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release folder: /Users/chen1678/Library/CloudStorage/GoogleDrive-ayc1678@gmail.com/My Drive/Work/Public/Open AP/Data Release 2026.10
2026-10-24 14:43:14
=== RELEASE LAYOUT ===
324.2 MB DailyPortfolios/CtsPredictorDecile.parquet
324.4 MB DailyPortfolios/CtsPredictorDecileVW.parquet
181.7 MB DailyPortfolios/CtsPredictorQuintile.parquet
181.7 MB DailyPortfolios/CtsPredictorQuintileVW.parquet
0.0 MB DailyPortfolios/DailyPortSummary.xlsx
252.2 MB DailyPortfolios/Predictor.parquet
252.3 MB DailyPortfolios/PredictorVW.parquet
1011.3 MB Firm Level Characteristics/Placebos.parquet
1934.3 MB Firm Level Characteristics/Predictors.parquet
1934.6 MB Firm Level Characteristics/signed_predictors_dl_wide.parquet
7.9 MB Portfolios/Full Sets Alt/PlaceboPortsFull.parquet
25.1 MB Portfolios/Full Sets Alt/PredictorAltPorts_Deciles.parquet
25.1 MB Portfolios/Full Sets Alt/PredictorAltPorts_DecilesEW.parquet
25.7 MB Portfolios/Full Sets Alt/PredictorAltPorts_DecilesVW.parquet
16.2 MB Portfolios/Full Sets Alt/PredictorAltPorts_FF93style.parquet
18.8 MB Portfolios/Full Sets Alt/PredictorAltPorts_HoldPer_1.parquet
18.8 MB Portfolios/Full Sets Alt/PredictorAltPorts_HoldPer_12.parquet
19.0 MB Portfolios/Full Sets Alt/PredictorAltPorts_HoldPer_3.parquet
18.9 MB Portfolios/Full Sets Alt/PredictorAltPorts_HoldPer_6.parquet
18.8 MB Portfolios/Full Sets Alt/PredictorAltPorts_LiqScreen_ME_gt_NYSE20pct.parquet
18.2 MB Portfolios/Full Sets Alt/PredictorAltPorts_LiqScreen_NYSEonly.parquet
18.9 MB Portfolios/Full Sets Alt/PredictorAltPorts_LiqScreen_Price_gt_5.parquet
19.0 MB Portfolios/Full Sets Alt/PredictorAltPorts_LiqScreen_VWforce.parquet
13.7 MB Portfolios/Full Sets Alt/PredictorAltPorts_Quintiles.parquet
13.7 MB Portfolios/Full Sets Alt/PredictorAltPorts_QuintilesEW.parquet
13.9 MB Portfolios/Full Sets Alt/PredictorAltPorts_QuintilesVW.parquet
7.9 MB Portfolios/Full Sets OP/PlaceboPortsFull.parquet
0.4 MB Portfolios/Full Sets OP/PlaceboSummary.xlsx
1.4 MB Portfolios/Full Sets OP/PredictorLSretWide.parquet
18.7 MB Portfolios/Full Sets OP/PredictorPortsFull.parquet
1.1 MB Portfolios/Full Sets OP/PredictorSummary.xlsx
0.1 MB Results/Rplots.pdf
0.0 MB Results/bigSignalTableClear.tex
0.0 MB Results/bigSignalTableLikely.tex
0.0 MB Results/bigSignalTablePlacebos.tex
0.0 MB Results/fig1Port_jointly.pdf
0.0 MB Results/fig1aPort_pairwisecorrelations.pdf
0.0 MB Results/fig1bPort_correlationSMB.pdf
0.0 MB Results/fig1cPort_correlationHML.pdf
0.0 MB Results/fig1dPort_correlationMom.pdf
0.0 MB Results/fig1ePort_correlationOP.pdf
0.0 MB Results/fig1fPort_correlationCMA.pdf
0.0 MB Results/fig2b_reprate_PredictorPlacebo_Jitter.pdf
0.0 MB Results/fig2b_reprate_data.pdf
0.0 MB Results/fig2b_reprate_data_Jitter.pdf
0.0 MB Results/fig4_holding_period_boxplot_meanJitter.pdf
0.0 MB Results/fig4_liquidity_boxplot_meanJitter.pdf
0.0 MB Results/fig5_MP_both.pdf
0.1 MB Results/fig_Decile_boxplot_meanJitter.pdf
0.1 MB Results/fig_mono.pdf
0.0 MB Results/fig_reprate_HXZ.pdf
0.0 MB Results/fig_reprate_MP.pdf
0.0 MB Results/fig_reprate_ourstudy.pdf
