2010,NA,127,Real estate holdings,"Real estate to total property, plant and equipment",Individual accounting,Review of Financial Studies,Tuzel (2010),"Tuzel, Selale, 2010, ``Corporate real estate holdings and the cross-section of stock returns"", Review of Financial Studies 23, 2269-2302.",http://rfs.oxfordjournals.org/content/23/6/2268.full.pdf+html,1_clear,done!,NA,NA
2010,NA,134,Related industry returns,Stock returns from economically related supplier and customer industries,Individual financial,Journal of Finance,Menzly and Ozbas (2010),"Menzly, Lior and Oguzhan Ozbas, 2010, Market segmentation and cross-predictability of returns, Journal of Finance 65, 1555-1580.",http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2010.01578.x/full,1_clear,done!,NA,NA
2010,NA,139,Volatility smirk,Steepness in individual option volatility smirk,Individual financial,Journal of Financial and Quantitative Analysis,"Xing, Zhang and Zhao (2010)","Xing, Yuhang, Xiaoyan Zhang and Rui Zhao, 2010, What does the individual option volatility smirk tell us about future equity returns? Journal of Financial & Quantitative Analysis 45, 641-662.",http://journals.cambridge.org/action/displayAbstract?fromPage=online&aid=7858228,1_clear,done!,NA,NA
2011,NA,140,R&D investment,Firm's investment in research and development,Individual accounting,Review of Financial Studies,Li (2011),"Li, Dongmei, 2011, ``Financial constraints, R&D investment, and stock returns"", Review of Financial Studies 24, 2975-3007.",http://rfs.oxfordjournals.org/content/24/9/2974.full.pdf+html,1_clear,done!,NA,NA
2011,NA,141,Extreme stock returns,Portfolios sorted based on extreme past returns,Individual financial,Journal of Financial Economics,"Bali, Cakici and Whitelaw (2011)","Bali, Turan G., Nusret Cakici and Robert F. Whitelaw, 2011, ``Maxing out: Stocks as lotteries and the cross-section of expected returns"", Journal of Financial Economics 99, 427-446.",http://www.sciencedirect.com/science/article/pii/S0304405X1000190X#,1_clear,done!,NA,NA
2011,NA,142,Jumps in individual stock returns,Average jump size proxied by slope of option implied volatility smile,Individual financial,Journal of Financial Economics,Yan (2011),"Yan, Shu, 2011, ``Jump risk, stock returns, and slope of implied volatility smile"", Journal of Financial Economics 99, 216-233.",http://www.sciencedirect.com/science/article/pii/S0304405X1000187X#,1_clear,done!,NA,NA
2011,NA,147,Organizational capital,"Directly measured using Selling, General and Administrative expenditures",Individual accounting,Working Paper,Eisfeldt and Papanikolaou (2011),"Eisfeldt, Andrea L. and Dimitris Papanikolaou, 2011,  ``Organization capital and the cross-section of expected returns"", Working Paper.",http://www.kellogg.northwestern.edu/faculty/papanikolaou/htm/org_cap.pdf,1_clear,done!,NA,NA
2011,NA,151,Non-accounting information quality,Average delay with which non-accounting information is impounded into stock price,Individual financial,Contemporary Accounting Research,"Callen, Khan and Lu (2011)","Callen, Jeffrey, Mozaffar Khan and Hai Lu, 2011, Accounting quality, stock price delay, and future stock returns, Contemporary Accounting Research, 30, 269-295.",http://onlinelibrary.wiley.com/doi/10.1111/j.1911-3846.2011.01154.x/pdf,1_clear,done!,NA,NA
NA,NA,152,Accounting information quality,Average delay with which accounting information is impounded into stock price,Individual accounting,Contemporary Accounting Research,"Callen, Khan and Lu (2011)","Callen, Jeffrey, Mozaffar Khan and Hai Lu, 2011, Accounting quality, stock price delay, and future stock returns, Contemporary Accounting Research, 30, 269-295.",http://onlinelibrary.wiley.com/doi/10.1111/j.1911-3846.2011.01154.x/pdf,1_clear,done!,NA,NA
2011,NA,155,Short interest,Short interest from short sellers,Individual financial,Accounting Review,Michael and Rees (2011),"Drake, Michael and Lynn Rees, 2011, Should investors follow the prophets or the bears? Evidence on the use of public information by analysts and short sellers, Accounting Review 86, 101-130.",http://aaajournals.org/doi/abs/10.2308/accr.00000006,1_clear,done!,NA,NA
2011,NA,156,Percent total accrual,Firm accruals scaled by earnings,Individual accounting,Accounting Review,"Hafzalla, Lundholm and Van Winkle (2007)","Hafzalla, Nader, Russell Lundholm and Matthew Van Winkle, 2011, Percent Accruals, Accounting Review 86, 209-236.",http://www.aaajournals.org/doi/abs/10.2308/accr.00000011,1_clear,done!,NA,NA
2011,NA,158,Really dirty surplus,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,Accounting Review,"Landsman, Miller, Peasnell and Shu (2011)","Landsman, Wayne, Bruce Miller, Ken Peasnell and Shu Yeh, 2011, Do investors understand really dirty surplus? Accounting Review 86, 237-258.",http://aaajournals.org/doi/abs/10.2308/accr.00000014,1_clear,done!,NA,NA
2011,NA,159,Earnings forecast,Earnings forecast based on firm fundamentals,Individual accounting,Review of Accounting Studies,Li (2011),"Li, Kevin Ke, 2011, How well do investors understand loss persistence? Review of Accounting Studies 16, 630-667.",http://link.springer.com/content/pdf/10.1007%2Fs11142-011-9157-4.pdf,1_clear,done!,NA,NA
2011,NA,163,Tax expense surprises,Seasonally differenced quarterly tax expense,Individual accounting,Journal of Accounting Research,Thomas and Zhang (2011),"Thomas, Jacob and Frank Zhang, 2011, Tax expense momentum, Journal of Accounting Research 49, 791-821.",http://onlinelibrary.wiley.com/doi/10.1111/j.1475-679X.2011.00409.x/full,1_clear,done!,NA,NA
2012,NA,171,Option to stock volume ratio,Option volume divided by stock volume,Individual microstructure,Journal of Financial Economics,Johnson and So (2012),"Johnson, Travis L. and Eric C. So, 2012, ``The option to stock volume ratio and future returns"", Journal of Financial Economics 106, 262-286.",http://www.sciencedirect.com/science/article/pii/S0304405X12000797,1_clear,done!,NA,NA
2012,NA,172,Cash holdings,Firm cash holdings,Individual accounting,Journal of Financial Economics,Palazzo (2012),"Berardino, Palazzo, 2012, ``Cash holdings, risk, and expected returns"", Journal of Financial Economics 104, 162-185.",http://www.sciencedirect.com/science/article/pii/S0304405X11002856#,1_clear,done!,NA,NA
2012,NA,178,Firm hiring rate,Firm hiring rate measured by the change in the number of employees over the average number of employees,Individual other,Working Paper,"Bazdresch, Belo and Lin (2012)","Bazdresch, Santiago, Frederico Belo and Xiaoji Lin, 2012, Labor hiring, investment, and stock return predictability in the cross section, Working Paper, University of Minnesota.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1267462&download=yes,1_clear,done!,NA,Now in JPE
2012,NA,179,Information processing complexity,Past return for paired pseudo-conglomerates,Individual financial,Journal of Financial Economics,Cohen and Lou (2012),"Cohen, Lauren and Dong Lou, 2012, Complicated firms, Journal of Financial Economics 104, 383-400.",http://www.sciencedirect.com/science/article/pii/S0304405X11001899,1_clear,done!,NA,NA
2012,NA,182,Innovative efficiency,Patents/citations scaled by research and development expenditures,Individual other,Journal of Financial Economics,"Hirshleifer, Hsu and Li (2012)","Hirshleifer, David, Po-Hsuan Hsu and Dongmei Li, 2012, Innovative efficiency and stock returns, Journal of Financial Economics 107, 632-654.",http://www.sciencedirect.com/science/article/pii/S0304405X12001961,1_clear,done!,NA,NA
2012,NA,185,Deferred revenues,Changes in the current deferred revenue liability,Individual accounting,Contemporary Accounting Research,Prakash and Sinha (2012),"Prakash, Rachna and Nishi Sinha, 2012, Deferred revenues and the matching of revenues and expenses, Contemporary Accounting Research.",http://onlinelibrary.wiley.com/doi/10.1111/j.1911-3846.2012.01164.x/pdf,1_clear,done!,NA,NA
2013,NA,194,Firm's ability to innovate,Rolling firm-by-firm regressions of firm-level sales growth on lagged R&D,Individual accounting,Review of Financial Studies,"Cohen, Diether and Malloy (2013)","Cohen, Lauren, Karl Diether and Christopher Malloy, 2013, Misvaluing innovation, Review of Financial Studies 26, 635-666.",http://rfs.oxfordjournals.org/content/26/3/635.short,1_clear,done!,NA,NA
2013,NA,196,Gross profitability,Gross profits to assets,Individual accounting,Journal of Financial Economics,Novy-Marx (2013),"Novy-Marx, Robert, 2013, The other side of value: The gross profitability premium, Journal of Financial Economics 108, 1-28.",http://www.sciencedirect.com/science/article/pii/S0304405X13000044,1_clear,done!,NA,NA
2013,NA,197,Betting-against-beta,Long leveraged low-beta assets and short high-beta assets,Individual financial,Working Paper,Frazzini and Pedersen (2013),"Frazzini, Andrea and Lasse Heje Pedersen, 2013, Betting against beta, Working Paper, AQR Capital Management.",http://pages.stern.nyu.edu/~lpederse/papers/BettingAgainstBeta.pdf,1_clear,done!,NA,NA
2013,NA,198,Secured debt,Proportion of secured to total debt,Individual accounting,Working Paper,Valta (2013),"Valta, Philip, 2013, Strategic default, debt structure, and stock returns, Working Paper, University of Lausanne.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1101534&download=yes,1_clear,done!,NA,NA
NA,NA,199,Convertible debt,Proportion of convertible to total debt,Individual accounting,Working Paper,Valta (2013),"Valta, Philip, 2013, Strategic default, debt structure, and stock returns, Working Paper, University of Lausanne.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1101534&download=yes,1_clear,done!,NA,NA
NA,NA,200,Convertible debt indicator,Dummy variable indicating whether a firm has convertible debt outstanding,Individual accounting,Working Paper,Valta (2013),"Valta, Philip, 2013, Strategic default, debt structure, and stock returns, Working Paper, University of Lausanne.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1101534&download=yes,1_clear,done!,NA,NA
NA,2,NA,Beta squared,Square of market beta,Common financial,Journal of Political Economy,Fama 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,1_clear,done!,NA,NA
NA,NA,NA,Book-to-market,Book value of equity plus deferred taxes to market value of equity,Individual accounting,Journal of Financial Economics,Fama and French (2006),"Fama, Eugene F. and Kenneth R. French, 2006, ``Profitability, investment and average returns"", Journal of Financial Economics 82, 491-518.",http://www.sciencedirect.com/science/article/pii/S0304405X06001164#,1_clear,done!,NA,NA
NA,NA,NA,Book-to-market ratio,Book value of equity plus deferred taxes to market value of equity,Individual accounting,Journal of Financial Economics,"Brennan, Chordia and Subrahmanyam (1997)","Brennan, Michael J., Tarun Chordia and Avanidhar Subrahmanyam, 1997, ``Alternative factor specifications, security characteristics, and the cross-section of expected stock returns"", Journal of Financial Economics 49, 345-373.",http://www.sciencedirect.com/science/article/pii/S0304405X98000282#,1_clear,done!,NA,NA
2009,82,NA,Cash flow,Aggregate earnings based on revisions to analyst earnings forecasts,Common accounting,Journal of Financial Economics,Da and Warachka (2009),"Da, Zhi and Mitchell Craig Warachka, 2009, ``Cash flow risk, systematic earnings revisions, and the cross-section of stock returns"", Journal of Financial Economics 94, 448-468.",http://www.sciencedirect.com/science/article/pii/S0304405X0900141X#,1_clear,done!,JFE,NA
NA,89,NA,Cash flow-to-price,Factor-mimicking portfolios based on cash flow-to-price of international equity returns,Common accounting,Review of Financial Studies,"Hou, Karolyi and Kho (2011)","Hou, Kewei, G. Andrew Karolyi and Bong-Chan Kho, 2011, ``What factors drive global stock returns?"", Review of Financial Studies 24, 2528-2574.",http://rfs.oxfordjournals.org/content/24/8/2527.full.pdf+html,1_clear,done!,NA,NA
2001,NA,NA,Consensus recommendations,Consensus recommendations measured by the average analyst recommendations,Individual accounting,Journal of Finance,"Barber, Lehavy, McNichols and Trueman (2001)","Barber, Brad, Reuven Lehavy, Maureen McNichols and Brett Trueman, 2001, Can investors profit from the prophets? Security analyst recommendations and stock returns, Journal of Finance 56, 531-563.",http://onlinelibrary.wiley.com/doi/10.1111/0022-1082.00336/abstract,1_clear,done!,NA,NA
2000,30,NA,Coskewness,Excess return on a portfolio which long stocks with low past coskewness,Common financial,Journal of Finance,Harvey and Siddique (2000),"Harvey, Campbell and Akhtar Siddique, 2000, ``Conditional skewness in asset pricing tests"", Journal of Finance 55, 1263-1295.",http://www.jstor.org/stable/10.2307/222452,1_clear,done!,NA,NA
1999,NA,NA,Debt offerings,Whether a firm makes straight and convertible debt offerings,Individual financial,Journal of Financial Economics,Spiess and Affleck-Graves (1999),"Spiess, Katherine and John Affleck-Graves, 1995, The long-run performance of stock returns following debt offerings, Journal of Financial Economics 54, 45-73.",http://www.sciencedirect.com/science/article/pii/S0304405X99000318,1_clear,done!,NA,NA
2006,53,NA,Downside risk,Correlation with index return conditional on index return being below a threshold value,Common financial,Review of Financial Studies,"Ang, Chen and Xing (2006)","Ang, Andrew, Joseph Chen and Yuhang Xing, 2006, ``Downside risk"", Review of Financial Studies 19, 1191-1239.",http://www.jstor.org/stable/pdfplus/4123472.pdf,1_clear,done!,NA,NA
2006,60,NA,Earnings,Return on a zero-investment portfolio long in stocks with high earnings surprises and short in stocks with low earnings surprises,Common accounting,Journal of Financial Economics,Chordia and Shivakumar (2006),"Chordia, Tarun and Lakshmanan Shivakumar, 2006, ``Earnings and price momentum"", Journal of Financial Economics 80, 627-656.",http://www.sciencedirect.com/science/article/pii/S0304405X05002175#,1_clear,done!,NA,Same as earnings surprise
2008,NA,NA,Earnings announcement return,Earnings announcement return capturing the market reaction to unexpected information contained in the firm's earnings release,Individual financial,Working Paper,"Brandt, Kishore, Santa-Clara and Venkatachalam (2008)","Brandt, Michael, Runeet Kishore, Pedro Santa-Clara and Mohan Venkatachalam, Earnings announcements are full of surprises, Working Paper, Duke University.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=909563,1_clear,done!,WP,"We cite Chan, Jegadeesh, Lakonoshok.  Brandt et al say Chan et al do something very similar"
1984,NA,NA,Earnings expectations,Consensus earnings expectations,Individual accounting,Financial Analyst Journal,"Hawkins, Chamberlin and Daniel (1984)","Hawkins, Eugene, Stanley Chamberlin and Wayne Daniel, 1984, Earnings expectations and security prices, Financial Analysts Journal, Sep.-Oct., 24-39.",http://www.jstor.org/stable/pdfplus/4478772.pdf?acceptTC=true,1_clear,done!,NA,"Could be called maybe, as their data is only 5 years long.  We cite Chan, Jegadeesh, and Lakonishok 1996.  CJL don't cite HCD though."
