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% latex table generated in R 4.5.0 by xtable 1.8-4 package
% Sat Oct 24 12:04:10 2026
 Abarbanell and Bushee (1998) & Effective Tax Rate & ETR & Indirect Evidence & 0.01 & 0.13 & t=1.5 in mv reg \\ 
  Abarbanell and Bushee (1998) & Gross margin growth to sales growth & GrGMToGrSales & Indirect Evidence & 0.35 & 3.16 & t=1.9 in mv reg \\ 
  Abarbanell and Bushee (1998) & Change in sales vs change in receiv & GrSaleToGrReceivables & Indirect Evidence & 0.04 & 0.49 & t=1.6 in mv reg \\ 
  Abarbanell and Bushee (1998) & Laborforce efficiency & LaborforceEfficiency & Indirect Evidence & -0.09 & -1.02 & t=0.6 in mv reg \\ 
  Abarbanell and Bushee (1998) & Change in gross margin vs sales & pchgm\_pchsale & Indirect Evidence & 0.41 & 3.58 & GHZ variant of GrGMToGrSale \\ 
  Acharya and Pedersen (2005) & Illiquidity-illiquidity beta (beta2i) & betaCC & Indirect Evidence & 0.34 & 1.93 & in-sample only \\ 
  Acharya and Pedersen (2005) & Illiquidity-market return beta (beta4i) & betaCR & Indirect Evidence & -0.10 & -1.13 & in-sample only \\ 
  Acharya and Pedersen (2005) & Net liquidity beta (betanet,p) & betaNet & Indirect Evidence & 0.37 & 2.06 & in-sample only \\ 
  Acharya and Pedersen (2005) & Return-market illiquidity beta & betaRC & Indirect Evidence & 0.06 & 0.29 & in-sample only \\ 
  Acharya and Pedersen (2005) & Return-market return illiquidity beta & betaRR & Indirect Evidence & -0.01 & -0.04 & in-sample only \\ 
  Adrian, Etula and Muir (2014) & Broker-Dealer Leverage Beta & BetaBDLeverage & Not Predictor & 0.39 & 2.17 & t=1 in conservative port sort \\ 
  Anderson and Garcia-Feijoo (2006) & Investment growth (1 year) & grcapx1y & Indirect Evidence & -0.27 & -3.69 & HXZ variant \\ 
  Anderson, Ghysels, and Juergens (2005) & Long-term forecast dispersion & ForecastDispersionLT & Not Predictor & -0.00 & -0.01 & t=1.0 in conservative long-short \\ 
  Ang et al. (2006) & Idiosyncratic risk (CAPM) & IdioVolCAPM & Indirect Evidence & -0.24 & -0.78 & HXZ variant \\ 
  Ang et al. (2006) & Idiosyncratic risk (q factor) & IdioVolQF & Indirect Evidence & -0.30 & -0.91 & HXZ variant \\ 
  Ang, Chen and Xing (2006) & Downside beta & DownsideBeta & Not Predictor & 0.09 & 0.40 & t=0.6 in port sort \\ 
  Balakrishnan, Bartov and Faurel (2010) & Change in Return on assets & ChangeRoA & Indirect Evidence & 1.22 & 11.76 & HXZ variant \\ 
  Balakrishnan, Bartov and Faurel (2010) & Change in Return on equity & ChangeRoE & Indirect Evidence & 1.03 & 10.04 & HXZ variant \\ 
  Bali, Engle and Murray (2015) & Idiosyncratic skewness (CAPM) & ReturnSkewCAPM & Indirect Evidence & -0.40 & -5.55 & HXZ variant \\ 
  Bali, Engle and Murray (2015) & Idiosyncratic skewness (Q model) & ReturnSkewQF & Indirect Evidence & -0.24 & -3.61 & HXZ variant \\ 
  Ball et al. (2016) & Cash-based oper prof lagged assets & CBOperProfLagAT & Indirect Evidence & 0.48 & 3.38 & HXZ variant \\ 