0.0 MB Results/fig_tstathand_vs_tstatOP.pdf
0.0 MB Results/fig_tstathand_vs_tstatOP_withHighlights.pdf
0.0 MB Results/xfig_altquant_check.pdf
0.2 MB SignalDoc.csv
0.1 MB SignalDoc.parquet
Total: 6.72 GB in 58 files
Results pdfs: 22
SignalDoc.csv is identical to the repo copy
SignalDoc.parquet matches SignalDoc.csv (331 signals)
=== PORTFOLIO FULL SETS ===
Count of predictors with long-short returns by month
┌────────────┬───────────┐
│ date ┆ n_signals │
│ --- ┆ --- │
│ date ┆ u32 │
╞════════════╪═══════════╡
│ 2025-12-31 ┆ 195 │
│ 2024-12-31 ┆ 200 │
│ 2023-12-29 ┆ 200 │
│ 2022-12-30 ┆ 207 │
│ 2021-12-31 ┆ 207 │
│ 2020-12-31 ┆ 207 │
│ 2019-12-31 ┆ 207 │
│ 2018-12-31 ┆ 207 │
│ 2017-12-29 ┆ 207 │
│ 2016-12-30 ┆ 207 │
│ 2015-12-31 ┆ 207 │
│ 2014-12-31 ┆ 207 │
│ 2013-12-31 ┆ 208 │
│ 2012-12-31 ┆ 208 │
│ 2011-12-30 ┆ 208 │
│ 2010-12-31 ┆ 208 │
│ 2009-12-31 ┆ 208 │
│ 2008-12-31 ┆ 208 │
│ 2007-12-31 ┆ 209 │
│ 2006-12-29 ┆ 212 │
│ 2005-12-30 ┆ 212 │
│ 2004-12-31 ┆ 212 │
│ 2003-12-31 ┆ 212 │
│ 2002-12-31 ┆ 212 │
│ 2001-12-31 ┆ 212 │
│ 2000-12-29 ┆ 212 │
└────────────┴───────────┘
Summary of portfolio full set mean monthly long-short returns
┌────────────────────┬────────┬────────┬─────────┬─────────┬────────────┬───────┬───────┐
│ impname ┆ before ┆ insamp ┆ between ┆ postpub ┆ last5years ┆ 2025 ┆ impid │
│ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │
│ str ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ i32 │
╞════════════════════╪════════╪════════╪═════════╪═════════╪════════════╪═══════╪═══════╡
│ PredictorPortsFull ┆ 0.58 ┆ 0.69 ┆ 0.43 ┆ 0.31 ┆ 0.44 ┆ 0.03 ┆ 1 │
│ HoldPer_1 ┆ 0.57 ┆ 0.73 ┆ 0.46 ┆ 0.32 ┆ 0.46 ┆ 0.07 ┆ 2 │
│ HoldPer_12 ┆ 0.26 ┆ 0.47 ┆ 0.26 ┆ 0.2 ┆ 0.3 ┆ 0.02 ┆ 2 │
│ HoldPer_3 ┆ 0.38 ┆ 0.63 ┆ 0.41 ┆ 0.3 ┆ 0.45 ┆ 0.09 ┆ 2 │
│ HoldPer_6 ┆ 0.3 ┆ 0.57 ┆ 0.34 ┆ 0.25 ┆ 0.4 ┆ -0.01 ┆ 2 │
│ ME_gt_NYSE20pct ┆ 0.31 ┆ 0.51 ┆ 0.25 ┆ 0.2 ┆ 0.29 ┆ -0.11 ┆ 3 │
│ NYSEonly ┆ 0.52 ┆ 0.47 ┆ 0.26 ┆ 0.24 ┆ 0.39 ┆ 0.21 ┆ 3 │
│ Price_gt_5 ┆ 0.39 ┆ 0.56 ┆ 0.32 ┆ 0.2 ┆ 0.34 ┆ 0.01 ┆ 3 │
│ VWforce ┆ 0.47 ┆ 0.45 ┆ 0.26 ┆ 0.14 ┆ 0.23 ┆ 0.06 ┆ 3 │
│ Quintiles ┆ 0.45 ┆ 0.64 ┆ 0.39 ┆ 0.27 ┆ 0.35 ┆ -0.02 ┆ 4 │
│ QuintilesEW ┆ 0.44 ┆ 0.63 ┆ 0.38 ┆ 0.28 ┆ 0.4 ┆ 0.04 ┆ 4 │
│ QuintilesVW ┆ 0.35 ┆ 0.41 ┆ 0.29 ┆ 0.12 ┆ 0.13 ┆ -0.03 ┆ 4 │
│ Deciles ┆ 0.4 ┆ 0.79 ┆ 0.49 ┆ 0.36 ┆ 0.44 ┆ 0.04 ┆ 5 │
│ DecilesEW ┆ 0.38 ┆ 0.76 ┆ 0.47 ┆ 0.36 ┆ 0.46 ┆ 0.06 ┆ 5 │
│ DecilesVW ┆ 0.36 ┆ 0.54 ┆ 0.32 ┆ 0.19 ┆ 0.27 ┆ 0.03 ┆ 5 │
│ FF93style ┆ 0.11 ┆ 0.19 ┆ 0.11 ┆ 0.01 ┆ 0.05 ┆ -0.17 ┆ 6 │
│ PlaceboPortsFull ┆ 0.11 ┆ 0.24 ┆ 0.34 ┆ 0.12 ┆ 0.22 ┆ 0.1 ┆ null │
└────────────────────┴────────┴────────┴─────────┴─────────┴────────────┴───────┴───────┘
Predictor signal-level mean monthly long-short returns (OP implementations)
┌───────────────────────────┬────────┬────────┬─────────┬─────────┬────────────┬───────┐
│ signalname ┆ before ┆ insamp ┆ between ┆ postpub ┆ last5years ┆ 2025 │
│ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │
│ str ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 │
╞═══════════════════════════╪════════╪════════╪═════════╪═════════╪════════════╪═══════╡