NA,NA,NA,Financial constraints,Kaplan and Zingales (1997) financial constraint index,Individual financial,Review of Financial Studies,Li (2011),"Li, Dongmei, 2011, ``Financial constraints, R&D investment, and stock returns"", Review of Financial Studies 24, 2975-3007.",http://rfs.oxfordjournals.org/content/24/9/2974.full.pdf+html,1_clear,done!,NA,NA
2012,93,NA,Financial intermediary's wealth,Intermediary's marginal value of wealth proxied by shocks to leverage of securities broker-dealers,Common financial,Journal of Finance,"Adrian, Etula and Muir (2012)","Adrian, Tobias, Erkko Etula and Tyler Muir, 2012,  ``Financial Intermediaries and the Cross-Section of Asset Returns"", Journal of Finance.",http://www.ny.frb.org/research/staff_reports/sr464.pdf,1_clear,done!,NA,NA
1998,NA,NA,Firm fundamental value,Firms' fundamental values estimated from I/B/E/S consensus forecasts and a residual income model,Individual accounting,Journal of Accounting and Economics,Frankel and Lee (1998),"Frankel, Richard and Charles Lee, 1998, ``Accounting valuation, market expectation, and cross-sectional stock returns"", Journal of Accounting and Economics 25, 283-319.",http://www.sciencedirect.com/science/article/pii/S0165410198000263,1_clear,done!,NA,NA
1998,NA,NA,Fundamental analysis,"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,Abarbanell and Bushee (1998),"Abarbanell, J.S., and B.J. Bushee, 1998, Abnormal returns to a fundamental analysis strategy, Accounting Review 73, 19-45.",http://www.jstor.org/stable/248340,1_clear,done!,NA,NA
2003,NA,NA,Idiosyncratic return volatility,Residual variance obtained by regressing daily stock returns on market index return,Individual financial,Journal of Financial Economics,"Ali, Hwang and Trombley (2003)","Ali, Ashiq, Lee-Seok Hwang and Mark A. Trombley, 2003, ``Arbitrage risk and the book-to-market anomaly"", Journal of Financial Economics 69, 355-373.",http://www.sciencedirect.com/science/article/pii/S0304405X03001168,1_clear,done!,NA,NA
NA,NA,NA,Index option return,Index option return and its square,Common financial,Review of Financial Studies,Vanden (2006),"Vanden, Joel M., 2006, ``Option coskewness and capital asset pricing"", Review of Financial Studies 19, 1279-1320.",http://www.jstor.org/stable/pdfplus/4123474.pdf,1_clear,done!,NA,NA
NA,39,NA,Index option returns,Return on S\&P 500 index option,Common financial,Review of Financial Studies,Vanden (2004),"Vanden, Joel M., 2004, ``Options trading and the CAPM"", Review of Financial Studies 17, 207-238.",http://www.jstor.org/stable/pdfplus/1262673.pdf,1_clear,done!,NA,NA
NA,5,NA,Industrial production growth,Seasonally adjusted monthly growth rate of industrial production,Common macro,Journal of Financial Economics,"Chan, 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,1_clear,done!,NA,NA
1983,NA,NA,Institutional holding,Institutional concentration rankings from Standard and Poor's,Individual other,Financial 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,1_clear,done!,NA,"They use specialized data, could be considered different.  We use 13F and cite Chen, Hong, and Stein 2002"
NA,NA,NA,Interest rate,Treasury bill rate less 1-year moving average,Common financial,Journal of Political Economy,Campbell (1996),"Campbell, John Y., 1996,  ``Understanding risk and return"", Journal of Political Economy 104, 298-345.",http://dash.harvard.edu/bitstream/handle/1/3153293/campbell_risk.pdf,1_clear,done!,NA,NA
NA,NA,NA,Investor sophistication,Number of analysts or institutional owners,Individual accounting,Journal of Financial Economics,"Ali, Hwang and Trombley (2003)","Ali, Ashiq, Lee-Seok Hwang and Mark A. Trombley, 2003, ``Arbitrage risk and the book-to-market anomaly"", Journal of Financial Economics 69, 355-373.",http://www.sciencedirect.com/science/article/pii/S0304405X03001168,1_clear,done!,NA,NA
NA,NA,NA,Labor income growth,Smoothed labor income growth rate,Common financial,Journal of Finance,Dittmar (2002),"Dittmar, Robert F., 2002, ``Nonlinear pricing kernels, kurtosis preference, and evidence from the cross section of equity returns"", Journal of Finance 57, 369-403.",http://www.jstor.org/stable/pdfplus/2697843.pdf,1_clear,done!,NA,NA
2006,61,NA,Liquidity,Turnover-adjusted number of days with zero trading over the prior 12 months,Common microstructure,Journal of Financial Economics,Liu (2006),"Liu, Weimin, 2006, ``A liquidity-augmented capital asset pricing model"", Journal of Financial Economics 82, 631-671.",http://www.sciencedirect.com/science/article/pii/S0304405X0600064X#,1_clear,done!,NA,NA
2002,33,NA,Market illiquidity,Average over the year of the daily ratio of the stock's absolute return to its dollar trading volume,Common microstructure,Journal of Financial Markets,Amihud (2002),"Amihud, Yakov, 2002, Illiquidity and stock returns: cross-section and time-series effects, Journal of Financial Markets 5, 31-56.",http://www.sciencedirect.com/science/article/pii/S1386418101000246,1_clear,done!,NA,NA
2003,35,NA,Market liquidity,Aggregated liquidity based on firm future excess stock return regressed on current signed excess return times trading volume,Common microstructure,Journal of Political Economy,Pastor and Stambaugh (2003),"Pastor, Lubos and Robert F Stambaugh, 2003, ``Liquidity risk and expected stock returns"", Journal of Political Economy 111, 643-685.",http://pages.stern.nyu.edu/~lpederse/courses/LAP/papers/TransactionCosts/PastorStam.pdf,1_clear,done!,NA,NA
NA,47,NA,Market liquidity,Value-weighted individual stock illiquidity as defined in Amihud (2002),Common microstructure,Journal of Financial Economics,Acharya and Pedersen (2005),"Acharya, Viral V. and Lasse Heje Pedersen, 2005, ``Asset pricing with liquidity risk"", Journal of Financial Economics 77, 375-410.",http://www.sciencedirect.com/science/article/pii/S0304405X05000334,1_clear,done!,NA,NA
2010,86,NA,Market mispricing,Zero-investment portfolio constructed from repurchasing and issuing firms,Common behavioral,Review of Financial Studies,Hirshleifer and Jiang (2010),"Hirshleifer, David and Danling Jiang, 2010, ``A financing-based misvaluation factor and the cross-section of expected returns"", Review of Financial Studies 23, 3402-3436.",http://rfs.oxfordjournals.org/content/23/9/3401.full.pdf+html,1_clear,done!,NA,NA
1972,1,NA,Market return,Equity index return,Common 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=908569,1_clear,done!,NA,NA
NA,NA,NA,Market return,Equity index return,Common financial,Journal of Finance,Carhart (1997),"Carhart, Mark M., 1997, ``On persistence in mutual fund performance"", Journal of Finance 52, 57-82.",http://www.iscte.pt/~jpsp/Teaching/AssetPricing_PhD/Carhart%20JF%201997%20Persistence%20in%20Fund%20Performance.pdf,1_clear,done!,NA,NA
1972,NA,NA,Market return,THEORY,Common financial,Journal of Business,Black (1972),"Black, Fischer, 1972, ``Capital market equilibrium with restricted borrowing"", Journal of Business 45, 444-455.",http://www.jstor.org/stable/10.2307/2351499,1_clear,done!,NA,NA
1976,NA,NA,Market return,Equity index return,Common financial,Journal of Finance,Kraus 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,1_clear,done!,NA,NA
1965,NA,NA,Market return,THEORY,Common financial,Journal of Finance,Lintner(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,1_clear,done!,NA,NA
1964,NA,NA,Market return,THEORY,Common financial,Journal of Finance,Sharpe (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,1_clear,done!,NA,NA
1972,NA,NA,Market return,THEORY,Common financial,Journal of Finance,Heckerman (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,1_clear,done!,NA,NA
1973,NA,NA,Market return,Equity index return,Common financial,Journal of Political Economy,Fama 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,1_clear,done!,NA,NA
1966,NA,NA,Market return,THEORY,Common financial,Econometrica,Mossin (1966),"Mossin, Jan, 1966,  ``Equilibrium in a Capital Asset Market"", Econometrica 34, 768-783.",http://www.jstor.org/stable/pdfplus/1910098.pdf,1_clear,done!,NA,NA
1996,NA,NA,Market return,Equity index return,Common financial,Journal of Finance,Jagannathan and Wang (1996),"Jagannathan, Ravi and Zhenyu Wang, 1996, ``The conditional CAPM and the cross-section of expected returns"", Journal of Finance 51, 3-53.",http://www.jstor.org/stable/pdfplus/2329301.pdf,1_clear,done!,NA,NA
1991,NA,NA,Market return,Equity index return,Common financial,Journal of Political Economy,Ferson 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,1_clear,done!,NA,NA
NA,NA,NA,Market return,Equity index return,Common financial,Review of Financial Studies,"Kumar, Sorescu, Boehme and Danielsen (2008)","Kumar, Praveen, Sorin M. Sorescu, Rodney D. Boehme and Bartley R. Danielsen, 2008, ``Estimation risk, information, and the conditional CAPM: Theory and evidence"", Review of Financial Studies 21, 1037-1075.",http://www.jstor.org/stable/pdfplus/40056844.pdf,1_clear,done!,NA,NA
NA,NA,NA,Market return,Equity index return,Common financial,Journal of Financial Economics,Litzenberger 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#,1_clear,done!,NA,NA
2005,NA,NA,Market return,Equity index return,Common financial,Journal of Financial Economics,Acharya and Pedersen (2005),"Acharya, Viral V. and Lasse Heje Pedersen, 2005, ``Asset pricing with liquidity risk"", Journal of Financial Economics 77, 375-410.",http://www.sciencedirect.com/science/article/pii/S0304405X05000334,1_clear,done!,NA,NA
1981,NA,NA,Market return,Equity index return,Common financial,Journal of Finance,"Fogler, John and Tipton (1981)","Fogler, H. Russell, Kose John and James Tipton, 1981, ``Three factors, interest rate differentials and stock groups"", Journal of Finance 36 323-335.",www.jstor.org/stable/pdfplus/2327014.pdf,1_clear,done!,NA,NA
2008,67,NA,Market volatility innovation,Difference in monthly average of squared daily return differences,Common financial,Review of Financial Studies,"Kumar, Sorescu, Boehme and Danielsen (2008)","Kumar, Praveen, Sorin M. Sorescu, Rodney D. Boehme and Bartley R. Danielsen, 2008, ``Estimation risk, information, and the conditional CAPM: Theory and evidence"", Review of Financial Studies 21, 1037-1075.",http://www.jstor.org/stable/pdfplus/40056844.pdf,1_clear,done!,NA,NA
2011,NA,NA,Momentum,Factor-mimicking portfolios based on momentum of international equity returns,Common other,Review of Financial Studies,"Hou, Karolyi and Kho (2011)","Hou, Kewei, G. Andrew Karolyi and Bong-Chan Kho, 2011, ``What factors drive global stock returns?"", Review of Financial Studies 24, 2528-2574.",http://rfs.oxfordjournals.org/content/24/8/2527.full.pdf+html,1_clear,done!,NA,NA
NA,27,NA,Momentum,Return on a zero-investment portfolio long in past winners and short in past losers,Common other,Journal of Finance,Carhart (1997),"Carhart, Mark M., 1997, ``On persistence in mutual fund performance"", Journal of Finance 52, 57-82.",http://www.iscte.pt/~jpsp/Teaching/AssetPricing_PhD/Carhart%20JF%201997%20Persistence%20in%20Fund%20Performance.pdf,1_clear,done!,NA,NA
NA,NA,NA,Momentum,Past cumulative stock return,Individual financial,Journal of Financial Economics,"Brennan, Chordia and Subrahmanyam (1997)","Brennan, Michael J., Tarun Chordia and Avanidhar Subrahmanyam, 1997, ``Alternative factor specifications, security characteristics, and the cross-section of expected stock returns"", Journal of Financial Economics 49, 345-373.",http://www.sciencedirect.com/science/article/pii/S0304405X98000282#,1_clear,done!,NA,NA
2007,62,NA,Payout yield,Return on a zero-investment portfolio long in high-yield stocks and short in low-yield stocks,Common accounting,Journal of Finance,"Boudoukh, Michaely, Richardson and Roberts (2007)","Boudoukh, Jacob, Roni Michaely, Matthew Richardson and Michael R. Roberts, 2007, ``On the importance of measuring payout yield: implications for empirical asset pricing"", Journal of Finance 62, 877-915.",http://www.jstor.org/stable/pdfplus/4622289.pdf,1_clear,done!,NA,NA
1992,NA,NA,Predicted return signs,Return signs predicted by a logit model using financial ratios,Individual accounting,Journal 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,1_clear,done!,NA,NA
2010,87,NA,Private information,"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,"David, Hvidkjaer and O'Hara (2010)","Easley, David, Soeren Hvidkjaer and Maureen O'Hara, 2010, Factoring returns, Journal of Financial and Quantitative Analysis 45, 293-309.",http://journals.cambridge.org/action/displayAbstract?fromPage=online&aid=7785676,1_clear,done!,NA,NA
1992,NA,NA,Return momentum,Size and beta adjusted mean prior five-year returns,Individual financial,Journal 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,1_clear,done!,NA,NA
2011,91,NA,Return-on-equity portfolio return,Difference between returns of portfolios with high and low return on equity,Common financial,Working Paper,"Chen, Novy-Marx and Zhang (2011)","Chen, Long, Robert Novy-Marx and Lu Zhang, ``An alternative three-factor model"", Working Paper.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1418117,1_clear,done!,NA,NA
1995,NA,NA,Seasoned equity offerings,Whether a firm makes seasoned equity offerings,Individual financial,Journal of Financial Economics,Spiess and Affleck-Graves (1995),"Spiess, Katherine and John Affleck-Graves, 1995, Underperformance in long-run stock returns following seasoned equity offerings, Journal of Financial Economics 38, 243-267.",http://www.sciencedirect.com/science/article/pii/0304405X9400817K,1_clear,done!,NA,NA
1997,NA,NA,Size,Market value of equity,Individual accounting,Journal of Finance,Daniel and Titman (1997),"Daniel, Kent and Sheridan Titman, 1997, ``Evidence on the characteristics of cross sectional variation in stock returns"", Journal of Finance 52, 1-33.",http://www.jstor.org/stable/pdfplus/2329554.pdf,1_clear,done!,NA,NA
NA,NA,NA,Size,Return on a zero-investment portfolio long in small stocks and short in large stocks,Common accounting,Journal of Financial Economics,Fama 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#,1_clear,done!,NA,NA
1992,15,NA,Size,Return on a zero-investment portfolio long in small stocks and short in large stocks,Common accounting,Journal of Finance,Fama 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.pdf,1_clear,done!,NA,NA
1997,NA,NA,Size,Return on a zero-investment portfolio long in small stocks and short in large stocks,Common accounting,Journal of Finance,Carhart (1997),"Carhart, Mark M., 1997, ``On persistence in mutual fund performance"", Journal of Finance 52, 57-82.",http://www.iscte.pt/~jpsp/Teaching/AssetPricing_PhD/Carhart%20JF%201997%20Persistence%20in%20Fund%20Performance.pdf,1_clear,done!,NA,NA
1997,NA,NA,Size,Market value of equity,Individual accounting,Journal of Financial Economics,"Brennan, Chordia and Subrahmanyam (1997)","Brennan, Michael J., Tarun Chordia and Avanidhar Subrahmanyam, 1997, ``Alternative factor specifications, security characteristics, and the cross-section of expected stock returns"", Journal of Financial Economics 49, 345-373.",http://www.sciencedirect.com/science/article/pii/S0304405X98000282#,1_clear,done!,NA,NA
2006,54,NA,Systematic volatility,Aggregate volatility relative to Fama and French (1992) three-factor model,Common financial,Journal of Finance,"Ang, Hodrick, Xing and Zhang (2006)","Ang, Andrew, Robert J. Hodrick, Yuhang Xing and Xiaoyan Zhang, 2006, ``The cross-section of volatility and expected returns"", Journal of Finance 61, 259-299.",http://www.jstor.org/stable/pdfplus/3699341.pdf,1_clear,done!,NA,NA
NA,NA,NA,Term structure,Difference in return between long-term government bond and one-month Treasury bill,Common financial,Journal of Financial Economics,Fama 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#,1_clear,done!,NA,NA