  Ball et al. (2016) & Cash-based oper prof lagged assets qtrly & CBOperProfLagAT\_q & Indirect Evidence & 0.87 & 6.14 & HXZ variant \\ 
  Ball et al. (2016) & Oper prof R\&D adj lagged assets & OperProfRDLagAT & Indirect Evidence & 0.03 & 0.16 & HXZ variant \\ 
  Ball et al. (2016) & Oper prof R\&D adj lagged assets (qtrly) & OperProfRDLagAT\_q & Indirect Evidence & 1.10 & 5.26 & HXZ variant \\ 
  Barbee, Mukherji and Raines (1996) & Sales-to-price quarterly & SP\_q & Indirect Evidence & 1.20 & 5.03 & HXZ variant \\ 
  Basu (1977) & Earnings-to-Price Ratio & EPq & Indirect Evidence & 1.31 & 6.77 & HXZ variant \\ 
  Belo, Lin and Vitorino (2014) & Brand capital to assets & BrandCapital & Indirect Evidence & 0.23 & 1.19 & not studied for predictability \\ 
  Bhandari (1988) & Market leverage quarterly & Leverage\_q & Indirect Evidence & 0.25 & 0.77 & HXZ variant \\ 
  Blitz, Huij and Martens (2011) & 6 month residual momentum & ResidualMomentum6m & Indirect Evidence & 0.38 & 3.93 & HXZ variant \\ 
  Boudoukh et al. (2007) & Net Payout Yield quarterly & NetPayoutYield\_q & Indirect Evidence & 0.80 & 2.36 & HXZ variant \\ 
  Boudoukh et al. (2007) & Payout Yield quarterly & PayoutYield\_q & Indirect Evidence & 0.84 & 6.83 & HXZ variant \\ 
  Brown and Rowe (2007) & Return on invested capital & roic & Not Predictor & 0.04 & 0.17 & t=0.9 in port sort \\ 
  Callen, Khan and Lu (2013) & Accounting component of price delay & DelayAcct & Not Predictor & -0.19 & -1.02 & t=1 in long-short \\ 
  Callen, Khan and Lu (2013) & Non-accounting component of price delay & DelayNonAcct & Not Predictor & 0.27 & 1.72 & t=1 in long-short \\ 
  Campbell, Hilscher and Szilagyi (2008) & Failure probability & FailureProbability & Not Predictor & 0.56 & 1.25 & t=1.5 in conservative port sort \\ 
  Campbell, Hilscher and Szilagyi (2008) & Failure probability & FailureProbabilityJune & Indirect Evidence & 0.24 & 0.49 & HXZ variant \\ 
  Chan, Lakonishok and Sougiannis (2001) & R\&D over market cap quarterly & RD\_q & Indirect Evidence & 0.84 & 3.06 & HXZ variant \\ 
  Chan, Lakonishok and Sougiannis (2001) & R\&D to sales & rd\_sale & Not Predictor & 0.12 & 0.49 & 8 bps spread in port sort \\ 
  Chan, Lakonishok and Sougiannis (2001) & R\&D to sales & rd\_sale\_q & Indirect Evidence & 0.99 & 2.26 & HXZ variant \\ 
  Cooper, Gulen and Schill (2008) & Asset growth quarterly & AssetGrowth\_q & Indirect Evidence & -0.95 & -4.94 & HXZ variant \\ 
  Desai, Rajgopal, Venkatachalam (2004) & Operating Cash flows to price quarterly & cfpq & Indirect Evidence & 0.94 & 10.50 & HXZ variant \\ 
  Dichev (1998) & O Score quarterly & OScore\_q & Indirect Evidence & -0.95 & -3.21 & HXZ variant \\ 
  Dichev (1998) & Altman Z-Score & ZScore & Not Predictor & -0.32 & -1.09 & t=1.59 in univar reg \\ 
  Dichev (1998) & Altman Z-Score quarterly & ZScore\_q & Indirect Evidence & -0.33 & -1.13 & HXZ variant \\ 
  Dimson (1979) & Dimson Beta & BetaDimson & Indirect Evidence & -0.24 & -1.56 & only shown to forecast beta \\ 