│ AM ┆ 0.13 ┆ 0.63 ┆ 1.51 ┆ 0.45 ┆ 1.32 ┆ -0.49 │
│ AOP ┆ null ┆ 0.35 ┆ 0.3 ┆ -0.0 ┆ 0.11 ┆ -0.15 │
│ AbnormalAccruals ┆ null ┆ 0.52 ┆ -0.01 ┆ -0.1 ┆ 0.08 ┆ -0.2 │
│ Accruals ┆ 0.16 ┆ 0.69 ┆ 0.6 ┆ 0.09 ┆ -0.16 ┆ -0.32 │
│ AccrualsBM ┆ 1.26 ┆ 1.48 ┆ 2.31 ┆ 0.72 ┆ 0.61 ┆ -2.82 │
│ Activism1 ┆ null ┆ 0.23 ┆ -0.14 ┆ 0.21 ┆ null ┆ null │
│ Activism2 ┆ null ┆ 0.43 ┆ 1.03 ┆ 0.1 ┆ null ┆ null │
│ AdExp ┆ 0.14 ┆ 0.67 ┆ 0.43 ┆ 0.25 ┆ -0.25 ┆ -1.35 │
│ AgeIPO ┆ null ┆ 1.59 ┆ -0.18 ┆ 0.66 ┆ 0.75 ┆ 0.4 │
│ AnalystRevision ┆ null ┆ 0.96 ┆ 1.24 ┆ 0.53 ┆ 0.27 ┆ 0.22 │
│ AnalystValue ┆ null ┆ 0.22 ┆ -0.06 ┆ 0.33 ┆ 1.01 ┆ -1.35 │
│ AnnouncementReturn ┆ 1.05 ┆ 1.14 ┆ 1.28 ┆ 0.8 ┆ 0.55 ┆ 1.07 │
│ AssetGrowth ┆ 0.2 ┆ 1.51 ┆ -0.41 ┆ 0.49 ┆ 0.27 ┆ -1.9 │
│ BM ┆ 0.26 ┆ 1.16 ┆ 0.33 ┆ 0.67 ┆ 1.88 ┆ 2.08 │
│ BMdec ┆ 0.4 ┆ 0.96 ┆ 0.53 ┆ 0.59 ┆ 1.11 ┆ -0.11 │
│ BPEBM ┆ 0.19 ┆ 0.22 ┆ -0.11 ┆ -0.0 ┆ -0.31 ┆ 0.52 │
│ Beta ┆ 1.45 ┆ 0.68 ┆ -1.85 ┆ 0.28 ┆ 0.34 ┆ 0.3 │
│ BetaFP ┆ 4.08 ┆ 0.02 ┆ 0.07 ┆ -0.12 ┆ -0.04 ┆ 0.35 │
│ BetaLiquidityPS ┆ -1.57 ┆ 0.32 ┆ 1.19 ┆ 0.02 ┆ -0.49 ┆ 0.08 │
│ BetaTailRisk ┆ 0.34 ┆ 0.46 ┆ -0.23 ┆ 0.38 ┆ 0.85 ┆ 1.38 │
│ BidAskSpread ┆ 1.15 ┆ 0.74 ┆ -0.66 ┆ 0.02 ┆ -1.86 ┆ -1.38 │
│ BookLeverage ┆ -0.27 ┆ 0.25 ┆ -0.41 ┆ 0.0 ┆ -1.11 ┆ 0.86 │
│ BrandInvest ┆ -0.13 ┆ 0.58 ┆ -0.3 ┆ -0.67 ┆ -1.6 ┆ -2.6 │
│ CBOperProf ┆ 0.95 ┆ 0.48 ┆ 0.9 ┆ 0.54 ┆ 0.61 ┆ 0.65 │
│ CF ┆ 0.15 ┆ 0.82 ┆ -0.52 ┆ 0.34 ┆ 1.34 ┆ 0.69 │
│ CPVolSpread ┆ null ┆ 0.98 ┆ 0.52 ┆ 0.47 ┆ 0.65 ┆ null │
│ Cash ┆ 2.19 ┆ 0.69 ┆ -0.33 ┆ 0.15 ┆ -0.63 ┆ 3.54 │
│ CashProd ┆ 0.13 ┆ 0.53 ┆ -0.16 ┆ 0.16 ┆ 0.93 ┆ -0.59 │
│ ChAssetTurnover ┆ 0.2 ┆ 0.29 ┆ 0.1 ┆ 0.09 ┆ 0.43 ┆ 0.85 │
│ ChEQ ┆ -1.13 ┆ 0.57 ┆ 0.69 ┆ 0.33 ┆ 0.75 ┆ -0.34 │
│ ChForecastAccrual ┆ 0.47 ┆ 0.37 ┆ 0.1 ┆ 0.1 ┆ 0.19 ┆ 0.09 │
│ ChInv ┆ 0.56 ┆ 0.76 ┆ 1.14 ┆ 0.2 ┆ -0.01 ┆ -1.1 │
│ ChInvIA ┆ 0.27 ┆ 0.49 ┆ 0.43 ┆ 0.21 ┆ 0.02 ┆ -0.12 │
│ ChNAnalyst ┆ 2.23 ┆ 0.62 ┆ 0.52 ┆ 0.03 ┆ 0.3 ┆ -0.26 │
│ ChNNCOA ┆ 0.26 ┆ 0.36 ┆ 0.2 ┆ -0.03 ┆ 0.02 ┆ 0.83 │
│ ChNWC ┆ 0.26 ┆ 0.15 ┆ -0.2 ┆ 0.06 ┆ 0.09 ┆ -0.16 │
│ ChTax ┆ 1.37 ┆ 1.05 ┆ 0.37 ┆ 0.43 ┆ 0.73 ┆ 0.43 │
│ ChangeInRecommendation ┆ null ┆ 1.03 ┆ 1.08 ┆ 0.26 ┆ 0.36 ┆ -0.09 │
│ CitationsRD ┆ -0.12 ┆ 0.21 ┆ 0.27 ┆ 0.15 ┆ 0.48 ┆ -0.4 │
│ CompEquIss ┆ 0.32 ┆ 0.24 ┆ 0.46 ┆ 0.31 ┆ 0.0 ┆ -0.28 │
│ CompositeDebtIssuance ┆ 0.04 ┆ 0.31 ┆ 0.51 ┆ 0.1 ┆ -0.02 ┆ -0.01 │
│ ConsRecomm ┆ null ┆ 0.54 ┆ 2.08 ┆ 0.07 ┆ -0.26 ┆ -0.35 │
│ ConvDebt ┆ 0.09 ┆ 0.38 ┆ 0.52 ┆ 0.22 ┆ 0.31 ┆ -0.42 │
│ CoskewACX ┆ -1.02 ┆ 0.29 ┆ 0.76 ┆ 0.31 ┆ -0.09 ┆ 0.72 │
│ Coskewness ┆ -0.14 ┆ 0.27 ┆ -0.1 ┆ 0.33 ┆ 1.06 ┆ 1.42 │
│ CredRatDG ┆ 0.45 ┆ 0.51 ┆ 1.04 ┆ 0.28 ┆ -0.36 ┆ 0.36 │
│ CustomerMomentum ┆ 0.49 ┆ 1.09 ┆ -0.05 ┆ 0.51 ┆ 0.66 ┆ 1.75 │
│ DebtIssuance ┆ 0.2 ┆ 0.16 ┆ 0.66 ┆ 0.1 ┆ -0.44 ┆ 0.47 │
│ DelBreadth ┆ null ┆ 0.69 ┆ 1.63 ┆ 0.32 ┆ 0.58 ┆ 0.67 │
│ DelCOA ┆ 0.2 ┆ 0.53 ┆ 0.68 ┆ 0.07 ┆ 0.21 ┆ -1.14 │
│ DelCOL ┆ -0.19 ┆ 0.35 ┆ 0.56 ┆ 0.07 ┆ 0.24 ┆ -0.27 │
│ DelDRC ┆ 5.64 ┆ 0.71 ┆ -0.19 ┆ 0.26 ┆ 0.09 ┆ 0.72 │
│ DelEqu ┆ 3.37 ┆ 0.48 ┆ 1.35 ┆ 0.25 ┆ 0.6 ┆ -0.41 │
│ DelFINL ┆ 0.09 ┆ 0.71 ┆ 0.53 ┆ 0.17 ┆ 0.11 ┆ -0.14 │