NA,58,NA,Trading volume,Return on a hedge portfolio constructed using trading volume and market returns,Common microstructure,Journal of Finance,Lo and Wang (2006),"Lo, Andrew W. and Jiang Wang, 2006, ``Trading volume: Implications of an intertemporal capital asset pricing model"", Journal of Finance 61, 2805-2840.",http://www.jstor.org/stable/pdfplus/4123445.pdf,1_clear,done!,NA,NA
1981,NA,NA,Transaction costs,THEORY,Individual microstructure,Journal of Finance,Mayshar (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,1_clear,done!,NA,NA
NA,NA,NA,Transaction costs,"Bid-ask spread, volume, etc.",Individual microstructure,Journal of Financial Economics,"Ali, Hwang and Trombley (2003)","Ali, Ashiq, Lee-Seok Hwang and Mark A. Trombley, 2003, ``Arbitrage risk and the book-to-market anomaly"", Journal of Financial Economics 69, 355-373.",http://www.sciencedirect.com/science/article/pii/S0304405X03001168,1_clear,done!,NA,NA
NA,NA,NA,Value,Return on a zero-investment portfolio long in growth stocks and short in value stocks,Common accounting,Journal of Finance,Carhart (1997),"Carhart, Mark M., 1997, ``On persistence in mutual fund performance"", Journal of Finance 52, 57-82.",http://www.iscte.pt/~jpsp/Teaching/AssetPricing_PhD/Carhart%20JF%201997%20Persistence%20in%20Fund%20Performance.pdf,1_clear,done!,NA,NA
NA,NA,NA,Value,Book value of equity plus deferred taxes to market value of equity,Individual accounting,Journal of Finance,Daniel and Titman (1997),"Daniel, Kent and Sheridan Titman, 1997, ``Evidence on the characteristics of cross sectional variation in stock returns"", Journal of Finance 52, 1-33.",http://www.jstor.org/stable/pdfplus/2329554.pdf,1_clear,done!,NA,NA
NA,NA,NA,Value,Return on a zero-investment portfolio long in growth stocks and short in value stocks,Common accounting,Journal of Financial Economics,Fama 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#,1_clear,done!,NA,NA
NA,16,NA,Value,Return on a zero-investment portfolio long in growth stocks and short in value stocks,Common accounting,Journal of Finance,Fama 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.pdf,1_clear,done!,NA,NA
1996,NA,24,Illiquidity,Derivative transaction price with respect to signed trade size,Individual microstructure,Journal of Financial Economics,Brennan and Subrahmanyam (1996),"Brennan, Michael and Avanidhar Subrahmanyam, 1996, Market microstructure and asset pricing: On the compensation for illiquidity in stock returns, Journal of Financial Economics 41, 441-464.",http://www.sciencedirect.com/science/article/pii/0304405X9500870K,1_clear,similar,NA,NA
2000,NA,33,Within-industry size,Difference between firm size and average firm size within the industry,Individual financial,Working Paper,"Asness, Porter and Stevens (2000)","Asness, Clifford, R. Burt Porter and Ross Stevens, 2000, Predicting stock returns using industry-relative firm characteristics, Working Paper, AQR Capital Management.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=213872,1_clear,similar,WP,maybe we shoudl add it
2000,NA,34,Within-industry value,Difference between firm book-to-market ratio and average book-to-market ratio within the industry,Individual accounting,Working Paper,"Asness, Porter and Stevens (2000)","Asness, Clifford, R. Burt Porter and Ross Stevens, 2000, Predicting stock returns using industry-relative firm characteristics, Working Paper, AQR Capital Management.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=213872,1_clear,similar,WP,maybe we shoudl add it
2000,NA,35,Within-industry cashflow to price ratio,Difference between firm cashflow to price ratio and average cashflow to price ratio within the industry,Individual accounting,Working Paper,"Asness, Porter and Stevens (2000)","Asness, Clifford, R. Burt Porter and Ross Stevens, 2000, Predicting stock returns using industry-relative firm characteristics, Working Paper, AQR Capital Management.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=213872,1_clear,similar,WP,maybe we shoudl add it
2000,NA,37,Within-industry momentum,Difference between firm past stock prices and average past stock prices within the industry,Individual financial,Working Paper,"Asness, Porter and Stevens (2000)","Asness, Clifford, R. Burt Porter and Ross Stevens, 2000, Predicting stock returns using industry-relative firm characteristics, Working Paper, AQR Capital Management.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=213872,1_clear,similar,WP,maybe we shoudl add it
2005,NA,69,Information uncertainty,"Information uncertainty proxied by firm age, return volatility, trading volume or cash flow duration",Individual financial,Review of Accounting Studies,"Jiang, Lee and Zhang (2005)","Jiang, Guohua, Charles Lee and Yi Zhang, 2005, Information uncertainty and expected returns, Review of Accounting Studies 10, 185-221.",http://link.springer.com/content/pdf/10.1007%2Fs11142-005-1528-2.pdf,1_clear,similar,NA,NA
2005,NA,71,R&D reporting biases,R&D reporting biases proxied by the difference between R&D growth and earnings growth,Individual accounting,Contemporary Accounting Research,"Lev, Sarath and Sougiannis (2005)","Lev, Baruch, Bharat Sarath and Theodore Sougiannis, 2005, R&D reporting biases and their consequences, Contemporary accounting research 22, 977-1026.",http://onlinelibrary.wiley.com/doi/10.1506/7XMH-QQ74-L6GG-CJRX/pdf,1_clear,similar,NA,NA
2009,NA,113,Realized-implied volatility spread,Difference between past realized volatility and the average of call and put implied volatility,Individual financial,Management Science,Bali and Hovakimian (2009),"Bali, Turan and Armen Hovakimian, 2009, Volatility spreads and expected stock returns, Management Science 2009, 1797-1812.",http://mansci.journal.informs.org/content/55/11/1797.full.pdf,1_clear,similar,NA,NA
NA,NA,114,Call-put implied volatility spread,Difference between call and put implied volatility,Individual financial,Management Science,Bali and Hovakimian (2009),"Bali, Turan and Armen Hovakimian, 2009, Volatility spreads and expected stock returns, Management Science 2009, 1797-1812.",http://mansci.journal.informs.org/content/55/11/1797.full.pdf,1_clear,similar,NA,NA
2010,NA,125,Idiosyncratic skewness,Skewness forecasted using firm level predictive variables,Individual financial,Review of Financial Studies,"Boyer, Mitton and Vorkink (2010)","Boyer, Brian, Todd Mitton and Keith Vorkink, 2010, ``Expected idiosyncratic skewness"", Review of Financial Studies 23, 170-202.",http://rfs.oxfordjournals.org/content/23/1/169.full.pdf+html,1_clear,similar,NA,NA
2010,NA,130,Excess multiple,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","An, Bhojraj and Ng (2010)","An, Jiyoun, Sanjeev Bhojraj and David Ng, 2010, Warranted multiples and future returns, Journal of Accounting, Auditing & Finance 25, 143-169.",http://jaf.sagepub.com/content/25/2/143.short,1_clear,similar,NA,similar to Frontier
2010,NA,133,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,Individual financial,Working Paper,"Hameed, Huang and Mian (2010)","Hameed, Allaudeen, Joshua Huang and Mujtaba Mian, 2010, Industries and stock return reversals, Working Paper, National University of Singapore.",http://www.ccfr.org.cn/cicf2010/papers/20091213190553.pdf,1_clear,similar,JFQA 2015,A refinement of Mom1m.  Joshua Huang left the paper.
2010,NA,137,Excess cash,Most recently available ratio of cash to total assets,Individual accounting,Financial Management,Simutin (2010),"Simutin, Mikhail, 2010, Excess cash and stock returns, Financial Management 39, 1197-1222.",http://onlinelibrary.wiley.com/doi/10.1111/j.1755-053X.2010.01109.x/full,1_clear,done!,NA,Same as Cash.  Palazzo 2012 says this is simply independent contemporaenous work
2010,NA,138,Extreme downside risk,Extreme downside risk proxied by the left tail index in the classical generalized extreme value distribution,Individual financial,Journal of Banking and Finance,"Huang, Liu, Rhee and Wu (2010)","Huang, Wei, Qianqiu Liu, Ghon Rhee and Feng Wu, 2010, Extreme downside risk and expected stock returns, Journal of Banking & Finance 36, 1492-1502.",http://www.sciencedirect.com/science/article/pii/S0378426611003591,1_clear,similar,NA,"Tail risk measure from daily data.  Similar to MaxRet, ReturnSkew, maybe others."
2011,NA,148,Residual income,Firm residual income growth extracted from firm earnings growth,Individual accounting,Review of Accounting Studies,Balachandran and Mohanram (2011),"Balachandran, Sudhakar and Partha Mohanram, 2011, Using residual income to refine the relationship between earings growth and stock returns, Review of Accounting Studies 17, 134-165.",http://link.springer.com/content/pdf/10.1007%2Fs11142-011-9168-1.pdf,1_clear,similar,NA,basically a component of earnings surpise (Tab 6 and Eq2)
2012,NA,165,Stock skewness,Ex ante stock risk-neutral skewness implied by option prices,Individual financial,Journal of Finance,"Conrad, Dittmar and Ghysels (2012)","Conrad, Jennifer, Robert F. Dittmar and Eric Ghysels, 2012, ``Ex ante skewness and expected stock returns"", Journal of Finance 68, 85-124.",http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2012.01795.x/pdf,1_clear,similar,NA,NA
2012,NA,190,Expected return proxy,Logistic transformation of the fit (R^2) from a regression of returns on past prices,Individual financial,Journal of Financial Economics,"Burlacu, Fontaine, Jimenez-Garces and Seasholes (2012)","Burlacu, Radu, Patrice Fontaine, Sonia Jimenez-Garces and Mark S. Seasholes, 2012, ``Risk and the cross section of stock returns"", Journal of Financial Economics 105, 511-522.",http://www.sciencedirect.com/science/article/pii/S0304405X12000451,1_clear,similar,NA,NA
2004,40,NA,Default risk,Firm default likelihood using Merton's option pricing model,Common financial,Journal of Finance,Vassalou and Xing (2004),"Vassalou, Maria and Yuhang Xing, 2004, ``Default risk in equity returns"", Journal of Finance 2004, 831-868.",http://www.jstor.org/stable/pdfplus/3694915.pdf,1_clear,similar,NA,"very weak (t.stat of 1.96 in quintiles, table III)"
NA,69,NA,Long-run market volatility,Low frequency volatility extracted from a time-series model of market returns,Common financial,Journal of Finance,Adrian and Rosenberg (2008),"Adrian, Tobias and Joshua Rosenberg, 2008, ``Stock returns and volatility: Pricing the short-run and long-run components of market risk"", Journal of Finance 63, 2997-3030.",http://www.jstor.org/stable/pdfplus/20487956.pdf,1_clear,similar,NA,NA
2004,NA,NA,Market return,Equity index return,Common financial,Review of Financial Studies,Vanden (2004),"Vanden, Joel M., 2004, ``Options trading and the CAPM"", Review of Financial Studies 17, 207-238.",http://www.jstor.org/stable/pdfplus/1262673.pdf,1_clear,similar,NA,NA
2011,NA,NA,Predicted earnings increase score,Predicted earnings increase score based on financial statement information,Individual accounting,Review of Accounting Studies,Wahlen and Wieland (2011),"Wahlen, James and Matthew Wieland, 2011, Can financial statement analysis beat consensus analysts' recommendations? Review of Accounting Studies 16, 89-115.",http://link.springer.com/content/pdf/10.1007%2Fs11142-010-9124-5.pdf,1_clear,similar,NA,NA
2008,68,NA,Short-run market volatility,High frequency volatility extracted from a time-series model of market returns,Common financial,Journal of Finance,Adrian and Rosenberg (2008),"Adrian, Tobias and Joshua Rosenberg, 2008, ``Stock returns and volatility: Pricing the short-run and long-run components of market risk"", Journal of Finance 63, 2997-3030.",http://www.jstor.org/stable/pdfplus/20487956.pdf,1_clear,similar,NA,NA
2002,NA,50,Earnings sustainability,A summary score based on firm fundamentals that informs about the sustainability of earning,Individual accounting,Working Paper,Penman and Zhang (2002),"Penman, Stephen and Xiao-jun Zhang, 2002, Modeling sustainable earings and P/E ratios with financial statement analysis, Working Paper, Columbia University.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=318967&download=yes,1_clear,zz missing,WP,NA
2005,NA,70,Adjusted R&D,Adjusted R&D that incorporates capitalization and amortization,Individual accounting,Working Paper,"Lev, Nissim and Thomas (2005)","Lev, Baruch, Doron Nissim and Jacob Thomas, 2005, On the informational usefulness of R&D capitalization and amortization, Working Paper, Columbia University.",http://accounting.rutgers.edu/docs/intangibles/Papers/On%20the%20informational%20usefulness%20of%20RD%20capitalization%20and%20amortization.pdf,1_clear,zz missing,Paper Collection,"Similar to OrgCap, but not close enough to claim it's really similar."
2006,NA,84,Forecasted earnings per share,Analysts' forecasted earnings per share,Individual accounting,Working Paper,"Cen, Wei and Zhang (2006)","Cen, Ling, John Wei and Jie Zhang, 2006, Forecasted earnings per share and the cross section of expected stock returns, Working Paper, Hong Kong University of Science & Technology.",HKUST working paper,1_clear,done!,WP,NA
2006,NA,86,Acceleration,Firm's ranking on change in six-month momentum relative to the cross-section of other firms,Individual financial,Working Paper,Gettleman and Marks (2006),"Gettleman, Eric and Joseph Marks, 2006, Acceleration strategies, Working Paper, Seton Hall Univeristy.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=802724&download=yes,1_clear,zz missing,WP,see GHZ chmom
2007,NA,90,Change in order backlog,Change in order backlog,Individual accounting,Seoul Journal of Business,Baik and Ahn (2007),"Baik, Bok and Tae Sik Ahn, 2007, Changes in order backlog and future returns, Seoul Journal of Business 13, 105-126.",http://s-space.snu.ac.kr/bitstream/10371/1814/1/sjbv13n2_105.pdf,1_clear,done!,NA,NA
2007,NA,92,Insider forecasts of firm volatility,Future firm volatility obtained from executive stock options,Individual financial,Working Paper,"James, Fodor and Peterson (2007)","Doran, James, Andy Fodor and David Peterson, 2007, Insiders versus outsiders with employee stock options: Who knows best about future firm risk and implications for stock returns, Working Paper, Florida State University.","
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=963405&download=yes",z3_harddata,zz missing,WP,combines execucomp and options
2008,NA,105,Information in order backlog,Changes in order backlog on future profitability,Individual accounting,Working Paper,"Gu, Wang and Ye (2008)","Gu, Li, Zhiqiang Wang and Jianming Ye, 2008, Information in order backlog: change versus level, Working Paper, Fordham University.",http://69.175.2.130/~finman/Turin/Papers/Informationinorderbacklogchangeversuslevel.pdf,1_clear,done!,WP,maybe we shoudl add it.  Another missing WP does the same thing
2009,NA,120,Cash flow volatility,Rolling standard deviation of the standardized cashflow over the past sixteen quarters,Individual accounting,Journal of Empirical Finance,Huang (2009),"Huang, Alan Guoming, 2009, The cross section of cashflow volatility and expected stock returns, Journal of Empirical Finance 16, 409-429.",http://www.sciencedirect.com/science/article/pii/S0927539809000036,1_clear,zz missing,NA,Predictors are vol of CF/Sale and CF/BE using quarterly data.  Maybe we should try this.
2010,NA,132,Long-run idiosyncratic volatility,Long-run idiosyncratic volatility filtered from idiosyncratic volatility using HP filters,Individual financial,Working Paper,Cao and Xu (2010),"Cao, Xuying and Yexiao Xu, 2010, Long-run idiosyncratic volatilities and cross-sectional stock returns, Working Paper, University of Illinois at Urbana-Champaign.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1569945,1_clear,zz missing,WP,"Tab 3 IV WM HPF shows regression is highly significant.  Interesting paper, but difficult to construct."