  Eisfeldt and Papanikolaou (2013) & Org cap w/o industry adjustment & OrgCapNoAdj & Indirect Evidence & 0.65 & 3.31 & HXZ variant \\ 
  Elgers, Lo and Pfeiffer (2001) & Number of analysts & nanalyst & Indirect Evidence & 0.17 & 0.92 & spread in median ret each leg size adj \\ 
  Fama and French (1992) & Total assets to market (quarterly) & AMq & Indirect Evidence & 0.99 & 3.56 & HXZ variant \\ 
  Fama and French (1992) & Book leverage (quarterly) & BookLeverageQuarterly & Indirect Evidence & -0.13 & -1.09 & HXZ variant \\ 
  Fama and French (2006) & operating profits / book equity & OperProfLag & Indirect Evidence & 0.41 & 1.68 & HXZ variant \\ 
  Fama and French (2006) & operating profits / book equity & OperProfLag\_q & Indirect Evidence & 0.97 & 3.23 & HXZ variant \\ 
  Fama and MacBeth (1973) & CAPM beta squred & BetaSquared & Not Predictor & -0.67 & -1.74 & t=0.3 in mv reg \\ 
  Francis, LaFond, Olsson, Schipper (2004) & Earnings conservatism & EarningsConservatism & Indirect Evidence & -0.01 & -0.10 & correlated with BM and other predictors \\ 
  Francis, LaFond, Olsson, Schipper (2004) & Earnings persistence & EarningsPersistence & Indirect Evidence & -0.19 & -1.48 & correlated with BM and other predictors \\ 
  Francis, LaFond, Olsson, Schipper (2004) & Earnings Predictability & EarningsPredictability & Indirect Evidence & -0.58 & -3.29 & correlated with BM and other predictors \\ 
  Francis, LaFond, Olsson, Schipper (2004) & Earnings Smoothness & EarningsSmoothness & Indirect Evidence & 0.01 & 0.05 & correlated with BM and other predictors \\ 
  Francis, LaFond, Olsson, Schipper (2004) & Earnings timeliness & EarningsTimeliness & Indirect Evidence & -0.03 & -0.44 & correlated with BM and other predictors \\ 
  Francis, LaFond, Olsson, Schipper (2004) & Value relevance of earnings & EarningsValueRelevance & Indirect Evidence & -0.03 & -0.44 & correlated with BM and other predictors \\ 
  Francis, LaFond, Olsson, Schipper (2004) & RoA volatility & roavol & Indirect Evidence & -0.02 & -0.06 & correlated with BM and other predictors \\ 
  Francis, LaFond, Olsson, Schipper (2005) & Accrual Quality & AccrualQuality & Indirect Evidence & 0.17 & 0.63 & correlated with E/P and factor structure \\ 
  Francis, LaFond, Olsson, Schipper (2005) & Accrual Quality in June & AccrualQualityJune & Indirect Evidence & 0.20 & 0.76 & HXZ variant \\ 
  Frankel and Lee (1998) & Intrinsic or historical value & IntrinsicValue & Indirect Evidence & 0.47 & 2.43 & not studied.  Ingredient variable. \\ 
  Franzoni and Marin (2006) & Pension Funding Status & FRbook & Indirect Evidence & 0.32 & 2.59 & HXZ variant \\ 
  Hafzalla, Lundholm, Van Winkle (2011) & Percent Abnormal Accruals & AbnormalAccrualsPercent & Indirect Evidence & -0.30 & -4.23 & HXZ variant \\ 
  Hahn and Lee (2009) & Tangibility quarterly & tang\_q & Indirect Evidence & 0.80 & 5.11 & HXZ variant \\ 
  Haugen and Baker (1996) & Capital turnover & CapTurnover & Indirect Evidence & 0.26 & 1.26 & t$<$2 in mv reg nonstandard \\ 