│ DelLTI ┆ 0.21 ┆ 0.16 ┆ 0.47 ┆ 0.11 ┆ 0.29 ┆ -0.14 │
│ DelNetFin ┆ 0.04 ┆ 0.54 ┆ -0.21 ┆ 0.02 ┆ -0.2 ┆ -0.01 │
│ DivInit ┆ 0.28 ┆ 0.57 ┆ 0.39 ┆ 0.28 ┆ 1.05 ┆ 0.78 │
│ DivOmit ┆ 0.64 ┆ 0.52 ┆ 0.46 ┆ 0.86 ┆ 0.9 ┆ 1.59 │
│ DivSeason ┆ null ┆ 0.33 ┆ 0.2 ┆ 0.07 ┆ 0.11 ┆ -0.19 │
│ DivYieldST ┆ 0.91 ┆ 0.56 ┆ 0.24 ┆ 0.63 ┆ 0.23 ┆ -0.17 │
│ DolVol ┆ 0.93 ┆ 0.78 ┆ 0.24 ┆ 0.38 ┆ -0.19 ┆ -0.28 │
│ DownRecomm ┆ null ┆ 0.61 ┆ 0.96 ┆ 0.16 ┆ 0.08 ┆ -0.48 │
│ EBM ┆ -0.33 ┆ 0.3 ┆ -0.1 ┆ 0.21 ┆ 0.49 ┆ 0.07 │
│ EP ┆ 0.51 ┆ 0.37 ┆ 0.73 ┆ 0.22 ┆ 0.67 ┆ 0.75 │
│ EarnSupBig ┆ 0.48 ┆ 0.35 ┆ 0.19 ┆ 0.35 ┆ 0.87 ┆ 1.47 │
│ EarningsConsistency ┆ 0.42 ┆ 0.2 ┆ 0.24 ┆ 0.34 ┆ 0.58 ┆ -0.16 │
│ EarningsForecastDisparity ┆ 0.45 ┆ 0.66 ┆ 0.08 ┆ 0.21 ┆ 0.48 ┆ 0.99 │
│ EarningsStreak ┆ 1.39 ┆ 1.09 ┆ 0.41 ┆ 0.67 ┆ 1.17 ┆ 0.47 │
│ EarningsSurprise ┆ 1.27 ┆ 1.16 ┆ 0.76 ┆ 0.41 ┆ 0.64 ┆ 0.78 │
│ EntMult ┆ 0.49 ┆ 0.85 ┆ -0.05 ┆ 0.24 ┆ 0.8 ┆ -0.53 │
│ EquityDuration ┆ null ┆ 0.6 ┆ 1.54 ┆ -0.05 ┆ 0.33 ┆ -1.19 │
│ ExchSwitch ┆ null ┆ 0.46 ┆ 0.79 ┆ 0.77 ┆ 0.68 ┆ 0.03 │
│ ExclExp ┆ -1.02 ┆ 0.25 ┆ 0.58 ┆ 0.08 ┆ 0.19 ┆ 0.88 │
│ FEPS ┆ -0.09 ┆ 1.48 ┆ 0.35 ┆ 0.54 ┆ 1.5 ┆ -1.46 │
│ FR ┆ null ┆ 0.28 ┆ -0.67 ┆ -0.41 ┆ -0.12 ┆ 0.5 │
│ FirmAge ┆ -0.77 ┆ -0.02 ┆ -0.34 ┆ -0.14 ┆ -0.8 ┆ -0.08 │
│ FirmAgeMom ┆ 0.86 ┆ 2.22 ┆ 0.55 ┆ 0.82 ┆ 0.74 ┆ 0.34 │
│ ForecastDispersion ┆ null ┆ 0.71 ┆ 0.78 ┆ 0.29 ┆ 0.54 ┆ -0.73 │
│ Frontier ┆ 0.62 ┆ 2.08 ┆ 1.76 ┆ 0.44 ┆ 0.59 ┆ -0.26 │
│ GP ┆ 0.51 ┆ 0.3 ┆ 0.44 ┆ 0.89 ┆ 1.3 ┆ -0.4 │
│ Governance ┆ null ┆ 0.52 ┆ -1.29 ┆ -0.54 ┆ null ┆ null │
│ GrAdExp ┆ -0.14 ┆ 0.4 ┆ 0.4 ┆ 0.02 ┆ 0.3 ┆ -0.89 │
│ GrLTNOA ┆ 0.02 ┆ 0.36 ┆ 0.21 ┆ -0.07 ┆ -0.36 ┆ -0.25 │
│ GrSaleToGrInv ┆ 0.33 ┆ 0.3 ┆ 0.44 ┆ -0.03 ┆ -0.28 ┆ -0.24 │
│ GrSaleToGrOverhead ┆ 0.16 ┆ -0.03 ┆ 0.08 ┆ -0.1 ┆ 0.31 ┆ 0.65 │
│ Herf ┆ -0.22 ┆ 0.22 ┆ 0.08 ┆ -0.13 ┆ -0.4 ┆ 0.43 │
│ HerfAsset ┆ -0.17 ┆ 0.18 ┆ 0.02 ┆ -0.31 ┆ -0.37 ┆ 0.82 │
│ HerfBE ┆ -0.14 ┆ 0.22 ┆ 0.09 ┆ -0.23 ┆ -0.34 ┆ 1.06 │
│ High52 ┆ -0.45 ┆ 0.42 ┆ -0.52 ┆ 0.25 ┆ 1.07 ┆ 0.72 │
│ IO_ShortInterest ┆ 18.43 ┆ 2.2 ┆ 1.75 ┆ 5.54 ┆ 10.21 ┆ 2.05 │
│ IdioVol3F ┆ 0.28 ┆ 0.95 ┆ 0.22 ┆ 0.24 ┆ 0.66 ┆ -0.07 │
│ IdioVolAHT ┆ 0.02 ┆ 0.9 ┆ 0.13 ┆ 0.16 ┆ 0.7 ┆ -1.21 │
│ Illiquidity ┆ 0.32 ┆ 0.39 ┆ -0.04 ┆ 0.05 ┆ 0.02 ┆ 0.1 │
│ IndIPO ┆ null ┆ 0.64 ┆ -0.09 ┆ 0.47 ┆ 1.41 ┆ 2.32 │
│ IndMom ┆ 0.37 ┆ 0.25 ┆ 1.3 ┆ 0.35 ┆ 0.32 ┆ 0.92 │
│ IndRetBig ┆ 1.0 ┆ 2.33 ┆ 1.53 ┆ 0.81 ┆ 0.68 ┆ 1.16 │
│ IntMom ┆ null ┆ 1.26 ┆ 1.3 ┆ 0.58 ┆ 1.38 ┆ -0.41 │
│ IntanBM ┆ 1.61 ┆ 0.39 ┆ 0.29 ┆ 0.08 ┆ 0.53 ┆ -0.2 │
│ IntanCFP ┆ -0.05 ┆ 0.51 ┆ 0.38 ┆ 0.16 ┆ 0.36 ┆ -0.01 │
│ IntanEP ┆ 0.27 ┆ 0.41 ┆ 0.2 ┆ 0.11 ┆ 0.45 ┆ -0.04 │
│ IntanSP ┆ 0.37 ┆ 0.67 ┆ 0.69 ┆ 0.48 ┆ 1.02 ┆ 0.13 │
│ InvGrowth ┆ 0.41 ┆ 0.85 ┆ 0.13 ┆ 0.36 ┆ 0.5 ┆ -0.53 │
│ InvestPPEInv ┆ 0.37 ┆ 0.8 ┆ -0.42 ┆ 0.19 ┆ -0.12 ┆ -0.15 │
│ Investment ┆ 0.12 ┆ 0.24 ┆ 0.05 ┆ 0.17 ┆ 0.22 ┆ 0.74 │
│ LRreversal ┆ null ┆ 0.8 ┆ -0.86 ┆ 0.46 ┆ -0.6 ┆ -2.4 │
│ Leverage ┆ -0.07 ┆ 0.36 ┆ 1.11 ┆ 0.28 ┆ 1.18 ┆ -1.5 │
│ MRreversal ┆ 1.54 ┆ 0.4 ┆ -0.02 ┆ 0.28 ┆ -0.28 ┆ -3.04 │
│ MS ┆ 1.88 ┆ 1.15 ┆ -0.3 ┆ 0.59 ┆ 0.42 ┆ -0.78 │
│ MaxRet ┆ 0.63 ┆ 0.85 ┆ 0.37 ┆ 0.1 ┆ 0.56 ┆ -1.13 │