2010,NA,135,Earnings distributed to equity holders,Earnings distributed to equity holders,Individual accounting,Review of Accounting & Finance,"Papanastasopoulos, Thomakos and Wang (2010)","Papanastasopoulos, Georgios, Dimitrios Thomakos and Tao Wang, 2010, The implications of retained and distributed earnings for future profitability and stock returns, Review of Accounting & Finance 9, 395-423.",http://www.emeraldinsight.com/journals.htm?articleid=1892066&show=abstract,1_clear,similar,NA,"Called RE in paper, but they divide by total assets.  This seems to be a variant of accruals"
2010,NA,136,Net cash distributed to equity holders,Dividends minus stock issues,Individual accounting,Review of Accounting & Finance,"Papanastasopoulos, Thomakos and Wang (2010)","Papanastasopoulos, Georgios, Dimitrios Thomakos and Tao Wang, 2010, The implications of retained and distributed earnings for future profitability and stock returns, Review of Accounting & Finance 9, 395-423.",http://www.emeraldinsight.com/journals.htm?articleid=1892066&show=abstract,1_clear,similar,NA,See table I DIST_E.  This is basically cash flow / total assets
2011,NA,144,Volatility of liquidity,Measured by the price impact of trade as in Amihud (2002),Individual microstructure,Working Paper,"Akbas, Armstrong and Petkova (2011)","Akbas, Ferhat, Will J. Armstrong and Ralitsa Petkova, 2011,``The Volatility of Liquidity and Expected Stock Returns"", Working Paper.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1786991,1_clear,zz missing,WP,"results look quite nice, perhaps we should add this"
2011,NA,149,Accrual volatility,Firm accrual volatility measured by the standard deviation of the ratio of accruals to sales,Individual accounting,Working Paper,"Bandyopadhyay, Huang and Wirjanto (2011)","Bandyopadhyay, Sati, Alan Huang and Tony Wirjanto, 2010, The accrual volatility anomaly, Working Paper, University of Waterloo.",arts.uwaterloo.ca/~aghuang/research/ava.pdf‎,1_clear,zz missing,WP,"results look quite nice, perhaps we should add this"
2011,NA,154,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",Individual other,Working Paper,"Da, Liu and Schaumburg (2011)","Da, Zhi, Qianqiu Liu and Ernst Schaumburg, 2011, Decomposing short-term return reversal, Working Paper, University of Notre Dame.",http://papers.ssrn.com/sol3/Papers.cfm?abstract_id=1551025,1_clear,zz missing,MS,https://www3.nd.edu/~zda/Reversal.pdf
2011,NA,157,Firm productivity,"Firm level total factor productivity estimated from firm value added, employment and capital",Individual financial,Working Paper,Imrohoroglu and Tuzel (2011),"Imrohoroglu, Avse and Selale Tuzel, 2011, Firm level productivity, risk, and return, Working Paper, University of Southern California.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1770264&download=yes,1_clear,zz missing,MS,https://pubsonline.informs.org/doi/pdf/10.1287/mnsc.2013.1852
2011,NA,160,Asset growth,Yearly percentage change in total balance sheet assets,Individual accounting,Working Paper,Nyberg and Poyry (2011),"Nyberg, Peter and Salla Poyry, 2011, Firm expansion and stock price momentum, Working Paper, Aalto University.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1684767&download=yes,1_clear,done!,RoF,"same as asset growth (Cooper, Gulen Schill)"
2011,NA,162,Customer-base concentration,Annual change in customer-base concentration,Individual other,Working Paper,Patatoukas (2011),"Patatoukas, Panos, 2011, Customer-base concentration: implications for firm performance and capital markets, Working Paper, University of California Berkeley.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1666497&download=yes,no_evidence,zz missing,AR,ICC style paper
2012,NA,166,Expected return uncertainty,Proxied by the volatility of option-implied volatility,Individual financial,Working Paper,"Baltussen, Bekkum, Van Der Grient (2012)","Baltussen, Van Bekkum and Van Der Grient,  2012, ``Unknown unknowns: Vol-of-vol and the cross section of stock returns"", Working Paper.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2023066,1_clear,zz missing,JFQA,https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/unknown-unknowns-uncertainty-about-risk-and-stock-returns/6E0E98349D20C1DCF67F3A0452361B80
2012,NA,176,Change in call implied volatility,Change in call implied volatility,Individual financial,Working Paper,"Ang, Bali and Cakici (2012)","Ang, Andrew, Turan Bali and Nusret Cakici, 2012, The joint cross section of stocks and options, Working Paper, Columbia University.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2008902&download=yes,1_clear,zz missing,JF,Similar to smileSlope. Here it's changes in call and put volatility though (table II)
2012,NA,177,Change in put implied volatility,Change in put implied volatility,Individual financial,Working Paper,"Ang, Bali and Cakici (2012)","Ang, Andrew, Turan Bali and Nusret Cakici, 2012, The joint cross section of stocks and options, Working Paper, Columbia University.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2008902&download=yes,1_clear,zz missing,JF,Similar to smileSlope. Here it's changes in call and put volatility though (table II)
2012,NA,183,Abnormal operating cash flows,Abnormal operating cash flows,Individual accounting,Working Paper,Li (2012),"Li, Xi, 2012, Real earings management and subsequent stock returns, Working Paper, Boston College.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1679832&download=yes,1_clear,zz missing,WP,NA
2012,NA,184,Abnormal production costs,Abnormal production costs,Individual accounting,Working Paper,Li (2012),"Li, Xi, 2012, Real earings management and subsequent stock returns, Working Paper, Boston College.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1679832&download=yes,1_clear,zz missing,WP,NA
2012,NA,187,Earnings forecast optimism,Difference between characteristic forecasts and analyst forecasts,Individual accounting,Working Paper,So (2012),"So, Eric, 2012, A new approach to predicting analyst forecast errors: Do investors overweight analyst forecasts? Working Paper, Stanford University.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1714657&download=yes,1_clear,zz missing,JFE,https://www.sciencedirect.com/science/article/pii/S0304405X13000329
2012,NA,191,Fraud probability,Probability of manipulation based on accounting variables,Individual accounting,Financial Analysts Journal,"Beneish, Lee and Nichols (2013)","Beneish, Messod, Charles Lee and Craig Nichols, 2012, Fraud detection and expected returns, Financial Analysts Journal 2013.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1998387,1_clear,zz missing,FAJ,https://www.tandfonline.com/doi/abs/10.2469/faj.v69.n2.1
2013,NA,202,Bad private information,"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,Working Paper,"Brennan, Huh and Subrahmanyam (2013)","Brennan, Michael, Sahn-Wook Huh and Avanidhar Subrahmanyam, 2013, The pricing of good and bad private information in the cross-section of expected stock returns, Working Paper, University of California at Los Angeles.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2199723,1_clear,zz missing,MS,Table 7 right panel has PIN _B results which indicate predictability for small firms
2012,101,NA,Consumption volatility,Filtered consumption growth volatility from a Markov regime-switching model based on historical consumption data,Common macro,Journal of Finance,Boguth and Kuehn (2012),"Boguth, Oliver and Lars-Alexander Kuehn, 2012, ``Consumption volatility risk"", The Journal of Finance.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1336712##,1_clear,zz missing,NA,NA
2009,81,NA,Illiquidity,Estimated using structural formula in line with Kyle's (1985) lambda,Common microstructure,Review of Financial Studies,"Chordia, Huh and Subrahmanyam (2009)","Chordia, Taurn, Sahn-Wook Huh and Avanidhar Subrahmanyam, 2009, ``Theory-based illiquidity and asset pricing"", Review of Financial Studies 22, 3630-3668.",http://rfs.oxfordjournals.org/content/22/9/3629.full.pdf+html,1_clear,zz missing,NA,"combines Nanalysts, idiovol, and std volume  from theory.  Maybe we should include this."
2006,55,NA,Investor sentiment,Composite sentiment index based on various sentiment measures,Common behavioral,Journal of Finance,Baker and Wurgler (2006),"Baker, Malcolm and Jeffrey Wurgler, 2006, ``Investor sentiment and the cross-section of stock returns"", Journal of Finance 61, 1645-1680.",http://www.jstor.org/stable/pdfplus/3874723.pdf,1_clear,zz missing,NA,NA
2010,85,NA,Market volatility and jumps,Estimated based on S&P index option returns,Common financial,Working Paper,"Cremers, Halling and Weinbaum (2010)","Cremers, Martijn, Michael Halling and David Weinbaum, 2010, ``In search of aggregate jump and volatility risk in the cross-section of stock returns"", Working Paper.",http://www.rhsmith.umd.edu/feaconference/docs/Session4HallingInSearchofAggregate.pdf,z3_harddata,zz missing,JF,Might consider specialized data.  Uses CME S&P Futures daily closing prices
2009,80,NA,Takeover likelihood,Estimated via a logit model of regressing ex-post acquisition indicator on various firm- and industry-level accounting variables,Common financial,Review of Financial Studies,"Cremers, Nair and John (2009)","Cremers, K. J. Martijn, Vinay B. Nair and Kose John, 2009, ``Takeovers and the cross-section of returns'', Review of Financial Studies 22, 1410-1445.",http://rfs.oxfordjournals.org/content/22/4/1409.full.pdf+html,z3_harddata,zz missing,NA,M&A data
2013,113,NA,Trend signal,"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",Common other,Working Paper,Han and Zhou (2013),"Han, Yufeng and Guofu Zhou, 2013, Trend factor: A new determinant of cross-section stock returns, Working Paper, University of Colorado Denver",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2182667,1_clear,zz missing,JFE,https://www.sciencedirect.com/science/article/pii/S0304405X16301271
1997,NA,NA,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,Beneish (1997),"Beneish, M.D., 1997, Detecting GAAP violation: Implications for assessing earnings management among firms with extreme financial performance, Journal of Accounting and Public Policy 16, 271-309.",http://www.sciencedirect.com/science/article/pii/S0278425497000239,1_clear,zz missing,NA,"based on abstract, can't access paper"
1986,NA,NA,Transaction costs,THEORY,Common microstructure,Journal 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/034405X86900656,2_likely,done!,NA,NA
2012,102,NA,Market skewness,Higher moments of market returns estimated from daily index options,Common financial,Journal of Financial Economics,"Chang, Christoffersen and Jacobs (2012)","Chang, Bo Young, Peter Christoffersen and Kris Jacobs, 2012, ``Market skewness risk and the cross section of stock returns"", Journal of Financial Economics.",http://www.sciencedirect.com/science/article/pii/S0304405X12001523?v=s5,2_likely,zz missing,NA,Average return t-stat is -1.88 (Tab 3).
2005,NA,68,Patent citation,Change of patent citation impact deflated by average total assets,Individual other,"Journal of Accounting, Auditing & Finance",Gu (2005),"Gu, Feng, 2005, Innovation, future earnings, and market efficiency, Journal of Accounting, Auditing and Finance 20, 385-418.",http://jaf.sagepub.com/content/20/4/385.full.pdf+html,2_likely,similar,NA,citationsRD is similar.  Table 8 shows marginal significance in regressions
2009,NA,118,Information revelation,Monthly estimate of the daily correlation between absolute returns and dollar volume,Individual microstructure,Working Paper,Gokcen (2009),"Gokcen, Umut, 2009, Information revelation and expected stock returns, Working Paper, Boston College.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1477066,2_likely,zz missing,WP,"Tab 4: raw returns are marginally significant, and paper is unclear about re-estimation of rho"
2009,NA,121,Local unemployment,Relative state unemployment,Individual other,Working Paper,Korniotis and Kumar (2009),"Korniotis, George and Alok Kumar, 2009, Long Georgia, short Colorado? The geography of return predictability, Working Paper, Board of Governors of the Federal Reserve System.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1328973,2_likely,zz missing,JF,"Used in part of difficult to estimate model.  Published as ""State-level Business Cycles..."""
2009,NA,122,Local housing collateral,State-level housing collateral,Individual other,Working Paper,Korniotis and Kumar (2009),"Korniotis, George and Alok Kumar, 2009, Long Georgia, short Colorado? The geography of return predictability, Working Paper, Board of Governors of the Federal Reserve System.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1328973,2_likely,zz missing,JF,"Used in part of difficult to estimate model.  Published as ""State-level Business Cycles..."""
1967,NA,1,Total volatility,Individual stock volatility,Individual financial,Yale Economic Essays,Douglas (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/3283436,no_evidence,done!,WP,"can't find the paper, but sounds like idio vol.  Maybe is just a guess"
2007,NA,89,Trader composition,Fraction of total trading volume of a stock from institutional trading,Individual microstructure,Working Paper,Shu (2007),"Shu, Tao, 2007,  ``Trader composition, price efficiency, and the cross-section of stock returns"", Working Paper.",http://www.finance.eller.arizona.edu/documents/seminars/2006-7/tshu.jmp01-07.pdf,1_clear,zz missing,JBFA,NA
2007,NA,93,Ticker symbol,Creativity in stocks' ticker symbols,Individual other,Quarterly Review of Economics & Finance,"Head, Smith and Wilson (2007)","Head, Alex, Gary Smith and Julia Wilson, 2007, Would a stock by any other ticker smell as sweet? Quarterly Review of Economics & Finance 49, 551-561.",http://www.sciencedirect.com/science/article/pii/S1062976907000865,no_evidence,zz missing,NA,marginally significant using daily data
2010,NA,131,Firm information quality,"Firm information quality proxied by analyst forecasts, idiosyncratic volatility and standard errors of beta estimates",Individual financial/accounting,Working Paper,"Armstrong, Banerjee and Corona (2010)","Armstrong, Chris, Snehal Banerjee and Carlos Corona, 2010, Information quality and the cross-section of expected returns, Working Paper, University of Pennsylvania.",http://recanati-bs.tau.ac.il/Eng/_Uploads/dbsAttachedFiles/Snehal_Banerjee.pdf,no_evidence,zz missing,RFS,"Mainly theory.  Tab 4 has new empirical results, but uses regressors with look ahead bias and requires controls.  Not clear if it works in our setting."
2011,NA,NA,Projected earnings accuracy,Skilled analysts identified by both past earnings forecasts accuracy and skills,Individual accounting,Working Paper,"Hess, Kreutzmann and Pucker (2011)","Hess, Dieter, Daniel Kreutzmann and Oliver Pucker, Projected earnings accuracy and profitability of stock recommendations, Working Paper, University of Cologne.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1786608&download=yes,no_evidence,zz missing,WP,Not long-short.
2007,NA,91,Firm productivity,Firm productivity measured by returns on invested capital,Individual accounting,Working Paper,Brown and Rowe (2007),"Brown, David and Bradford Rowe, 2007, The productivity premium in equity returns, Working Paper, University of Wisconsin, Madison.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=993467,4_not,done!,WP,NA
1997,NA,27,Earning forecasts uncertainty,Standard deviation of earnings forecasts,Individual accounting,Journal of Financial Research,Ackert and Athanassakos (1997),"Ackert, L., and G. Athanassakos, 1997, Prior uncertainty, analyst bias, and subsequent abnormal returns, Journal of Financial Research 20, 263-273.",http://www.bengrahaminvesting.ca/Research/Papers/Athanassakos/Prior_Uncertainty.pdf,no_evidence,done!,NA,"Tiny sample of 170 firms for 10 years.  We cite Diether Malloy Scherbina 2002, who get the opposite sign."
2011,NA,161,Real asset liquidity,Number of potential buyers for a firm's assets from within the industry,Individual microstructure,Working Paper,Ortiz-Molina and Phillips (2011),"Ortiz-Molina, Hernan and Gordon Phillips, 2011, Real asset liquidity and the cost of capital, Working Paper, University of British Columbia.",https://msbfile03.usc.edu/digitalmeasures/gordonph/intellcont/AssetLiquidity-1.pdf,no_evidence,done!,NA,NA
1988,NA,NA,Long-term growth forecasts,Long-term growth forecasts proxied by the five-year earnings per share growth rate forecasts,Individual accounting,Financial Analyst Journal,Bauman and Dowen (1988),"Bauman, Scott and Richard Dowen, 1988, Growth projections and common stock returns, Financial Analyst Journal, July/August.",CFA institute,no_evidence,done!,NA,"Ridiculously short sample, no statistical signifinace.  Our version cites La Porta 1996, who has a proper sample and the opposite sign."