  Haugen and Baker (1996) & Capital turnover (quarterly) & CapTurnover\_q & Indirect Evidence & 0.82 & 4.48 & HXZ variant \\ 
  Holthausen and Larcker (1992) & Depreciation to PPE & depr & Indirect Evidence & 0.29 & 1.06 & ingredient in complicated model \\ 
  Holthausen and Larcker (1992) & Change in depreciation to PPE & pchdepr & Indirect Evidence & 0.19 & 1.74 & ingredient in complicated model \\ 
  Hou and Loh (2016) & Bid-ask spread (TAQ) & BidAskTAQ & Not Predictor & 0.06 & 0.20 & t=1.3 in mv reg \\ 
  La Porta (1996) & Long-term EPS forecast (Monthly) & fgr5yrNoLag & Indirect Evidence & -0.66 & -1.59 & HXZ variant \\ 
  Lakonishok, Shleifer, Vishny (1994) & Cash flow to market quarterly & CFq & Indirect Evidence & 1.24 & 7.84 & HXZ variant \\ 
  Lakonishok, Shleifer, Vishny (1994) & Annual sales growth & sgr & Indirect Evidence & -0.60 & -4.27 & HXZ variant \\ 
  Lakonishok, Shleifer, Vishny (1994) & Annual sales growth quarterly & sgr\_q & Indirect Evidence & 0.58 & 3.45 & HXZ variant \\ 
  Lamont, Polk and Saa-Requejo (2001) & Kaplan Zingales index & KZ & Not Predictor & 0.22 & 1.67 & t=1.1 in conservative port sort \\ 
  Lamont, Polk and Saa-Requejo (2001) & Kaplan Zingales index quarterly & KZ\_q & Indirect Evidence & -1.08 & -5.81 & HXZ variant \\ 
  Lev and Nissim (2004) & Taxable income to income (qtrly) & Tax\_q & Indirect Evidence & 0.02 & 0.18 & HXZ variant \\ 
  Loughran and Wellman (2011) & Enterprise Multiple quarterly & EntMult\_q & Indirect Evidence & -1.55 & -11.67 & HXZ variant \\ 
  Naranjo, Nimalendran, Ryngaert (1998) & Dividend yield for small stocks & DivYield & Indirect Evidence & 0.25 & 0.98 & mixed results, small spread \\ 
  Naranjo, Nimalendran, Ryngaert (1998) & Last year's dividends over price & DivYieldAnn & Indirect Evidence & 0.17 & 0.82 & HXZ variant \\ 
  Novy-Marx (2011) & Operating leverage (qtrly) & OPLeverage\_q & Indirect Evidence & 0.42 & 2.53 & HXZ variant \\ 
  Novy-Marx (2013) & gross profits / total assets & GPlag & Indirect Evidence & 0.19 & 1.74 & HXZ variant \\ 
  Novy-Marx (2013) & gross profits / total assets & GPlag\_q & Indirect Evidence & 0.80 & 5.86 & HXZ variant \\ 
  Ortiz-Molina and Phillips (2014) & Asset liquidity over book assets & AssetLiquidityBook & Indirect Evidence & 0.33 & 1.27 & no predictability. Correlated with ICC \\ 
  Ortiz-Molina and Phillips (2014) & Asset liquidity over book (qtrly) & AssetLiquidityBookQuart & Indirect Evidence & 0.25 & 0.76 & HXZ variant \\ 
  Ortiz-Molina and Phillips (2014) & Asset liquidity over market & AssetLiquidityMarket & Indirect Evidence & 1.39 & 7.33 & no predictability. Correlated with ICC \\ 
  Ortiz-Molina and Phillips (2014) & Asset liquidity over market (qtrly) & AssetLiquidityMarketQuart & Indirect Evidence & 1.27 & 6.11 & HXZ variant \\ 
  Ou and Penman (1989) & CF to debt & cashdebt & Indirect Evidence & -0.07 & -0.26 & ingredient in complicated model \\ 
  Ou and Penman (1989) & Current Ratio & currat & Indirect Evidence & 0.27 & 1.80 & ingredient in complicated model \\ 