│ MeanRankRevGrowth ┆ 0.18 ┆ 0.55 ┆ 0.13 ┆ 0.03 ┆ 0.21 ┆ 0.28 │
│ Mom12m ┆ 0.72 ┆ 1.28 ┆ -0.07 ┆ 0.9 ┆ 3.06 ┆ 3.59 │
│ Mom12mOffSeason ┆ 0.7 ┆ 1.29 ┆ 1.42 ┆ 0.94 ┆ 2.45 ┆ 1.81 │
│ Mom6m ┆ 0.17 ┆ 0.97 ┆ -1.09 ┆ 1.09 ┆ 2.79 ┆ 4.27 │
│ Mom6mJunk ┆ 1.78 ┆ 2.05 ┆ 2.3 ┆ 0.55 ┆ 1.93 ┆ 2.58 │
│ MomOffSeason ┆ 1.01 ┆ 1.28 ┆ 0.28 ┆ 0.28 ┆ 0.9 ┆ -1.36 │
│ MomOffSeason06YrPlus ┆ 0.54 ┆ 0.61 ┆ 0.77 ┆ 0.32 ┆ -0.57 ┆ -2.14 │
│ MomOffSeason11YrPlus ┆ 0.25 ┆ 0.21 ┆ 0.18 ┆ 0.32 ┆ 0.86 ┆ 3.36 │
│ MomOffSeason16YrPlus ┆ 0.12 ┆ 0.29 ┆ 0.34 ┆ 0.2 ┆ -0.38 ┆ -1.76 │
│ MomRev ┆ 0.36 ┆ 1.17 ┆ 1.29 ┆ 0.03 ┆ 0.51 ┆ -0.73 │
│ MomSeason ┆ 0.81 ┆ 0.82 ┆ 0.67 ┆ -0.09 ┆ -1.31 ┆ -0.45 │
│ MomSeason06YrPlus ┆ 0.84 ┆ 0.73 ┆ 0.34 ┆ -0.04 ┆ -0.44 ┆ -1.97 │
│ MomSeason11YrPlus ┆ 0.36 ┆ 0.73 ┆ 0.65 ┆ 0.01 ┆ -0.31 ┆ -2.41 │
│ MomSeason16YrPlus ┆ 0.41 ┆ 0.61 ┆ 0.57 ┆ 0.36 ┆ 0.21 ┆ -0.94 │
│ MomSeasonShort ┆ 0.83 ┆ 1.35 ┆ -0.43 ┆ 0.11 ┆ 0.41 ┆ 0.41 │
│ MomVol ┆ 0.34 ┆ 1.63 ┆ 4.11 ┆ 1.29 ┆ 5.2 ┆ 6.61 │
│ NOA ┆ 0.3 ┆ 1.1 ┆ 1.61 ┆ 0.03 ┆ -0.64 ┆ 0.68 │
│ NetDebtFinance ┆ null ┆ 0.73 ┆ 0.99 ┆ 0.41 ┆ 0.9 ┆ 1.07 │
│ NetDebtPrice ┆ null ┆ 0.52 ┆ 0.5 ┆ 0.23 ┆ -0.7 ┆ 2.25 │
│ NetEquityFinance ┆ null ┆ 0.68 ┆ 0.59 ┆ 0.95 ┆ 2.23 ┆ 0.4 │
│ NetPayoutYield ┆ 0.35 ┆ 0.67 ┆ 0.45 ┆ 0.72 ┆ 1.87 ┆ -0.49 │
│ NumEarnIncrease ┆ 0.48 ┆ 0.5 ┆ 0.38 ┆ 0.3 ┆ 0.63 ┆ 0.1 │
│ OPLeverage ┆ 0.26 ┆ 0.36 ┆ 2.01 ┆ -0.15 ┆ -0.94 ┆ -1.61 │
│ OScore ┆ 0.12 ┆ 1.03 ┆ 1.42 ┆ 0.98 ┆ 2.55 ┆ -2.4 │
│ OperProf ┆ -0.14 ┆ 0.72 ┆ 0.82 ┆ 0.34 ┆ 0.6 ┆ -1.78 │
│ OperProfRD ┆ null ┆ 0.34 ┆ 1.24 ┆ 0.73 ┆ 0.91 ┆ 0.03 │
│ OptionVolume1 ┆ null ┆ 0.75 ┆ 0.69 ┆ -0.01 ┆ 0.17 ┆ -1.38 │
│ OptionVolume2 ┆ null ┆ 0.57 ┆ 0.32 ┆ -0.15 ┆ -0.33 ┆ -0.39 │
│ OrderBacklog ┆ -0.32 ┆ 0.5 ┆ -0.08 ┆ -0.35 ┆ -0.88 ┆ -1.87 │
│ OrderBacklogChg ┆ null ┆ 0.36 ┆ 0.24 ┆ 0.64 ┆ 1.44 ┆ 1.36 │
│ OrgCap ┆ 0.58 ┆ 0.39 ┆ -0.07 ┆ 0.26 ┆ 0.1 ┆ -0.76 │
│ PS ┆ -0.64 ┆ 1.05 ┆ 0.73 ┆ 0.56 ┆ -0.63 ┆ -0.65 │
│ PatentsRD ┆ -0.1 ┆ 0.31 ┆ null ┆ null ┆ null ┆ null │
│ PayoutYield ┆ 0.26 ┆ 0.67 ┆ 0.15 ┆ 0.26 ┆ 0.88 ┆ -1.23 │
│ PctAcc ┆ 0.45 ┆ 0.47 ┆ 0.65 ┆ 0.02 ┆ 0.25 ┆ -1.17 │
│ PctTotAcc ┆ -0.71 ┆ 0.51 ┆ -0.23 ┆ 0.31 ┆ 0.66 ┆ -0.3 │
│ PredictedFE ┆ null ┆ 0.39 ┆ 0.11 ┆ -0.02 ┆ 0.11 ┆ 0.13 │
│ Price ┆ -0.63 ┆ 1.47 ┆ -1.52 ┆ 0.35 ┆ -1.39 ┆ -1.36 │
│ PriceDelayRsq ┆ 0.69 ┆ 0.49 ┆ 1.57 ┆ -0.23 ┆ -1.13 ┆ -1.06 │
│ PriceDelaySlope ┆ 0.25 ┆ 0.15 ┆ 0.58 ┆ -0.13 ┆ -0.74 ┆ -1.06 │
│ PriceDelayTstat ┆ 0.19 ┆ 0.15 ┆ 0.6 ┆ -0.12 ┆ -0.73 ┆ -1.0 │
│ ProbInformedTrading ┆ null ┆ 1.6 ┆ 1.32 ┆ 0.17 ┆ null ┆ null │
│ RD ┆ 0.63 ┆ 1.01 ┆ 2.53 ┆ 0.2 ┆ -1.48 ┆ -0.3 │
│ RDAbility ┆ -0.15 ┆ 0.3 ┆ 0.05 ┆ 0.34 ┆ 0.66 ┆ 1.46 │
│ RDIPO ┆ 0.35 ┆ 0.85 ┆ 0.44 ┆ 0.83 ┆ 1.86 ┆ 3.66 │
│ RDS ┆ -0.39 ┆ 0.5 ┆ 0.0 ┆ -0.1 ┆ -0.18 ┆ -0.08 │
│ RDcap ┆ null ┆ 0.43 ┆ 0.67 ┆ -0.19 ┆ -1.19 ┆ 0.74 │
│ REV6 ┆ 0.34 ┆ 1.13 ┆ 1.33 ┆ 0.54 ┆ 0.9 ┆ 0.43 │
│ RIO_Disp ┆ 2.69 ┆ 0.6 ┆ -0.67 ┆ 0.32 ┆ 0.18 ┆ -1.01 │
│ RIO_MB ┆ 1.09 ┆ 0.88 ┆ -0.7 ┆ 0.09 ┆ -0.32 ┆ 0.19 │
│ RIO_Turnover ┆ 0.15 ┆ 0.65 ┆ -0.38 ┆ 0.23 ┆ -0.03 ┆ -3.08 │
│ RIO_Volatility ┆ 0.16 ┆ 1.0 ┆ -0.32 ┆ 0.76 ┆ 1.08 ┆ -1.43 │
│ RIVolSpread ┆ null ┆ 1.05 ┆ 0.4 ┆ 0.16 ┆ -0.82 ┆ null │