NA,64,NA,Capital stock,Quarterly capital stock interpolated from annual data,Common macro,Journal of Financial Economics,Balvers and Huang (2007),"Balvers, Ronald J. and Dayong Huang, 2007, ``Productivity-based asset pricing: Theory and evidence"", Journal of Financial Economics 2007, 405-445.",http://www.sciencedirect.com/science/article/pii/S0304405X07001110#,no_evidence,no cross sectional predictability,NA,Factor model tests and predicting mkt and hml only
2007,63,NA,Productivity,Productivity level as in King and Rebelo (2000),Common macro,Journal of Financial Economics,Balvers and Huang (2007),"Balvers, Ronald J. and Dayong Huang, 2007, ``Productivity-based asset pricing: Theory and evidence"", Journal of Financial Economics 2007, 405-445.",http://www.sciencedirect.com/science/article/pii/S0304405X07001110#,no_evidence,no cross sectional predictability,NA,Factor model tests and predicting mkt and hml only
2004,43,NA,Return reversals at the style level,Zero-investment portfolios sorted based on past return performance at the style level,Common other,Journal of Financial Economics,Teo and Woo (2004),"Teo, Melvyn and Sung-Jun Woo, 2004, ``Style effects in the cross-section of stock returns"", Journal of Financial Economics 74, 367-398.",http://www.sciencedirect.com/science/article/pii/S0304405X04000753#,no_evidence,no cross sectional predictability,NA,NA
NA,NA,NA,Corporate bond return,Index of long-term Aa utility bonds with deferred calls returns,Common financial,Journal of Finance,"Fogler, John and Tipton (1981)","Fogler, H. Russell, Kose John and James Tipton, 1981, ``Three factors, interest rate differentials and stock groups"", Journal of Finance 36 323-335.",www.jstor.org/stable/pdfplus/2327014.pdf,no_evidence,no cross sectional predictability,NA,NA
NA,NA,NA,Treasury bond return,3-month US Treasury bill return,Common financial,Journal of Finance,"Fogler, John and Tipton (1981)","Fogler, H. Russell, Kose John and James Tipton, 1981, ``Three factors, interest rate differentials and stock groups"", Journal of Finance 36 323-335.",www.jstor.org/stable/pdfplus/2327014.pdf,no_evidence,no cross sectional predictability,NA,NA
2008,NA,104,Goodwill impairment,Buyers' overpriced shares at acquisition,Individual accounting,Accounting Review,Gu and Lev (2008),"Gu, Feng and Baruch Lev, 2008, Overpriced shares, ill-advised acquisitions, and goodwill impairment, Accounting Review 86, 1995-2022.",http://www.aaajournals.org/doi/abs/10.2308/accr-10131,no_evidence,not predictive,NA,NA
2012,95,NA,Average variance of equity returns,Decomposition of market variance into an average correlation component and an average variance component,Common financial,Review of Financial Studies,Chen and Petkova (2012),"Chen, Zhanhui and Ralitsa Petkova, 2012, ``Does idiosyncratic volatility proxy for risk exposure?"", Review of Financial Studies 25, 2746-2787.",http://rfs.oxfordjournals.org/content/25/9/2745.full.pdf+html,no_evidence,not predictive,NA,NA
2009,77,NA,Cash flow covariance with aggregate consumption,Cash flow covariance with aggregate consumption,Common macro,Journal of Finance,Da (2009),"Da, Zhi, 2009, ``Cash flow, consumption risk, and the cross-section of stock returns"", Journal of Finance 64, 923-956.",http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2009.01453.x/pdf,no_evidence,not predictive,NA,NA
NA,78,NA,Cash flow duration,Cash flow duration sensitivity to aggregate consumption,Common macro,Journal of Finance,Da (2009),"Da, Zhi, 2009, ``Cash flow, consumption risk, and the cross-section of stock returns"", Journal of Finance 64, 923-956.",http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2009.01453.x/pdf,no_evidence,not predictive,NA,NA
2004,37,NA,Cash flow news,News about future market cash flow,Common financial,American Economic Review,Campbell and Vuolteenaho (2004),"Campbell, John Y. and Tuomo Vuolteenaho, 2004, ``Bad beta, good beta"", American Economic Review 94, 1249-1275.",http://www.aeaweb.org/articles.php?doi=10.1257/0002828043052240,no_evidence,not predictive,NA,NA
NA,6,NA,Change in expected inflation,Change in expected inflation as defined in Fama and Gibbons (1984),Common macro,Journal of Financial Economics,"Chan, 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,no_evidence,not predictive,NA,NA
2001,NA,NA,Consumption growth,Per capita real consumption growth rate,Common macro,Journal of Political Economy,Lettau and Ludvigson (2001),"Lettau, Martin and Sydney Ludvigson, 2001,  ``Resurrecting the (C)CAPM: A cross-sectional test when risk premia are time-varying"", Journal of Political Economy 109, 1238-1287.",http://www.jstor.org/stable/pdfplus/10.1086/323282.pdf,no_evidence,not predictive,NA,NA
1989,12,NA,Consumption growth,Per capita real consumption growth,Common macro,Journal 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.pdf,no_evidence,not predictive,NA,NA
NA,31,NA,Consumption-wealth ratio,Proxied by a weighted average of human and nonhuman wealth,Common macro,Journal of Political Economy,Lettau and Ludvigson (2001),"Lettau, Martin and Sydney Ludvigson, 2001,  ``Resurrecting the (C)CAPM: A cross-sectional test when risk premia are time-varying"", Journal of Political Economy 109, 1238-1287.",http://www.jstor.org/stable/pdfplus/10.1086/323282.pdf,no_evidence,not predictive,NA,NA
NA,8,NA,Credit premium,"Risk premium measured as difference in return between ``under Baa"" bond portfolio and long-term government bond portfolio",Common financial,Journal of Financial Economics,"Chan, 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,no_evidence,not predictive,NA,NA
NA,NA,NA,Credit risk,Difference in return between long-term corporate bond and long-term government bond,Common financial,Journal of Financial Economics,Fama 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#,no_evidence,not predictive,NA,NA
NA,38,NA,Discount rate news,News about future market discount rate,Common financial,American Economic Review,Campbell and Vuolteenaho (2004),"Campbell, John Y. and Tuomo Vuolteenaho, 2004, ``Bad beta, good beta"", American Economic Review 94, 1249-1275.",http://www.aeaweb.org/articles.php?doi=10.1257/0002828043052240,no_evidence,not predictive,NA,NA
2006,57,NA,Durable and nondurable consumption growth,Durable and nondurable consumption growth,Common macro,Journal of Finance,Yogo (2006),"Yogo, Motohiro, 2006, ``A consumption-based explanation of expected stock returns"", Journal of Finance 61, 539-580.",http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2006.00848.x/pdf,no_evidence,not predictive,NA,NA
2006,48,NA,Financing frictions,Default premium,Common financial,Review of Financial Studies,"Gomes, Yaron and Zhang (2006)","Gomes, Joao F., Amir Yaron and Lu Zhang, 2006, ``Asset pricing implications of firms' financing constraints"", Review of Financial Studies 19, 1321-1356.",http://www.jstor.org/stable/pdfplus/4123475.pdf,no_evidence,not predictive,NA,NA
2011,92,NA,Garbage growth,Realized annual garbage growth,Common macro,Journal of Finance,Savov (2011),"Savov, Alexi, 2011, Asset pricing with garbage, Journal of Finance 66, 177-201.",http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2010.01629.x/full,no_evidence,not predictive,NA,NA
1993,NA,NA,High order market and bond return,High order equity index returns and bond returns,Common financial,Journal 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,no_evidence,not predictive,NA,NA
2008,70,NA,Investment growth,Return on a zero-investment portfolio long in low investment growth firms and short in high investment growth firms,Common financial,Review of Financial Studies,Xing (2008),"Xing, Yuhang, 2008, ``Interpreting the value effect through the Q-Theory: An empirical investigation"", Review of Financial Studies 21, 1767-1795.",http://www.jstor.org/stable/pdfplus/40056867.pdf,no_evidence,not predictive,NA,NA
2005,45,NA,Long run consumption,Cash flow risk measured by cointegration residual with aggregate consumption,Common macro,Journal of Finance,"Bansal, Dittmar and Lundblad (2005)","Bansal, Ravi, Robert F. Dittmar and Christian T. Lundblad, 2005, ``Consumption, dividends, and the cross section of equity returns'', Journal of Finance 60, 1639-1672.",http://www.jstor.org/stable/pdfplus/3694850.pdf,no_evidence,not predictive,NA,NA
2005,44,NA,Long-horizon consumption growth,Three-year consumption growth rate,Common macro,Journal of Political Economy,Parker and Julliard (2005),"Parker, Jonathan A. and Christian Julliard, 2005, ``Consumption risk and the cross section of expected returns"", Journal of Political Economy 113, 186-222.",http://bbs.cenet.org.cn/uploadimages/200531610275968043.pdf,no_evidence,not predictive,NA,NA
2002,NA,NA,Market return,Equity index return,Common financial,Journal of Finance,Dittmar (2002),"Dittmar, Robert F., 2002, ``Nonlinear pricing kernels, kurtosis preference, and evidence from the cross section of equity returns"", Journal of Finance 57, 369-403.",http://www.jstor.org/stable/pdfplus/2697843.pdf,no_evidence,not predictive,NA,NA
1985,NA,NA,Market return,Equity index return,Common financial,Journal of Financial Economics,"Chan, 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,no_evidence,not predictive,NA,NA
1993,NA,NA,Market return,Equity index return,Common financial,Journal of Financial Economics,Fama 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#,no_evidence,not predictive,NA,NA
NA,42,NA,Maximum Sharpe ratio portfolio,Maximum Sharpe ratio portfolio extracted from a time-series model of bond yields and expected inflation,Common financial,Journal of Finance,"Brennan, Wang and Xia (2004)","Brennan, Michael J., Ashley W. Wang and Yihong Xia, 2004, ``Estimation and test of a simple model of intertemporal capital asset pricing"", Journal of Finance 59, 1743-1775.",http://www.jstor.org/stable/pdfplus/3694877.pdf,no_evidence,not predictive,NA,NA
1996,24,NA,Money growth,"M2 or M3 minus currency, divided by total population",Common macro,Journal of Finance,"Chan, Foresi and Lang (1996)","Chan, K.C., Silverio Foresi and Larry H.P. Lang, 1996, ``Does money explain returns? Theory and empirical analysis"", Journal of Finance 51, 345-361.",http://www.jstor.org/stable/pdfplus/2329312.pdf,no_evidence,not predictive,NA,NA
1997,NA,NA,Nonlinear functions of consumption growth,Low order orthonormal polynomials of current and future consumption growth,Common macro,Journal of Finance,Chapman (1997),"Chapman, David A., 1997, ``Approximating the asset pricing kernel"", Journal of Finance 52, 1383-1410.",http://www.jstor.org/stable/pdfplus/2329440.pdf,no_evidence,not predictive,NA,NA
2004,41,NA,Real interest rate,Real interest rates extracted from a time-series model of bond yields and expected inflation,Common financial,Journal of Finance,"Brennan, Wang and Xia (2004)","Brennan, Michael J., Ashley W. Wang and Yihong Xia, 2004, ``Estimation and test of a simple model of intertemporal capital asset pricing"", Journal of Finance 59, 1743-1775.",http://www.jstor.org/stable/pdfplus/3694877.pdf,no_evidence,not predictive,NA,NA
1996,25,NA,Returns on physical investment,Inferred from investment data via a production function,Common macro,Journal of Political Economy,Cochrane (1996),"Cochrane, John H., 1996,  ``A cross-sectional test of an investment-based asset pricing model"", Journal of Political Economy 104, 572-621.",http://faculty.chicagobooth.edu/john.cochrane/research/papers/cross%20sectional%20test%20%28jpe%29.pdf,no_evidence,not predictive,NA,NA
NA,32,NA,Squared labor income growth,Squared smoothed labor income growth rate,Common financial,Journal of Finance,Dittmar (2002),"Dittmar, Robert F., 2002, ``Nonlinear pricing kernels, kurtosis preference, and evidence from the cross section of equity returns"", Journal of Finance 57, 369-403.",http://www.jstor.org/stable/pdfplus/2697843.pdf,no_evidence,not predictive,NA,NA
NA,NA,NA,Squared market return,Squared equity index return,Common financial,Journal of Finance,Dittmar (2002),"Dittmar, Robert F., 2002, ``Nonlinear pricing kernels, kurtosis preference, and evidence from the cross section of equity returns"", Journal of Finance 57, 369-403.",http://www.jstor.org/stable/pdfplus/2697843.pdf,no_evidence,not predictive,NA,NA
1994,20,NA,Tax rate for capital gains,Short-term capital gains tax rate,Common accounting,Journal of Finance,Bossaerts and Dammon (1994),"Bossaert, Peters and Robert M. Dammon, 1994, ``Tax-induced intertemporal restrictions on security returns"", Journal of Finance 49, 1347-1371.",http://www.jstor.org/stable/pdfplus/2329189.pdf,no_evidence,not predictive,NA,NA
NA,21,NA,Tax rate for dividend,Dividend tax rate,Common accounting,Journal of Finance,Bossaerts and Dammon (1994),"Bossaert, Peters and Robert M. Dammon, 1994, ``Tax-induced intertemporal restrictions on security returns"", Journal of Finance 49, 1347-1371.",http://www.jstor.org/stable/pdfplus/2329189.pdf,no_evidence,not predictive,NA,NA
NA,9,NA,Term structure,Yield curve slope measured as difference in return between long-term government bond and 1-month Treasury bill,Common financial,Journal of Financial Economics,"Chan, 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,no_evidence,not predictive,NA,NA
NA,7,NA,Unanticipated inflation,Realized minus expected inflation,Common macro,Journal of Financial Economics,"Chan, 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,no_evidence,not predictive,NA,NA
2008,71,NA,Mean consumption growth,Across-state mean consumption growth rate,Common macro,Review of Financial Studies,Korniotis (2008),"Korniotis, George M., 2008, ``Habit formation, incomplete markets, and the significance of regional risk for expected returns"", Review of Financial Studies 21, 2139-2172.",http://www.jstor.org/stable/pdfplus/40056879.pdf,z1_theory,not cross section,NA,NA
NA,73,NA,Mean habit growth,Across-state mean habit growth rate,Common macro,Review of Financial Studies,Korniotis (2008),"Korniotis, George M., 2008, ``Habit formation, incomplete markets, and the significance of regional risk for expected returns"", Review of Financial Studies 21, 2139-2172.",http://www.jstor.org/stable/pdfplus/40056879.pdf,z1_theory,not cross section,NA,NA
NA,72,NA,Variance of consumption growth,Across-state consumption growth variance,Common macro,Review of Financial Studies,Korniotis (2008),"Korniotis, George M., 2008, ``Habit formation, incomplete markets, and the significance of regional risk for expected returns"", Review of Financial Studies 21, 2139-2172.",http://www.jstor.org/stable/pdfplus/40056879.pdf,z1_theory,not cross section,NA,NA
NA,74,NA,Variance of habit growth,Across-state habit growth variance,Common macro,Review of Financial Studies,Korniotis (2008),"Korniotis, George M., 2008, ``Habit formation, incomplete markets, and the significance of regional risk for expected returns"", Review of Financial Studies 21, 2139-2172.",http://www.jstor.org/stable/pdfplus/40056879.pdf,z1_theory,not cross section,NA,NA
1979,NA,NA,Aggregate real consumption,THEORY,Common macro,Journal of Financial Economics,Breeden (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,z1_theory,not empirical,NA,NA
1986,NA,NA,Expected inflation,THEORY,Common macro,Journal of Finance,Stulz (1986),"Stulz, Rene M., 1986, ``Asset Pricing and Expected Inflation"", Journal of Finance 41, 209-223.",http://www.jstor.org/stable/pdfplus/2328353.pdf,z1_theory,not empirical,NA,NA
2010,NA,NA,Exposure to financial distress costs,THEORY,Individual financial,Journal of Financial Economics,George and Hwang (2010),"George, Thomas and Chuan-yang Hwang, 2010, A resolution of the distress risk and leverage puzzles in the cross section of stock returns, Journal of Financial Economics  96, 56-79.",http://www.sciencedirect.com/science/article/pii/S0304405X09002335,z1_theory,not empirical,NA,NA
2009,NA,NA,Financial constraints,THEORY,Common financial/macro,Journal of Finance,"Livdan, Sapriza and Zhang (2009)","Livdan, Dmitry, Horacio Sapriza and Lu Zhang, 2009, ``Financially constrained stock returns"", Journal of Finance64, 1827-1862.",http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2009.01481.x/pdf,z1_theory,not empirical,NA,NA
1983,NA,NA,Foreign exchange rate change,THEORY,Common financial,Journal 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,z1_theory,not empirical,NA,NA
1973,NA,NA,High order market return,THEORY,Common financial,Journal of Financial and Quantitative Analysis,Rubinstein (1973),"Rubinstein, Mark, 1973, ``The fundamental of parameter-preference security valuation"", Journal of Financial and Quantitative Analysis 8, 61-69.",http://www. Jstor.org/stable/10.2307/2329748,z1_theory,not empirical,NA,NA
1982,NA,NA,Individual consumer's wealth,THEORY,Common financial,Journal of Business,Constantinides (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,z1_theory,not empirical,NA,NA
1974,NA,NA,Individual investor resources,THEORY,Common financial,Journal of Financial Economics,Rubinstein (1974),"Rubinstein, Mark, 1973, ``An aggregation theorem for securities markets"", Journal of Financial Economics 1, 225-244.",http://www.sciencedirect.com/science/article/pii/0304405X74900191,z1_theory,not empirical,NA,NA