  Ou and Penman (1989) & Change in Current Ratio & pchcurrat & Indirect Evidence & 0.22 & 2.62 & ingredient in complicated model \\ 
  Ou and Penman (1989) & Change in quick ratio & pchquick & Indirect Evidence & 0.32 & 3.46 & ingredient in complicated model \\ 
  Ou and Penman (1989) & Change in sales to inventory & pchsaleinv & Indirect Evidence & 0.49 & 5.27 & ingredient in complicated model \\ 
  Ou and Penman (1989) & Quick ratio & quick & Indirect Evidence & 0.30 & 1.64 & ingredient in complicated model \\ 
  Ou and Penman (1989) & Sales to cash ratio & salecash & Indirect Evidence & 0.25 & 1.55 & ingredient in complicated model \\ 
  Ou and Penman (1989) & Sales to inventory & saleinv & Indirect Evidence & -0.16 & -0.79 & ingredient in complicated model \\ 
  Ou and Penman (1989) & Sales to receivables & salerec & Indirect Evidence & 0.30 & 1.56 & ingredient in complicated model \\ 
  Penman, Richardson and Tuna (2007) & Enterprise component of BM & EBM\_q & Indirect Evidence & 0.81 & 7.06 & HXZ variant \\ 
  Penman, Richardson and Tuna (2007) & Net debt to price & NetDebtPrice\_q & Indirect Evidence & -0.64 & -3.33 & HXZ variant \\ 
  Piotroski (2000) & Piotroski F-score & PS\_q & Indirect Evidence & 1.08 & 7.25 & HXZ variant \\ 
  Richardson et al. (2005) & Change in short-term investment & DelSTI & Not Predictor & -0.03 & -0.44 & t=0.4 in mv reg \\ 
  Rosenberg, Reid, and Lanstein (1985) & Book to market (quarterly) & BMq & Indirect Evidence & 1.63 & 3.67 & HXZ variant \\ 
  Soliman (2008) & Asset Turnover & AssetTurnover & Indirect Evidence & 0.40 & 2.20 & t=0.3 in mv reg \\ 
  Soliman (2008) & Asset Turnover & AssetTurnover\_q & Indirect Evidence & 0.55 & 2.90 & HXZ variant \\ 
  Soliman (2008) & Change in Noncurrent Operating Assets & ChNCOA & Indirect Evidence & -1.05 & -5.86 & No predictability.  Ingredient for predictor. \\ 
  Soliman (2008) & Change in Noncurrent Operating Liab & ChNCOL & Indirect Evidence & -0.55 & -3.62 & No predictability.  Ingredient for predictor. \\ 
  Soliman (2008) & Change in Profit Margin & ChPM & Indirect Evidence & 0.09 & 1.13 & t=0.3 in mv reg \\ 
  Soliman (2008) & Profit Margin & PM & Indirect Evidence & 0.55 & 2.01 & t=1 in mv reg \\ 
  Soliman (2008) & Profit Margin & PM\_q & Indirect Evidence & 1.15 & 2.55 & HXZ variant \\ 
  Soliman (2008) & Return on Net Operating Assets & RetNOA & Indirect Evidence & 0.01 & 0.07 & t=1.4 in mv reg \\ 
  Soliman (2008) & Return on Net Operating Assets & RetNOA\_q & Indirect Evidence & 1.15 & 3.00 & HXZ variant \\ 
  Valta (2016) & Secured debt & secured & Indirect Evidence & -0.00 & -0.00 & t $>$ 1.96 in mv reg \\ 
  Valta (2016) & Secured debt indicator & securedind & Indirect Evidence & -0.06 & -0.67 & GHZ variant \\ 
  Whited and Wu (2006) & Whited-Wu index & WW & Not Predictor & 0.42 & 1.50 & t=1.3 in port sort \\ 
  Whited and Wu (2006) & Whited-Wu index & WW\_Q & Indirect Evidence & 0.53 & 1.41 & HXZ variant \\