│ RealizedVol ┆ 0.22 ┆ 0.84 ┆ 0.52 ┆ -0.07 ┆ -0.5 ┆ -2.16 │
│ Recomm_ShortInterest ┆ -0.35 ┆ 0.83 ┆ 0.65 ┆ 0.37 ┆ 1.1 ┆ 0.37 │
│ ResidualMomentum ┆ null ┆ 0.99 ┆ 0.51 ┆ 0.3 ┆ 0.74 ┆ 0.1 │
│ ReturnSkew ┆ 0.73 ┆ 0.43 ┆ 0.17 ┆ 0.28 ┆ 0.49 ┆ 0.26 │
│ ReturnSkew3F ┆ 0.59 ┆ 0.3 ┆ -0.13 ┆ 0.21 ┆ 0.51 ┆ 0.08 │
│ RevenueSurprise ┆ 0.64 ┆ 0.73 ┆ 0.61 ┆ 0.37 ┆ 0.54 ┆ 0.44 │
│ RoE ┆ -0.0 ┆ 0.33 ┆ 0.55 ┆ 0.34 ┆ 0.56 ┆ -0.71 │
│ SP ┆ 0.61 ┆ 0.72 ┆ 1.56 ┆ 0.81 ┆ 1.86 ┆ -1.38 │
│ STreversal ┆ 6.9 ┆ 2.96 ┆ 3.04 ┆ 1.5 ┆ -0.43 ┆ -3.74 │
│ ShareIss1Y ┆ 0.26 ┆ 0.69 ┆ 0.9 ┆ 0.94 ┆ 2.4 ┆ 1.88 │
│ ShareIss5Y ┆ 0.15 ┆ 0.51 ┆ 0.49 ┆ 0.87 ┆ 1.83 ┆ 0.36 │
│ ShareRepurchase ┆ 0.22 ┆ 0.3 ┆ -0.13 ┆ 0.28 ┆ 1.04 ┆ 0.43 │
│ ShareVol ┆ 0.47 ┆ 0.76 ┆ 0.07 ┆ 0.08 ┆ -0.18 ┆ 0.47 │
│ ShortInterest ┆ 0.38 ┆ 0.81 ┆ 0.66 ┆ 0.99 ┆ 1.29 ┆ 0.91 │
│ Size ┆ null ┆ 0.52 ┆ 0.85 ┆ 0.05 ┆ -0.72 ┆ -0.88 │
│ SmileSlope ┆ null ┆ 1.83 ┆ 1.07 ┆ 0.85 ┆ 1.75 ┆ null │
│ Spinoff ┆ 0.41 ┆ 0.39 ┆ 0.24 ┆ 0.04 ┆ -0.76 ┆ 1.93 │
│ SurpriseRD ┆ -0.13 ┆ 0.29 ┆ 0.08 ┆ -0.04 ┆ -0.47 ┆ -0.35 │
│ Tax ┆ 0.17 ┆ 0.43 ┆ 0.59 ┆ 0.31 ┆ 0.18 ┆ -0.66 │
│ TotalAccruals ┆ 0.53 ┆ 0.3 ┆ 0.84 ┆ -0.04 ┆ -0.34 ┆ -0.83 │
│ TrendFactor ┆ 2.99 ┆ 1.74 ┆ -0.01 ┆ 0.42 ┆ 0.93 ┆ 2.14 │
│ UpRecomm ┆ null ┆ 0.62 ┆ 0.94 ┆ 0.22 ┆ 0.39 ┆ 0.07 │
│ VarCF ┆ -0.64 ┆ -0.59 ┆ -0.13 ┆ -0.05 ┆ 0.93 ┆ 0.82 │
│ VolMkt ┆ 0.27 ┆ 0.46 ┆ 0.57 ┆ 0.36 ┆ 0.34 ┆ -0.06 │
│ VolSD ┆ 0.5 ┆ 0.39 ┆ -0.07 ┆ -0.02 ┆ -0.39 ┆ -0.69 │
│ VolumeTrend ┆ 0.49 ┆ 0.55 ┆ 0.91 ┆ 0.65 ┆ 0.76 ┆ -0.17 │
│ XFIN ┆ null ┆ 1.07 ┆ 1.19 ┆ 1.23 ┆ 3.24 ┆ 1.21 │
│ betaVIX ┆ null ┆ 1.08 ┆ 0.41 ┆ 0.1 ┆ -0.09 ┆ -1.86 │
│ cfp ┆ 0.41 ┆ 0.33 ┆ -0.3 ┆ 0.97 ┆ 2.93 ┆ 1.72 │
│ dCPVolSpread ┆ null ┆ 1.36 ┆ 0.22 ┆ 0.69 ┆ 0.62 ┆ null │
│ dNoa ┆ -0.72 ┆ 1.06 ┆ 1.27 ┆ 0.14 ┆ 0.05 ┆ -0.75 │
│ dVolCall ┆ null ┆ 0.89 ┆ -0.19 ┆ 0.59 ┆ 0.14 ┆ null │
│ dVolPut ┆ null ┆ 0.38 ┆ 0.34 ┆ 0.23 ┆ 0.49 ┆ null │
│ fgr5yrLag ┆ -0.59 ┆ 0.84 ┆ -0.08 ┆ -0.01 ┆ -0.05 ┆ -0.26 │
│ grcapx ┆ 0.32 ┆ 0.51 ┆ 0.46 ┆ 0.21 ┆ 0.63 ┆ 0.14 │
│ grcapx3y ┆ 0.36 ┆ 0.6 ┆ 0.45 ┆ 0.08 ┆ 0.39 ┆ -0.07 │
│ hire ┆ null ┆ 0.51 ┆ 0.34 ┆ 0.09 ┆ 0.35 ┆ -0.93 │
│ iomom_cust ┆ null ┆ 0.42 ┆ 0.59 ┆ 0.11 ┆ -0.05 ┆ 1.23 │
│ iomom_supp ┆ null ┆ 0.63 ┆ 0.1 ┆ 0.07 ┆ 0.13 ┆ 0.31 │
│ realestate ┆ -0.06 ┆ 0.28 ┆ -0.03 ┆ 0.24 ┆ -0.25 ┆ 1.06 │
│ retConglomerate ┆ 1.84 ┆ 1.36 ┆ -0.07 ┆ 0.49 ┆ 0.43 ┆ 1.95 │
│ roaq ┆ 0.41 ┆ 1.57 ┆ 0.51 ┆ 1.35 ┆ 2.89 ┆ 1.82 │
│ sfe ┆ 0.17 ┆ 0.82 ┆ -1.51 ┆ 0.74 ┆ 1.91 ┆ 0.6 │
│ sinAlgo ┆ null ┆ 0.25 ┆ -0.22 ┆ 0.13 ┆ -0.5 ┆ -1.53 │
│ skew1 ┆ null ┆ 0.63 ┆ 0.47 ┆ 0.18 ┆ -0.68 ┆ null │
│ std_turn ┆ 0.49 ┆ 0.8 ┆ 0.9 ┆ -0.08 ┆ -0.06 ┆ -1.01 │
│ tang ┆ 0.09 ┆ 0.69 ┆ 0.22 ┆ 0.13 ┆ 0.18 ┆ 3.75 │
│ zerotrade12M ┆ 0.82 ┆ 0.63 ┆ -0.05 ┆ 0.13 ┆ -0.36 ┆ -0.73 │
│ zerotrade1M ┆ 0.67 ┆ 0.62 ┆ 0.17 ┆ 0.2 ┆ -0.14 ┆ -0.7 │
│ zerotrade6M ┆ 0.81 ┆ 0.61 ┆ -0.03 ┆ 0.21 ┆ -0.21 ┆ -0.83 │
└───────────────────────────┴────────┴────────┴─────────┴─────────┴────────────┴───────┘
=== SIGNAL FULL SETS (WIDE PARQUET) ===
No WRDS-excluded signals (Price, Size, STreversal, BidAskTAQ) in Predictors.parquet
The signals in the following file match SignalDoc.csv!