2012,NA,NA,Inter-cohort consumption differences,THEORY,Common macro,Journal of Financial Economics,"Garleanu, Kogan and Panageas (2012)","Garleanu, Nicolae, Leonid Kogan and Stavros Panageas, 2012, ``Displacement risk and asset returns"", Journal of Financial Economics 105, 491-510.",http://www.sciencedirect.com/science/article/pii/S0304405X12000621#,z1_theory,not empirical,NA,NA
1985,NA,NA,Investment opportunity change,THEORY,Common financial,Econometrica,"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,z1_theory,not empirical,NA,NA
1978,NA,NA,Marginal rate of substitution,THEORY,Common macro,Econometrica,Lucas (1978),"Lucas, Robert E., 1978, ``Asset prices in an exchange economy"", Econometrica 46, 1429-1445.",http://www.hss.caltech.edu/~pbs/expfinance/Readings/Lucas1978.pdf,z1_theory,not empirical,NA,NA
1972,NA,NA,Relative prices of consumption goods,THEORY,Common macro,Journal of Finance,Heckerman (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,z1_theory,not empirical,NA,NA
2011,NA,NA,Shareholder recovery,THEORY,Common financial,Journal of Finance,Garlappi and Yan (2011),"Garlappi, Lorenzo and Hong Yan, 2011, Financial distress and the cross-section of equity returns, Journal of Finance 66, 789-822.",http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2011.01652.x/full,z1_theory,not empirical,NA,NA
1980,NA,NA,Short sale restrictions,THEORY,Individual microstructure,Journal of Finance,Jarrow (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,z1_theory,not empirical,NA,NA
1973,NA,NA,State variables representing future investment opportunity,THEORY,Common financial/macro,Econometrica,Merton (1973),"Merton, Robert C., 1973, ``An intertemporal capital asset pricing model"", Econometrica 41, 867-887.",http://www.jstor.org/stable/pdfplus/1913811.pdf,z1_theory,not empirical,NA,NA
1986,NA,NA,Transaction costs,THEORY,Common microstructure,Journal of Political Economy,Constantinides (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,z1_theory,not empirical,NA,NA
1981,NA,NA,World consumption,THEORY,Common macro,Journal of Financial Economics,Stulz (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,z1_theory,not empirical,NA,NA
1974,NA,NA,World market return,THEORY,Common financial,Journal of Economic Theory,Solnik (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,z1_theory,not empirical,NA,NA
2013,NA,201,Attenuated returns,Composite trading strategy returns where the weights are based on averaging percentile rank scores of various characteristics for each stock on portfolios,Individual financial,Working Paper,"Chordia, Subrahmanyam and Tong (2013)","Chordia, Tarun, Avanidhar Subrahmanyam and Qing Tong, 2013, Trends in capital market anomalies, Working Paper, Emory University.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2029057,z2_notfirm,no cross sectional predictability,JAE,https://www.sciencedirect.com/science/article/pii/S0165410114000275
NA,NA,NA,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,Common macro,Journal of Financial Economics,"Ferson, Nallareddy and Xie (2012)","Ferson Wayne, Suresh Nallareddy and Biqin Xie, 2012, ``The ``out-of-sample"" performance of long run risk models"", Journal of Financial Economics 107, 537-556.",http://www.sciencedirect.com/science/article/pii/S0304405X12001912,z2_notfirm,no cross sectional predictability,NA,NA
2013,112,NA,Cross-sectional pricing inefficiency,"Pricing inefficiency proxied by returns to simulated trading strategies that capture momentum, profitability, value, earnings and reversal",Common microstructure,Working Paper,"Akbas, Armstrong, Sorescu and Subrahmanyam (2013)","Akbas, Ferhat, Will Armstrong, Sorin Sorescu and Avanidhar Subrahmanyam, 2013, Time varying market efficiency in the cross-section of expected stock returns, Working Paper, University of Kansas.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2022485,z2_notfirm,no cross sectional predictability,JFQA,https://www.cambridge.org/core/services/aop-cambridge-core/content/view/47C2A80634AE215BF7D8A58ED12EA0D4/S0022109016000223a.pdf/capital_market_efficiency_and_arbitrage_efficacy.pdf
2013,111,NA,Expected dividend growth,Expected dividend growth based on a macro time-series model,Common financial,Working Paper,"Doskov, Pekkala and Ribeiro (2013)","Doskov, Nikolay, Tapio Pekkala and Ruy Ribeiro, 2013, ``Tradable macro risk factors and the cross-section of stock returns"", Working Paper.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2200889,z2_notfirm,no cross sectional predictability,WP,NA
2013,110,NA,Expected dividend level,Expected dividend level based on a macro time-series model,Common financial,Working Paper,"Doskov, Pekkala and Ribeiro (2013)","Doskov, Nikolay, Tapio Pekkala and Ruy Ribeiro, 2013, ``Tradable macro risk factors and the cross-section of stock returns"", Working Paper.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2200889,z2_notfirm,no cross sectional predictability,WP,NA
2007,65,NA,Fourth-quarter to fourth-quarter consumption growth,Fourth-quarter to fourth-quarter consumption growth rate,Common macro,Journal of Finance,Jagannathan and Wang  (2007),"Jagannathan, Ravi and Yong Wang, 2007, ``Lazy investors, discretionary consumption, and the cross-section of stock returns"", Journal of Finance 62, 1623-1661.",http://www.jstor.org/stable/pdfplus/4622313.pdf,z2_notfirm,no cross sectional predictability,NA,NA
2003,34,NA,GDP growth news,GDP growth news obtained from predictive regressions on lagged equity and fixed-income portfolios,Common macro,Journal of Financial Economics,Vassalou (2003),"Vassalou, Maria, 2003, ``News related to future GDP growth as a risk factor in equity returns"", Journal of Financial Economics 68, 46-73.",http://www.sciencedirect.com/science/article/pii/S0304405X02002489#,z2_notfirm,no cross sectional predictability,NA,NA
2004,36,NA,Idiosyncratic consumption,Cross-sectional consumption growth variance,Common macro,Journal of Finance,Jacobs and Wang (2004),"Jacobs, Kris and Kevin Q. Wang, 2004, ``Idiosyncratic consumption risk and the cross section of asset returns"", Journal of Finance 59, 2211-2252.",http://www.jstor.org/stable/pdfplus/3694822.pdf,z2_notfirm,no cross sectional predictability,NA,NA
NA,NA,NA,Interaction between index and option return,Product of market and option returns,Common financial,Review of Financial Studies,Vanden (2006),"Vanden, Joel M., 2006, ``Option coskewness and capital asset pricing"", Review of Financial Studies 19, 1279-1320.",http://www.jstor.org/stable/pdfplus/4123474.pdf,z2_notfirm,no cross sectional predictability,NA,NA
2011,90,NA,Investment portfolio return,Difference between returns of portfolios with low and high investment-to-asset ratio,Common financial,Working Paper,"Chen, Novy-Marx and Zhang (2011)","Chen, Long, Robert Novy-Marx and Lu Zhang, ``An alternative three-factor model"", Working Paper.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1418117,z2_notfirm,no cross sectional predictability,NA,NA
2009,83,NA,Investors' beliefs,Belief extracted from a two-state regime-switching model of aggregate market return and aggregate output,Common other,Review of Financial Studies,Ozoguz (2008),"Ozoguz, Arzu, 2009, ``Good times or bad times? Investor's uncertainty and stock returns"", Review of Financial Studies 22, 4378-4422.",http://rfs.oxfordjournals.org/content/22/11/4377.full.pdf+html,z2_notfirm,no cross sectional predictability,NA,NA
NA,84,NA,Investors' uncertainty,Uncertainty extracted from a two-state regime-switching model of aggregate market return and aggregate output,Common other,Review of Financial Studies,Ozoguz (2008),"Ozoguz, Arzu, 2009, ``Good times or bad times? Investor's uncertainty and stock returns"", Review of Financial Studies 22, 4378-4422.",http://rfs.oxfordjournals.org/content/22/11/4377.full.pdf+html,z2_notfirm,no cross sectional predictability,NA,NA
2011,104,NA,Knightian uncertainty,Knightian uncertainty estimated from an investor's optimization problem under Knightian uncertainty,Common financial,Working Paper,"Viale, Garcia-Feijoo and Giannetti (2011)","Viale, Ariel M., Luis Garcia-Feijoo and Antoine Giannetti, 2012,  ``Safety first, robust dynamic asset pricing, and the cross-section of expected stock returns"", Working Paper.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1782081,z2_notfirm,no cross sectional predictability,RAPS,https://academic.oup.com/raps/article/4/1/118/1941606
2012,103,NA,Learning,Learning estimated from an investor's optimization problem under Knightian uncertainty,Common financial,Working Paper,"Viale, Garcia-Feijoo and Giannetti (2011)","Viale, Ariel M., Luis Garcia-Feijoo and Antoine Giannetti, 2012,  ``Safety first, robust dynamic asset pricing, and the cross-section of expected stock returns"", Working Paper.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1782081,z2_notfirm,no cross sectional predictability,RAPS,https://academic.oup.com/raps/article/4/1/118/1941606
2012,NA,NA,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,Common macro,Journal of Financial Economics,"Ferson, Nallareddy and Xie (2012)","Ferson Wayne, Suresh Nallareddy and Biqin Xie, 2012, ``The ``out-of-sample"" performance of long run risk models"", Journal of Financial Economics 107, 537-556.",http://www.sciencedirect.com/science/article/pii/S0304405X12001912,z2_notfirm,no cross sectional predictability,NA,NA
2009,79,NA,Long-run stockholder consumption growth,Aggregated microlevel stockholder consumption,Common macro,Journal of Finance,"Malloy, Moskowitz and Vissing-Jorgensen (2009)","Malloy, Christopher J., Tobias J. Moskowitz and Annette Vissing-Jorgensen, 2009, ``Long-run stockholder consumption risk and asset returns"", Journal of Finance 64, 2427-2479.",http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2009.01507.x/pdf,z2_notfirm,no cross sectional predictability,NA,NA
1986,10,NA,Long-term interest rate,Change in the yield of long-term government bonds,Common financial,Journal 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.pdf,z2_notfirm,no cross sectional predictability,NA,NA
2011,NA,NA,Market return,Equity index return,Common financial,Working Paper,"Chen, Novy-Marx and Zhang (2011)","Chen, Long, Robert Novy-Marx and Lu Zhang, ``An alternative three-factor model"", Working Paper.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1418117,z2_notfirm,no cross sectional predictability,NA,NA
2006,NA,NA,Market return,Equity index return,Common financial,Journal of Finance,Lo and Wang (2006),"Lo, Andrew W. and Jiang Wang, 2006, ``Trading volume: Implications of an intertemporal capital asset pricing model"", Journal of Finance 61, 2805-2840.",http://www.jstor.org/stable/pdfplus/4123445.pdf,z2_notfirm,no cross sectional predictability,NA,NA
2006,NA,NA,Market return,Equity index return and its square,Common financial,Review of Financial Studies,Vanden (2006),"Vanden, Joel M., 2006, ``Option coskewness and capital asset pricing"", Review of Financial Studies 19, 1279-1320.",http://www.jstor.org/stable/pdfplus/4123474.pdf,z2_notfirm,no cross sectional predictability,NA,NA
2006,56,NA,Retail investor sentiment,Systematic retail trading based on transaction data,Common behavioral,Journal of Finance,Kumar and Lee (2006),"Kumar, Alok and Charles M. C. Lee, 2006, ``Retail investor sentiment and return comovement"", Journal of Finance 61, 2451-2486.",http://www.jstor.org/stable/pdfplus/3874716.pdf,z2_notfirm,no cross sectional predictability,NA,NA
NA,NA,NA,Short-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,Common macro,Journal of Financial Economics,"Ferson, Nallareddy and Xie (2012)","Ferson Wayne, Suresh Nallareddy and Biqin Xie, 2012, ``The ``out-of-sample"" performance of long run risk models"", Journal of Financial Economics 107, 537-556.",http://www.sciencedirect.com/science/article/pii/S0304405X12001912,z2_notfirm,no cross sectional predictability,NA,NA
NA,3,NA,Squared market return,Square of equity index return,Common financial,Journal of Finance,Kraus 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,z2_notfirm,no cross sectional predictability,NA,NA
1981,4,NA,Treasury bill return,Principle components extracted from returns of Treasury bills,Common financial,Journal 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.pdf,z2_notfirm,no cross sectional predictability,NA,NA
2011,NA,NA,Distress risk,Aggregate distress risk obtained by projecting future business failure growth rates on a set of basis assets,Common financial,Journal of Financial Economics,Kapadia (2011),"Kapadia, Nishad, 2011, ``Tracking down distress risk"", Journal of Financial Economics 102, 167-182.",http://www.sciencedirect.com/science/article/pii/S0304405X11001164#,z2_notfirm,no cross sectional predictability,NA,NA
NA,NA,NA,Change in G-7 industrial production,Change in G-7 industrial production,Common macro,Review of Financial Studies,Ferson 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,z2_notfirm,not company stocks,NA,targets country portfolios
NA,NA,NA,Change in long-term inflationary expectations,Change in long-term inflationary expectations,Common macro,Review of Financial Studies,Ferson 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,z2_notfirm,not company stocks,NA,targets country portfolios
NA,19,NA,Change in long-term inflationary expectations,Change in long-term inflationary expectations,Common macro,Journal of Banking and Finance,Ferson 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/037842669300020P,z2_notfirm,not company stocks,NA,targets country portfolios
NA,NA,NA,Change in oil price,Change in the monthly average US dollar price per barrel of crude oil,Common macro,Review of Financial Studies,Ferson 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,z2_notfirm,not company stocks,NA,targets country portfolios
NA,NA,NA,Change in oil price,Change in the monthly average US dollar price per barrel of crude oil,Common macro,Journal of Banking and Finance,Ferson 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/037842669300020P,z2_notfirm,not company stocks,NA,targets country portfolios
NA,NA,NA,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,Review of Financial Studies,Ferson 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,z2_notfirm,not company stocks,NA,targets country portfolios
NA,NA,NA,Change in weighted exchange rate,Log first difference of the trade-weighted US dollar price of ten industrialized countries' currencies,Common financial,Review of Financial Studies,Ferson 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,z2_notfirm,not company stocks,NA,targets country portfolios
NA,18,NA,Change in weighted exchange rate,Log first difference of the trade-weighted US dollar price of ten industrialized countries' currencies,Common financial,Journal of Banking and Finance,Ferson 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/037842669300020P,z2_notfirm,not company stocks,NA,targets country portfolios
1999,28,NA,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",Common financial,Journal of Finance,Ferson and Harvey (1999),"Ferson, Wayne E. and Campbell R. Harvey, 1999, ``Conditioning variables and the cross section of stock returns"", Journal of Finance 54, 1325-1360.",http://www.jstor.org/stable/pdfplus/798007.pdf,z2_notfirm,not company stocks,NA,targets country portfolios
NA,NA,NA,Unexpected inflation for the G-7 countries,Unexpected inflation based on a time-series model on an aggregate G-7 inflation rate,Common macro,Review of Financial Studies,Ferson 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,z2_notfirm,not company stocks,NA,targets country portfolios
NA,NA,NA,Weighted real short-term interest rate,GDP weighted average of short-term interest rates in G-7 countries,Common financial,Review of Financial Studies,Ferson 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,z2_notfirm,not company stocks,NA,targets country portfolios
1993,NA,NA,World equity return,US dollar return of the MSCI world equity market in excess of a short-term interest rate,Common financial,Review of Financial Studies,Ferson 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,z2_notfirm,not company stocks,NA,targets country portfolios
1994,17,NA,World equity return,US dollar return of the MSCI world equity market in excess of a short-term interest rate,Common financial,Journal of Banking and Finance,Ferson 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/037842669300020P,z2_notfirm,not company stocks,NA,targets country portfolios
NA,NA,NA,Dividend yield,Dividend yield on value-weighted index,Common financial,Journal of Political Economy,Campbell (1996),"Campbell, John Y., 1996,  ``Understanding risk and return"", Journal of Political Economy 104, 298-345.",http://dash.harvard.edu/bitstream/handle/1/3153293/campbell_risk.pdf,z2_notfirm,not cross section,NA,NA
2000,29,NA,Entrepreneur income,Proprietary income of entrepreneurs,Common financial,Journal of Finance,Heaton and Lucas (2000),"Heaton, John and Deborah Lucas, 2000, ``Portfolio choice and asset prices: The importance of entrepreneurial risk"", Journal of Finance 55, 1163-1198.",http://www.jstor.org/stable/pdfplus/222449.pdf,z2_notfirm,not cross section,NA,Not even sure how to classify this paper. It's not about asset pricing but about portfolios across the household wealth distribution.