Firm Level Characteristics/Predictors.parquet
No WRDS-excluded signals (Price, Size, STreversal, BidAskTAQ) in signed_predictors_dl_wide.parquet
The signals in the following file match SignalDoc.csv!
Firm Level Characteristics/signed_predictors_dl_wide.parquet
No WRDS-excluded signals (Price, Size, STreversal, BidAskTAQ) in Placebos.parquet
The signals in the following file match SignalDoc.csv!
Firm Level Characteristics/Placebos.parquet
Predictors.parquet and signed_predictors_dl_wide.parquet have identical permno-yyyymm rows
signed = Sign * unsigned for all 209 signals
Downloadable signal data availability summary: signed_predictors_dl_wide.parquet
┌───────────────────────────┬────────────┬──────────┬────────────────────────┐
│ signalname ┆ date_begin ┆ date_end ┆ mean_firmobs_per_month │
│ --- ┆ --- ┆ --- ┆ --- │
│ str ┆ i32 ┆ i32 ┆ i64 │
╞═══════════════════════════╪════════════╪══════════╪════════════════════════╡
│ AM ┆ 195012 ┆ 202512 ┆ 3447 │
│ AOP ┆ 197606 ┆ 202605 ┆ 2216 │
│ AbnormalAccruals ┆ 197112 ┆ 202711 ┆ 4075 │
│ Accruals ┆ 195112 ┆ 202710 ┆ 3642 │
│ AccrualsBM ┆ 196206 ┆ 202512 ┆ 295 │
│ Activism1 ┆ 199009 ┆ 200701 ┆ 555 │
│ Activism2 ┆ 199009 ┆ 200701 ┆ 153 │
│ AdExp ┆ 195108 ┆ 202512 ┆ 1311 │
│ AgeIPO ┆ 198011 ┆ 202512 ┆ 661 │
│ AnalystRevision ┆ 197602 ┆ 202511 ┆ 3273 │
│ AnalystValue ┆ 197606 ┆ 202605 ┆ 2216 │
│ AnnouncementReturn ┆ 197107 ┆ 202512 ┆ 4559 │
│ AssetGrowth ┆ 195112 ┆ 202710 ┆ 3681 │
│ BM ┆ 195012 ┆ 202512 ┆ 3069 │
│ BMdec ┆ 195112 ┆ 202512 ┆ 3449 │
│ BPEBM ┆ 196106 ┆ 202512 ┆ 3861 │
│ Beta ┆ 192802 ┆ 202512 ┆ 3820 │
│ BetaFP ┆ 192803 ┆ 202512 ┆ 3621 │
│ BetaLiquidityPS ┆ 196209 ┆ 202512 ┆ 4732 │
│ BetaTailRisk ┆ 193111 ┆ 202512 ┆ 2114 │
│ BidAskSpread ┆ 192601 ┆ 202512 ┆ 3835 │
│ BookLeverage ┆ 195012 ┆ 202710 ┆ 3975 │
│ BrandInvest ┆ 195606 ┆ 202705 ┆ 669 │
│ CBOperProf ┆ 196106 ┆ 202512 ┆ 2980 │
│ CF ┆ 195012 ┆ 202512 ┆ 3447 │
│ CPVolSpread ┆ 199601 ┆ 202212 ┆ 2053 │
│ Cash ┆ 197109 ┆ 202512 ┆ 3529 │
│ CashProd ┆ 195012 ┆ 202512 ┆ 3447 │
│ ChAssetTurnover ┆ 195212 ┆ 202710 ┆ 2847 │
│ ChEQ ┆ 196106 ┆ 202710 ┆ 3888 │
│ ChForecastAccrual ┆ 197602 ┆ 202511 ┆ 1072 │
│ ChInv ┆ 195112 ┆ 202710 ┆ 3681 │
│ ChInvIA ┆ 195112 ┆ 202512 ┆ 3080 │
│ ChNAnalyst ┆ 197604 ┆ 202511 ┆ 635 │
│ ChNNCOA ┆ 195112 ┆ 202710 ┆ 3627 │
│ ChNWC ┆ 195112 ┆ 202710 ┆ 3642 │
│ ChTax ┆ 196206 ┆ 202702 ┆ 3725 │
│ ChangeInRecommendation ┆ 199311 ┆ 202511 ┆ 1170 │
│ CitationsRD ┆ 197706 ┆ 202605 ┆ 1133 │
│ CompEquIss ┆ 193101 ┆ 202512 ┆ 2308 │
│ CompositeDebtIssuance ┆ 195512 ┆ 202710 ┆ 2247 │
│ ConsRecomm ┆ 199310 ┆ 202511 ┆ 342 │
│ ConvDebt ┆ 195012 ┆ 202710 ┆ 3995 │
│ CoskewACX ┆ 196207 ┆ 202512 ┆ 5623 │
│ Coskewness ┆ 192706 ┆ 202512 ┆ 4020 │
│ CredRatDG ┆ 195012 ┆ 202512 ┆ 3450 │
│ CustomerMomentum ┆ 197612 ┆ 202511 ┆ 614 │
│ DebtIssuance ┆ 196006 ┆ 202512 ┆ 3532 │
│ DelBreadth ┆ 197906 ┆ 202512 ┆ 1951 │
│ DelCOA ┆ 195112 ┆ 202710 ┆ 3681 │
│ DelCOL ┆ 195112 ┆ 202710 ┆ 3642 │
│ DelDRC ┆ 200006 ┆ 202710 ┆ 1472 │
│ DelEqu ┆ 196106 ┆ 202710 ┆ 4081 │
│ DelFINL ┆ 195112 ┆ 202710 ┆ 3632 │
│ DelLTI ┆ 195112 ┆ 202710 ┆ 3681 │
│ DelNetFin ┆ 195112 ┆ 202710 ┆ 3632 │
│ DivInit ┆ 192512 ┆ 202512 ┆ 3436 │
│ DivOmit ┆ 192512 ┆ 202512 ┆ 3436 │
│ DivSeason ┆ 192601 ┆ 202512 ┆ 1500 │