2005,46,NA,Housing price ratio,Ratio of housing to human wealth,Common financial,Journal of Finance,Lustig and Nieuwerburgh (2005),"Lustig, Hanno N. and Stijn G. Van Neiuwerburgh, 2005, ``Housing collateral, consumption insurance, and risk premia: An empirical perspective"", Journal of Finance 60, 1167-1219.",http://www.jstor.org/stable/pdfplus/3694924.pdf,z2_notfirm,not cross section,NA,NA
NA,NA,NA,Labor income,Real labor income growth rate,Common macro,Journal of Political Economy,Campbell (1996),"Campbell, John Y., 1996,  ``Understanding risk and return"", Journal of Political Economy 104, 298-345.",http://dash.harvard.edu/bitstream/handle/1/3153293/campbell_risk.pdf,z2_notfirm,not cross section,NA,NA
1996,NA,NA,Market return,Equity index return,Common financial,Journal of Political Economy,Campbell (1996),"Campbell, John Y., 1996,  ``Understanding risk and return"", Journal of Political Economy 104, 298-345.",http://dash.harvard.edu/bitstream/handle/1/3153293/campbell_risk.pdf,z2_notfirm,not cross section,NA,NA
NA,NA,NA,Term structure,Long-short government bond yield spread,Common financial,Journal of Political Economy,Campbell (1996),"Campbell, John Y., 1996,  ``Understanding risk and return"", Journal of Political Economy 104, 298-345.",http://dash.harvard.edu/bitstream/handle/1/3153293/campbell_risk.pdf,z2_notfirm,not cross section,NA,NA
NA,NA,NA,Distressed investment strategy return,Return for hedge funds that follow a distressed investment strategy,Common financial,Review of Financial Studies,Fung and Hsieh (1997),"Fung, William and David A. Hsieh, 1997, ``Empirical characteristics of dynamic trading strategies: The case of hedge funds"", Review of Financial Studies 10, 275-302.",http://www.jstor.org/stable/pdfplus/2962347.pdf,z2_notfirm,not cross section,NA,NA
NA,NA,NA,Global/macro strategy return,Return for hedge funds that follow a global/macro strategy,Common financial,Review of Financial Studies,Fung and Hsieh (1997),"Fung, William and David A. Hsieh, 1997, ``Empirical characteristics of dynamic trading strategies: The case of hedge funds"", Review of Financial Studies 10, 275-302.",http://www.jstor.org/stable/pdfplus/2962347.pdf,z2_notfirm,not cross section,NA,NA
1997,NA,NA,Opportunistic strategy return,Return for hedge funds that follow an opportunistic strategy,Common financial,Review of Financial Studies,Fung and Hsieh (1997),"Fung, William and David A. Hsieh, 1997, ``Empirical characteristics of dynamic trading strategies: The case of hedge funds"", Review of Financial Studies 10, 275-302.",http://www.jstor.org/stable/pdfplus/2962347.pdf,z2_notfirm,not cross section,NA,NA
2001,NA,NA,Straddle return,Lookback straddles' returns constructed based on option prices,Common financial,Review of Financial Studies,Fung and Hsieh (2001),"Fung, William and David Hsieh, 2001, ``The risk in hedge fund strategies: Theory and evidence from trend followers"", Review of Financial Studies 14, 313-341.",http://www.jstor.org/stable/10.2307/2696743,z2_notfirm,not cross section,NA,NA
NA,NA,NA,Trend following strategy return,Return for hedge funds that follow a trend following strategy,Common financial,Review of Financial Studies,Fung and Hsieh (1997),"Fung, William and David A. Hsieh, 1997, ``Empirical characteristics of dynamic trading strategies: The case of hedge funds"", Review of Financial Studies 10, 275-302.",http://www.jstor.org/stable/pdfplus/2962347.pdf,z2_notfirm,not cross section,NA,NA
NA,NA,NA,Value strategy return,Return for hedge funds that follow a value strategy,Common financial,Review of Financial Studies,Fung and Hsieh (1997),"Fung, William and David A. Hsieh, 1997, ``Empirical characteristics of dynamic trading strategies: The case of hedge funds"", Review of Financial Studies 10, 275-302.",http://www.jstor.org/stable/pdfplus/2962347.pdf,z2_notfirm,not cross section,NA,NA
NA,13,NA,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 financial,Journal of Political Economy,Ferson 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,z2_notfirm,not predictive,NA,only tested on size-sorted portfolios + bonds
NA,NA,NA,Consumption growth,Real per capita growth of personal consumption expenditures for nondurables & services,Common macro,Journal of Political Economy,Ferson 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,z2_notfirm,not stock level cross section,NA,only tested on size-sorted portfolios + bonds
NA,NA,NA,Credit spread,Baa corporate bond return less monthly long-term government bond return,Common financial,Journal of Political Economy,Ferson 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,z2_notfirm,not stock level cross section,NA,only tested on size-sorted portfolios + bonds
NA,14,NA,Real short rate,One-month Treasury bill return less inflation rate,Common financial,Journal of Political Economy,Ferson 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,z2_notfirm,not stock level cross section,NA,only tested on size-sorted portfolios + bonds
NA,NA,NA,Unexpected inflation,Difference between actual and time-series forecasts of inflation rate,Common macro,Journal of Political Economy,Ferson 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,z2_notfirm,not stock level cross section,NA,only tested on size-sorted portfolios + bonds
2008,75,NA,Liquidity,Systematic liquidity extracted from eight empirical liquidity measures,Common microstructure,Journal of Financial Economics,Korajczyk and Sadka (2008),"Korajczyk, Robert A. and Ronnie Sadka, 2008, ``Pricing the commonality across alternative measures of liquidity"", Journal of Financial Economics 87, 45-72.",http://www.sciencedirect.com/science/article/pii/S0304405X07001572#,z2_notfirm,not predictive,NA,Table 9 shows weak predictability in long-short extreme portfolios (some in less extreme)
2012,NA,164,Product price change,Cumulative product price changes since an industry enters the producer price index program,Individual financial,Working Paper,Van Binsbergen (2012),"Van Binsbergen, Jules H., 2009, ``Good-specific habit formation and the cross-section of expected returns"", Working Paper.",http://www.haas.berkeley.edu/groups/finance/Habits_and_the_cross_section.pdf,z2_notfirm,not stock level cross section,JF,https://onlinelibrary.wiley.com/doi/epdf/10.1111/jofi.12397
2012,NA,175,Stock-cash flow sensitivity,Stock-cash flow sensitivity estimated from a structural one-factor contingent-claim model,Individual financial,Working Paper,Chen and Strebulaev (2012),"Chen, Zhiyao and Ilya Strebulaev, ``Contingent-claim-based expected stock returns"", Working Paper.",http://www.efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL%20MEETINGS/2012-Barcelona/papers/EFMA2012_0582_fullpaper.pdf,z2_notfirm,not stock level cross section,WP,NA
2012,NA,189,Carry,Expected return minus expected price appreciation,Individual financial,Working Paper,"Koijen, Moskowitz, Pedersen and Vrugt (2012)","Koijen, Ralph, Tobias Moskowitz, Lasse Heje Pedersen and Evert Vrugt, 2012, Carry, Working Paper, University of Chicago.",http://pages.stern.nyu.edu/~lpederse/papers/Carry.pdf,z2_notfirm,not stock level cross section,JFE,https://reader.elsevier.com/reader/sd/pii/S0304405X17302908
NA,11,NA,Change in oil prices,Growth rate in oil prices,Common macro,Journal of Business,"Chen, 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,z2_notfirm,not stock level cross section,NA,size sorted portfolios in Tab 4
NA,NA,NA,Changes in expected inflation,Changes in expected inflation as defined in Fama and Gibbons (1984),Common macro,Journal of Business,"Chen, 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,z2_notfirm,not stock level cross section,NA,size sorted portfolios in Tab 4
2012,109,NA,Commodity index,Open interest-weighted total index that aggregates 33 commodities,Common financial,Working Paper,"Boons, Roon and Szymanowska (2012)","Boons, Martijn, Frans de Roon and Marta Szymanowska, 2012, The stock market price of commodity risk, Working Paper, Tilburg University.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1785728&download=yes,z2_notfirm,not stock level cross section,WP,NA
NA,NA,NA,Credit premium,"Risk premium measured as difference in return between ``under Baa"" bond portfolio and long-term government bond portfolio",Common financial,Journal of Business,"Chen, 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,z2_notfirm,not stock level cross section,NA,size sorted portfolios in Tab 4
2012,106,NA,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,Common macro,Working Paper,Lioui and Maio (2012),"Lioui, Abraham and Paulo Maio, 2012,  ``Interest rate risk and the cross-section of stock returns"", Working Paper.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1571481,z2_notfirm,not stock level cross section,JFQA,https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/interest-rate-risk-and-the-cross-section-of-stock-returns/CD067D70455136EA67D4C2D058C596F6
NA,98,NA,Income growth for distributive industries,Income growth for distributive industries,Common macro,Journal of Finance,Eiling (2012),"Eiling, Esther, 2012, ``Industry-specific human capital, idiosyncratic risk, and the cross-section of expected stock returns"", The Journal of Finance.",http://northernfinance.org/2008/papers/209.pdf,z2_notfirm,not stock level cross section,NA,predicts size/BM and size/beta sorted portfolio returns
2012,96,NA,Income growth for goods producing industries,Income growth for goods producing industries,Common macro,Journal of Finance,Eiling (2012),"Eiling, Esther, 2012, ``Industry-specific human capital, idiosyncratic risk, and the cross-section of expected stock returns"", The Journal of Finance.",http://northernfinance.org/2008/papers/209.pdf,z2_notfirm,not stock level cross section,NA,predicts size/BM and size/beta sorted portfolio returns
NA,100,NA,Income growth for government,Income growth for government,Common macro,Journal of Finance,Eiling (2012),"Eiling, Esther, 2012, ``Industry-specific human capital, idiosyncratic risk, and the cross-section of expected stock returns"", The Journal of Finance.",http://northernfinance.org/2008/papers/209.pdf,z2_notfirm,not stock level cross section,NA,predicts size/BM and size/beta sorted portfolio returns
NA,97,NA,Income growth for manufacturing industries,Income growth for manufacturing industries,Common macro,Journal of Finance,Eiling (2012),"Eiling, Esther, 2012, ``Industry-specific human capital, idiosyncratic risk, and the cross-section of expected stock returns"", The Journal of Finance.",http://northernfinance.org/2008/papers/209.pdf,z2_notfirm,not stock level cross section,NA,predicts size/BM and size/beta sorted portfolio returns
NA,99,NA,Income growth for service industries,Income growth for service industries,Common macro,Journal of Finance,Eiling (2012),"Eiling, Esther, 2012, ``Industry-specific human capital, idiosyncratic risk, and the cross-section of expected stock returns"", The Journal of Finance.",http://northernfinance.org/2008/papers/209.pdf,z2_notfirm,not stock level cross section,NA,predicts size/BM and size/beta sorted portfolio returns
1986,NA,NA,Industrial production growth,Seasonally adjusted monthly growth rate of industrial production,Common macro,Journal of Business,"Chen, 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,z2_notfirm,not stock level cross section,NA,size sorted portfolios in Tab 4
NA,52,NA,Investment growth by financial firms,Financial firms investment growth,Common macro,Journal of Business,"Li, Vassalou and Xing (2006)","Li, Qing, Maria Vassalou and Yuhang Xing, 2006, ``Sector investment growth rates and the cross section of equity returns"", Journal of Business 79, 1637-1665.",http://www.jstor.org/stable/pdfplus/10.1086/500687.pdf,z2_notfirm,not stock level cross section,NA,NA
2006,49,NA,Investment growth by households,Household investment growth,Common macro,Journal of Business,"Li, Vassalou and Xing (2006)","Li, Qing, Maria Vassalou and Yuhang Xing, 2006, ``Sector investment growth rates and the cross section of equity returns"", Journal of Business 79, 1637-1665.",http://www.jstor.org/stable/pdfplus/10.1086/500687.pdf,z2_notfirm,not stock level cross section,NA,NA
NA,51,NA,Investment growth by nonfarm noncorporate business,Nonfarm noncorporate business investment growth,Common macro,Journal of Business,"Li, Vassalou and Xing (2006)","Li, Qing, Maria Vassalou and Yuhang Xing, 2006, ``Sector investment growth rates and the cross section of equity returns"", Journal of Business 79, 1637-1665.",http://www.jstor.org/stable/pdfplus/10.1086/500687.pdf,z2_notfirm,not stock level cross section,NA,NA
NA,50,NA,Investment growth by nonfarm nonfinancial corporate firms,Nonfarm nonfinancial corporate firms investment growth,Common macro,Journal of Business,"Li, Vassalou and Xing (2006)","Li, Qing, Maria Vassalou and Yuhang Xing, 2006, ``Sector investment growth rates and the cross section of equity returns"", Journal of Business 79, 1637-1665.",http://www.jstor.org/stable/pdfplus/10.1086/500687.pdf,z2_notfirm,not stock level cross section,NA,NA
2012,NA,NA,Labor income,Labor income at the census division level,Common macro,Working Paper,"Gomez, Priestley and Zapatero (2012)","Gomez, Juan-Pedro, Richard Priestley and Fernando Zapatero, 2012,  ``Labor income, relative wealth concerns, and the cross-section of stock returns"", Working Paper.",http://marshallinside.usc.edu/zapatero/Papers/HBH_new_v22.pdf,z2_notfirm,not stock level cross section,JFQA,https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/labor-income-relative-wealth-concerns-and-the-cross-section-of-stock-returns/8C6BA6D3AA08C2CDA1F76B6D202DD9F7
NA,NA,NA,Labor income,Real labor income growth rate,Common macro,Journal of Finance,Jagannathan and Wang (1996),"Jagannathan, Ravi and Zhenyu Wang, 1996, ``The conditional CAPM and the cross-section of expected returns"", Journal of Finance 51, 3-53.",http://www.jstor.org/stable/pdfplus/2329301.pdf,z2_notfirm,not stock level cross section,NA,They use stock level to form 100 portfolios on which they run their tests. So I guess that is portfolio level then?
2012,105,NA,Market uncertainty,Proxied by variance risk premium,Common financial,Working Paper,Bali and Zhou (2012),"Bali, Turan G. and Hao Zhou, 2012,  ``Risk, uncertainty, and expected returns"", Working Paper.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2020604,z2_notfirm,not stock level cross section,JFQA,https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/risk-uncertainty-and-expected-returns/01FBA8D271133EAB846678F4E7987E1A
2012,107,NA,Market-wide liquidity,"Proxied by ``noise"" in Treasury prices",Common microstructure,Working Paper,"Hu, Pan and Wang (2012)","Hu, Grace Xing, Jun Pan and Jiang Wang, 2012, ``Noise as information for illiquidity"", Working Paper.",http://www.mit.edu/~junpan/Noise.pdf?version=1,z2_notfirm,not stock level cross section,JF,https://onlinelibrary.wiley.com/doi/full/10.1111/jofi.12083
2011,88,NA,Rare disasters,Disaster index based on international political crises,Common financial,Journal of Financial Economics,"Berkman, Jacobsen and Lee (2011)","Berkman, Henk, Ben Jacobsen and John B. Lee, 2011, ``Time-varying rare disaster risk and stock returns"", Journal of Financial Economics 101, 313-332.",http://www.sciencedirect.com/science/article/pii/S0304405X11000523#,z2_notfirm,not stock level cross section,NA,Table 9 has regression results for 30 FF industry portfolios
NA,NA,NA,Slope of yield curve,Long-short government bond yield spread,Common financial,Journal of Finance,Jagannathan and Wang (1996),"Jagannathan, Ravi and Zhenyu Wang, 1996, ``The conditional CAPM and the cross-section of expected returns"", Journal of Finance 51, 3-53.",http://www.jstor.org/stable/pdfplus/2329301.pdf,z2_notfirm,not stock level cross section,NA,NA
2012,94,NA,Stochastic volatility,Estimated from a heteroscedastic VAR based on market and macro variables,Common financial,Working Paper,"Campbell, Giglio, Polk and Turley (2012)","Campbell, John Y., Stefano Giglio, Christopher Polk and Robert Turley, 2012, ``An Intertemporal CAPM with Stochastic Volatility"", Working Paper.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2021846,z2_notfirm,not stock level cross section,JFE,https://www.sciencedirect.com/science/article/pii/S0304405X18300503
NA,NA,NA,Term structure,Yield curve slope measured as difference in return between long-term government bond and 1-month Treasury bill,Common financial,Journal of Business,"Chen, 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,z2_notfirm,not stock level cross section,NA,size sorted portfolios in Tab 4
2006,NA,NA,Third to tenth power of market return,Third to tenth power of market return,Common financial,Journal of Business,"Chung, Johnson and Schill (2006)","Chung, Y. Peter, Herb Johnson and Michael J. Schill, 2006,  ``Asset pricing when returns are nonnormal: Fama-French factors versus higher-order systematic comoments"", Journal of Business 79, 923-940.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=503122,z2_notfirm,not stock level cross section,NA,target size and B/M sorted portfolios
NA,NA,NA,Unanticipated inflation,Realized minus expected inflation,Common macro,Journal of Business,"Chen, 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,z2_notfirm,not stock level cross section,NA,size sorted portfolios in Tab 4
1996,NA,23,Credit rating,Institutional investor country credit rating from semi-annual survey,Individual other,Journal of Portfolio Management,"Erb, Harvey and Viskanta (1996)","Erb, Claude, Campbell Harvey and Tadas Viskanta, 1996, Expected returns and volatility in 135 countries, Journal of Portfolio Management 22, 46-58.",http://www.iijournals.com/doi/abs/10.3905/jpm.1996.409554,z2_notfirm,not stocks,NA,targets country portfolios
NA,23,NA,Change in expected GNP,Change in expectation from economic surveys,Common macro,Journal of Finance,"Elton, Gruber and Blake (1995)","Elton, Edwin J., Martin J. Gruber and Christopher R. Blake, 1995, ``Fundamental economic variables, expected returns, and bond fund performance"", Journal of Finance 50, 1229-1256.",http://www.jstor.org/stable/pdfplus/2329350.pdf,z2_notfirm,not stocks,NA,only studies bonds.  Not clear about predictability on a quick read
1995,22,NA,Change in expected inflation,Change in expectation from economic surveys,Common macro,Journal of Finance,"Elton, Gruber and Blake (1995)","Elton, Edwin J., Martin J. Gruber and Christopher R. Blake, 1995, ``Fundamental economic variables, expected returns, and bond fund performance"", Journal of Finance 50, 1229-1256.",http://www.jstor.org/stable/pdfplus/2329350.pdf,z2_notfirm,not stocks,NA,only studies bonds.  Not clear about predictability on a quick read
1993,NA,NA,Return on S&P stocks,Returns on S&P stocks,Common financial,Review of Financial Studies,"Elton, 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,z2_notfirm,not stocks,NA,only studies bonds.  Not clear about predictability on a quick read
NA,NA,NA,Returns on non-S&P stocks,Returns on non-S&P stocks,Common financial,Review of Financial Studies,"Elton, 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,z2_notfirm,not stocks,NA,targets bonds.  Not clear about predictability on a quick read
2009,NA,117,Analyst forecasts optimism,Relative optimism and pessimism proxied by the difference between long-term and short-term analyst forecast of earnings growth,Individual financial,Working Paper,Da and Warachka (2009),"Da, Zhi and Mitch Warachka, 2009, Long-term earnings growth forecasts, limited attention, and return predictability, Working Paper, University of Notre Dame.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1107637&download=yes,z2_notfirm,zz missing,NA,NA
2008,76,NA,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,Common financial,Working Paper,Brennan and Li (2008),"Brennan, Michael and Feifei Li, 2008, Agency and asset pricing, Working Paper, UCLA.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1104546&download=yes,z2_notfirm,zz missing,WP,Target assets are 25 portfolios
2011,NA,145,Dispersion in beliefs,Revealed through active holdings of fund managers,Individual behavioral,Working Paper,Jiang and Sun (2011),"Jiang, Hao and Zheng Sun, 2011, ``Dispersion in beliefs among active mutual funds and the cross-section of stock returns"", Working Paper.",http://merage.uci.edu/Resources/Documents/Disperion%20in%20Beliefs%20and%20Stock%20Returns%20_%20Jiang%20&%20Sun%200811.pdf,z3_harddata,CDA/Spectrum Mutual FundHoldings Databas,JFE,NA
2012,NA,167,Information intensity,Proxied by monthly frequency of current report filings,Individual microstructure,Working Paper,Zhao (2012),"Zhao, Xiaofei, 2012, ``Information intensity and the cross-section of stock returns"", Working Paper.",http://xiaofeizhao.org/wp-content/uploads/2012/09/quantInfo_jmp.pdf,z3_harddata,EDGAR 8K Filings,MS,https://pubsonline.informs.org/doi/pdf/10.1287/mnsc.2015.2408
2012,NA,174,Debt covenant protection,Firm-level covenant index constructed based on 30 covenant categories,Individual accounting,Working Paper,Wang (2012),"Wang, Yuan, 2012, ``Debt covenants and cross-sectional equity returns"", Working Paper.",http://northernfinance.org/2012/openconf/modules/request.php?module=oc_program&action=view.php&id=407,z3_harddata,FISD Covenant Data,MS,https://pubsonline.informs.org/doi/pdf/10.1287/mnsc.2015.2381
2011,NA,146,Credit default swap spreads,Five-year spread less one-year spread,Individual financial,Working Paper,Han and Zhou (2011),"Han, Bing and Yi Zhou, 2011, ``Term structure of credit default swap spreads and cross-section of stock returns"", Working Paper.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1735162,z3_harddata,Markit CDS data,WP,NA
2011,NA,150,Implied cost of capital,Implied cost of capital estimated using option contracts,Individual financial,Working Paper,Callen and Lyle (2011),"Callen, Jeffrey and Matthew Lyle, 2011, The term structure of implied costs of equity capital, Working Paper, University of Toronto.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1975947,1_clear,zz missing,RAS,https://link.springer.com/content/pdf/10.1007/s11142-019-09513-z.pdf
1997,NA,26,Disclosure level,Voluntary disclosure level of manufacturing firms' annual reports,Individual accounting,Accounting Review,Botosan (1997),"Botosan, Christine A., 1997,  ``Disclosure level and the cost of equity capital"", Accounting Review, 72, 323-349.",http://www.jstor.org/stable/pdfplus/248475.pdf,z3_harddata,proprietary data,NA,NA
1997,NA,28,Corporate acquisitions,Difference between stock mergers and cash tender offers for corporate acquisitions,Individual financial,Journal of Finance,Loughran and Vijh (1997),"Loughran, Tim and Anand Vijh, 1997, Do long-term shareholders benefit from corporate acquisitions? Journal of Finance 52, 1765-1790.",http://www.jstor.org/stable/pdfplus/2329464.pdf?acceptTC=true,z3_harddata,proprietary data,NA,NA
2002,NA,49,Short-sale constraints,Shorting costs for NYSE stocks,Individual microstructure,Journal of Financial Economics,Jones and Lamont (2002),"Jones, Charles M and Owen A Lamont, 2002, ``Short-sale constraints and stock returns"", Journal of Financial Economics 66, 207-239.",http://www.sciencedirect.com/science/article/pii/S0304405X02002246,z3_harddata,proprietary data,NA,NA
2003,NA,54,Order backlog,"Order backlog divided by average total assets, transformed to a scaled-decile variable",Individual accounting,Review of Accounting Studies,"Rajgopal, Shevlin and Venkatachalam (2003)","Rajgopal, Shivaram, Terry Shevlin and Mohan Venkatachalam, 2012, Does the stock market fully appreciate the implications of leading indicators for future earnings? Evidence from order backlog, Review of Accounting Studies 8, 461-492.",http://link.springer.com/content/pdf/10.1023%2FA%3A1027364031775.pdf,z3_harddata,proprietary data,NA,NA
2004,NA,59,Put-call parity,Violations of put-call parity,Individual financial,Journal of Financial Economics,"Ofek, Richardson and Whitelaw (2004)","Ofek, Eli, Matthew Richardson and Robert Whitelaw, 2004, Limited arbitrage and short sales restrictions: evidence from the options markets, Journal of Financial Economics 74, 305-342.",http://www.sciencedirect.com/science/article/pii/S0304405X04000662,z3_harddata,proprietary data,NA,NA
2006,NA,77,Environment indicator,A composite index measuring a firm's environmental responsibility,Individual other,Financial Management,"Brammer, Brooks and Pavelin (2006)","Brammer, Stephen, Chris Brooks and Stephen Pavelin, 2006, ``Corporate social performance and stock returns: UK evidence from disaggregate measures"", Financial Management 35, 97-116.",http://onlinelibrary.wiley.com/doi/10.1111/j.1755-053X.2006.tb00149.x/pdf,z3_harddata,proprietary data,NA,NA
NA,NA,78,Employment indicator,A composite index measuring employee responsibility,Individual other,Financial Management,"Brammer, Brooks and Pavelin (2006)","Brammer, Stephen, Chris Brooks and Stephen Pavelin, 2006, ``Corporate social performance and stock returns: UK evidence from disaggregate measures"", Financial Management 35, 97-116.",http://onlinelibrary.wiley.com/doi/10.1111/j.1755-053X.2006.tb00149.x/pdf,z3_harddata,proprietary data,NA,NA
NA,NA,79,Community indicator,A composite index measuring community responsiveness,Individual other,Financial Management,"Brammer, Brooks and Pavelin (2006)","Brammer, Stephen, Chris Brooks and Stephen Pavelin, 2006, ``Corporate social performance and stock returns: UK evidence from disaggregate measures"", Financial Management 35, 97-116.",http://onlinelibrary.wiley.com/doi/10.1111/j.1755-053X.2006.tb00149.x/pdf,z3_harddata,proprietary data,NA,NA
2009,NA,109,Media coverage,Firm mass media coverage,Individual behavioral,Journal of Finance,Fang and Peress (2009),"Fang, Lily and Joel Peress, 2009, ``Media coverage and the cross-section of stock returns"", Journal of Finance 64, 2023-2052.",http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2009.01493.x/pdf,z3_harddata,proprietary data,NA,NA
2010,NA,126,Political campaign contributions,Firm contributions to US political campaigns,Individual other,Journal of Finance,"Cooper, Gulen and Ovtchinnikov (2010)","Cooper, Michael J., Huseyin Gulen and Alexei V. Ovtchinnikov, 2010, ``Corporate political contributions and stock returns"", Journal of Finance 65, 687-724.",http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2009.01548.x/pdf,z3_harddata,proprietary data,NA,NA
2011,NA,143,Intangibles,"Employee satisfaction proxied by the list of ``100 Best Companies to Work for in America""",Individual other,Journal of Financial Economics,Edmans (2011),"Edmans, Alex, 2011, ``Does the stock market fully value intangibles? Employee satisfaction and equity prices"", Journal of Financial Economics 101, 621-640.",http://www.sciencedirect.com/science/article/pii/S0304405X11000869,z3_harddata,proprietary data,NA,NA
2011,NA,153,Labor unions,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,Individual other,Journal of Financial and Quantitative Analysis,"Chen, Kacperczyk and Ortiz-Molina (2011)","Chen, Huafeng, Marcin Kacperczyk and Hernan Ortiz-Molina, 2011, Labor unions, operating flexibility, and the cost of equity, Journal of Financial and Quantitative Analysis 46, 25-58.",http://journals.cambridge.org/action/displayAbstract?fromPage=online&aid=8218526,z3_harddata,proprietary data,NA,NA
2012,NA,169,Geographic dispersion,Number of states in which a firm has business operations,Individual other,Journal of Financial Economics,Garcia and Norli (2012),"Garcia, Diego and Oyvind Norli, 2012, ``Geographic dispersion and stock returns"", Journal of Financial Economics.",http://www.sciencedirect.com/science/article/pii/S0304405X1200133X#,z3_harddata,proprietary data,NA,NA
2012,NA,170,Political geography,Political proximity measured by political alignment index of each state's leading politicians with the ruling presidential party,Individual other,Journal of Financial Economics,"Kim, Pantzalis and Park (2012)","Kim, Chansog (Francis), Christos Pantzalis and Jung Chul Park, 2012, ``Political geography and stock returns: The value and risk implications of proximity to political power"", Journal of Financial Economics 106, 196-228.",http://www.sciencedirect.com/science/article/pii/S0304405X12000785,z3_harddata,proprietary data,NA,NA
2012,NA,180,Opportunistic buy,Prior month buy indicator for opportunistic traders who do not trade routinely,Individual microstructure,Journal of Finance,"Cohen, Malloy and Pomorski (2012)","Cohen, Lauren, Christopher Malloy and Lukasz Pomorski, 2012, Decoding inside information, Journal of Finance 67, 1009-1043.",http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2012.01740.x/full,z3_harddata,proprietary data,NA,NA
NA,NA,181,Opportunistic sell,Prior month sell indicator for opportunistic traders who do not trade routinely,Individual microstructure,Journal of Finance,"Cohen, Malloy and Pomorski (2012)","Cohen, Lauren, Christopher Malloy and Lukasz Pomorski, 2012, Decoding inside information, Journal of Finance 67, 1009-1043.",http://onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.2012.01740.x/full,z3_harddata,proprietary data,NA,NA
2012,NA,186,Earnings conference calls,Sentiment of conference call wording,Individual other,Journal of Banking and Finance,"Price, Doran, Peterson and Bliss (2012)","Price, Mckay, James Doran, David Peterson and Barbara Bliss, Earnings conference calls and stock returns: The incremental informativeness of textual tone, Journal of Banking and Finance 36, 992-1011.",http://www.sciencedirect.com/science/article/pii/S0378426611002901,z3_harddata,proprietary data,NA,NA
2013,NA,195,Board centrality,Board centrality measured by four basic dimensions of well-connectedness,Individual other,Journal of Accounting and Economics,"Larcker, So and Wang (2013)","Larcker, David, Eric So and Charles Wang, 2013, Boardroom centrality and firm performance, Journal of Accounting and Economics 55, 225-250.",http://www.sciencedirect.com/science/article/pii/S0165410113000141,z3_harddata,proprietary data,NA,NA
2010,NA,128,Realized skewness,Realized skewness obtained from high-frequency intraday prices,Individual financial,Working Paper,"Amaya, Christoffersen, Jacobs and Vasquez (2011)","Amaya, Diego, Peter Christoffersen, Kris Jacobs and Aurelio Vasquez, 2011, Do realized skewness and kurtosis predict the cross-section of equity returns, Working Paper, HEC Montreal.",http://www.econ.queensu.ca/files/event/ACJV_28July2011.pdf,z3_harddata,similar,JFE,Intraday skewness.  Similar to ReturnSkew
2002,NA,48,Information risk,Probability of information-based trading for individual stock,Individual microstructure,Journal of Finance,"Easley, Hvidkjaer and O'Hara (2002)","Easley, David, Soeren Hvidkjaer and Maureen O'Hara, 2002, ``Is information risk a determinant of asset returns"", Journal of Finance 57, 2185-2221.",http://www.jstor.org/stable/pdfplus/3094509.pdf,2_likely,TAQ data,NA,NA
2008,NA,108,Small trades,Volume arising from small trades,Individual microstructure,Review of Financial Studies,Hvidkjaer (2008),"Hvidkjaer, Soeren, 2008, Small trades and the cross-section of stock returns, Review of Financial Studies 31, 1123-1151.",http://rfs.oxfordjournals.org/content/21/3/1123.abstract,z3_harddata,TAQ data,NA,NA
2009,NA,124,Order imbalance,Difference between buyer- and seller-initiated trades,Individual microstructure,Review of Financial Studies,"Barber, Odean and Zhu (2009)","Barber, B., T. Odean and N. Zhu, 2009, Do retail trades move markets? Review of Financial Studies, 22, 152-186.",http://rfs.oxfordjournals.org/content/22/1/151.short,z3_harddata,TAQ data,NA,NA
2011,NA,129,Realized kurtosis,Realized kurtosis obtained from high-frequency intraday prices,Individual financial,Working Paper,"Amaya, Christoffersen, Jacobs and Vasquez (2011)","Amaya, Diego, Peter Christoffersen, Kris Jacobs and Aurelio Vasquez, 2011, Do realized skewness and kurtosis predict the cross-section of equity returns, Working Paper, HEC Montreal.",http://www.econ.queensu.ca/files/event/ACJV_28July2011.pdf,z3_harddata,TAQ data,JFE,https://www.sciencedirect.com/science/article/pii/S0304405X15001257
2012,NA,188,Time-series momentum,Time-series momentum strategy based on autocorrelations of scaled returns,Individual financial,Journal of Financial Economics,"Moskowitz, Ooi and Pedersen (2012)","Moskowitz, Tobias, Yao Hua Ooi and Lasse Heje Pedersen, 2012, Time series momentum, Journal of Financial Economics 104, 228-250.",http://www.sciencedirect.com/science/article/pii/S0304405X11002613,z3_harddata,TAQ data,NA,NA
2012,NA,192,Buy orders,Sensitivity of price changes to sell orders,Individual microstructure,Journal of Financial Economics,"Brennan, Chordia, Subrahmanyam and Tong (2012)","Brennan, Michael, Tarun Chordia, Avanidhar Subrahmanyam and Qing Tong, 2009, Sell-side liquidity and the cross-section of expected stock returns, Journal of Financial Economics.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1396328,z3_harddata,TAQ data,NA,NA
NA,NA,193,Sell orders,Sensitivity of price changes to buy orders,Individual microstructure,Journal of Financial Economics,"Brennan, Chordia, Subrahmanyam and Tong (2012)","Brennan, Michael, Tarun Chordia, Avanidhar Subrahmanyam and Qing Tong, 2009, Sell-side liquidity and the cross-section of expected stock returns, Journal of Financial Economics.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1396328,z3_harddata,TAQ data,NA,NA
2012,108,NA,Jump beta,Discontinuous jump beta based on Todorov and Bollerslev (2010),Common financial,Working Paper,Sophia Zhengzi Li (2012),"Li, Zhengzi, 2012, ``Continuous beta, discontinuous beta, and the cross-section of expected stock returns"", Working Paper.",http://econ.duke.edu/people/szl,z3_harddata,TAQ data,JFE,"Weird, looks like published version has a slightly different title and two coauthors. Still I think it's the same paper."
2006,59,NA,Liquidity,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,Sadka (2006),"Sadka, Ronnie, 2006, ``Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk"", Journal of Financial Economics 80, 309-349.",http://www.sciencedirect.com/science/article/pii/S0304405X05001819,z3_harddata,TAQ data,NA,NA
2012,NA,168,Credit risk premia,Market implied credit risk premia based on the term structure of CDS spreads,Individual financial,Working Paper,"Friewald, Wagner and Zechner (2012)","Friewald, Nils, Christian Wagner and Josef Zechner, 2012, ``The cross-section of credit risk premia and equity returns"", Working Paper.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1883101,z3_harddata,zz missing,JF,https://onlinelibrary.wiley.com/doi/epdf/10.1111/jofi.12143
2012,NA,173,Labor mobility,Labor mobility based on average occupational dispersion of employees in an industry,Individual accounting,Working Paper,Donangelo (2012),"Donangelo, Andres, 2012, ``Labor Mobility: Implications for Asset Pricing"", Working Paper.",http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1715232,z3_harddata,zz missing,JF,"very weak (t-stat of around 2 in LS portfolios, table V)"
2007,66,NA,Earnings cyclicality,Sensitivity of earnings to changes in aggregate total factor productivity,Common macro,Working Paper,Gourio (2007),"Gourio, Francois, 2007, Labor leverage, firms' heterogeneous sensitivities to the business cycle, and the cross-section of expected returns, Working Paper, Boston University.",http://people.bu.edu/fgourio/xspaper.pdf,z3_harddata,zz missing,JFE,census data.  New version uses labor share from census.
1984,NA,NA,New listings dummy,Announcement that a company has filed a formal application to list on the NYSE,Individual accounting,Financial Analyst Journal,McConnell and Sanger (1984),"McConnell, John and Gary Sanger, 1984, A trading strategy for new listings on the NYSE, Financial Analysts Journal 40, 34-38.",http://www.jstor.org/stable/pdfplus/4478714.pdf?acceptTC=true,z3_harddata,zz missing,NA,Studies OTC stocks