│ DivYieldST ┆ 192603 ┆ 202512 ┆ 1348 │
│ DolVol ┆ 192602 ┆ 202512 ┆ 3982 │
│ DownRecomm ┆ 199310 ┆ 202511 ┆ 1196 │
│ EBM ┆ 196106 ┆ 202512 ┆ 3861 │
│ EP ┆ 195012 ┆ 202512 ┆ 2484 │
│ EarnSupBig ┆ 196305 ┆ 202512 ┆ 3333 │
│ EarningsConsistency ┆ 195212 ┆ 202710 ┆ 1571 │
│ EarningsForecastDisparity ┆ 198112 ┆ 202511 ┆ 1866 │
│ EarningsStreak ┆ 198408 ┆ 202512 ┆ 2553 │
│ EarningsSurprise ┆ 196305 ┆ 202512 ┆ 3163 │
│ EntMult ┆ 195012 ┆ 202512 ┆ 2718 │
│ EquityDuration ┆ 196206 ┆ 202710 ┆ 4152 │
│ ExchSwitch ┆ 192512 ┆ 202512 ┆ 3436 │
│ ExclExp ┆ 198301 ┆ 202511 ┆ 3509 │
│ FEPS ┆ 197601 ┆ 202511 ┆ 3331 │
│ FR ┆ 198101 ┆ 202512 ┆ 1292 │
│ FirmAge ┆ 192512 ┆ 202512 ┆ 3434 │
│ FirmAgeMom ┆ 192704 ┆ 202512 ┆ 474 │
│ ForecastDispersion ┆ 197601 ┆ 202511 ┆ 2762 │
│ Frontier ┆ 196212 ┆ 202512 ┆ 1733 │
│ GP ┆ 195012 ┆ 202710 ┆ 3274 │
│ Governance ┆ 199009 ┆ 200701 ┆ 1703 │
│ GrAdExp ┆ 195208 ┆ 202710 ┆ 1147 │
│ GrLTNOA ┆ 195112 ┆ 202710 ┆ 3596 │
│ GrSaleToGrInv ┆ 195112 ┆ 202710 ┆ 2819 │
│ GrSaleToGrOverhead ┆ 195112 ┆ 202710 ┆ 2979 │
│ Herf ┆ 195101 ┆ 202512 ┆ 3600 │
│ HerfAsset ┆ 195111 ┆ 202512 ┆ 2949 │
│ HerfBE ┆ 195111 ┆ 202512 ┆ 2949 │
│ High52 ┆ 192601 ┆ 202512 ┆ 4298 │
│ IO_ShortInterest ┆ 197301 ┆ 202512 ┆ 26 │
│ IdioVol3F ┆ 192607 ┆ 202512 ┆ 4273 │
│ IdioVolAHT ┆ 192610 ┆ 202512 ┆ 4168 │
│ Illiquidity ┆ 192612 ┆ 202512 ┆ 3688 │
│ IndIPO ┆ 192512 ┆ 202512 ┆ 3436 │
│ IndMom ┆ 192605 ┆ 202512 ┆ 3446 │
│ IndRetBig ┆ 192601 ┆ 202512 ┆ 2322 │
│ IntMom ┆ 192612 ┆ 202512 ┆ 3162 │
│ IntanBM ┆ 196606 ┆ 202512 ┆ 2472 │
│ IntanCFP ┆ 195512 ┆ 202512 ┆ 1776 │
│ IntanEP ┆ 195512 ┆ 202512 ┆ 1552 │
│ IntanSP ┆ 195512 ┆ 202512 ┆ 2253 │
│ InvGrowth ┆ 195112 ┆ 202609 ┆ 2260 │
│ InvestPPEInv ┆ 195112 ┆ 202710 ┆ 3268 │
│ Investment ┆ 195211 ┆ 202710 ┆ 2732 │
│ LRreversal ┆ 192812 ┆ 202512 ┆ 2680 │
│ Leverage ┆ 195012 ┆ 202512 ┆ 3421 │
│ MRreversal ┆ 192706 ┆ 202512 ┆ 3024 │
│ MS ┆ 196206 ┆ 202512 ┆ 633 │
│ MaxRet ┆ 192601 ┆ 202512 ┆ 4296 │
│ MeanRankRevGrowth ┆ 195612 ┆ 202710 ┆ 2427 │
│ Mom12m ┆ 192611 ┆ 202512 ┆ 3182 │
│ Mom12mOffSeason ┆ 192601 ┆ 202512 ┆ 3413 │
│ Mom6m ┆ 192605 ┆ 202512 ┆ 3319 │
│ Mom6mJunk ┆ 197001 ┆ 202512 ┆ 530 │
│ MomOffSeason ┆ 192612 ┆ 202512 ┆ 3171 │
│ MomOffSeason06YrPlus ┆ 193012 ┆ 202512 ┆ 2338 │
│ MomOffSeason11YrPlus ┆ 193512 ┆ 202512 ┆ 1695 │
│ MomOffSeason16YrPlus ┆ 194012 ┆ 202512 ┆ 1273 │
│ MomRev ┆ 192812 ┆ 202512 ┆ 228 │
│ MomSeason ┆ 192711 ┆ 202512 ┆ 2943 │
│ MomSeason06YrPlus ┆ 193111 ┆ 202512 ┆ 2194 │
│ MomSeason11YrPlus ┆ 193611 ┆ 202512 ┆ 1602 │
│ MomSeason16YrPlus ┆ 194111 ┆ 202512 ┆ 1209 │
│ MomSeasonShort ┆ 192611 ┆ 202512 ┆ 3186 │
│ MomVol ┆ 192711 ┆ 202512 ┆ 950 │
│ NOA ┆ 196106 ┆ 202710 ┆ 4084 │
│ NetDebtFinance ┆ 197112 ┆ 202710 ┆ 4232 │
│ NetDebtPrice ┆ 196206 ┆ 202512 ┆ 1913 │
│ NetEquityFinance ┆ 197112 ┆ 202710 ┆ 4365 │
│ NetPayoutYield ┆ 196305 ┆ 202512 ┆ 2396 │
│ NumEarnIncrease ┆ 196106 ┆ 202512 ┆ 3725 │
│ OPLeverage ┆ 195012 ┆ 202710 ┆ 3977 │
│ OScore ┆ 197112 ┆ 202512 ┆ 1886 │
│ OperProf ┆ 196106 ┆ 202512 ┆ 1872 │
│ OperProfRD ┆ 196106 ┆ 202512 ┆ 2740 │
│ OptionVolume1 ┆ 199602 ┆ 202508 ┆ 2413 │
│ OptionVolume2 ┆ 199603 ┆ 202508 ┆ 2383 │
│ OrderBacklog ┆ 197012 ┆ 202710 ┆ 935 │
│ OrderBacklogChg ┆ 197112 ┆ 202710 ┆ 848 │
│ OrgCap ┆ 195106 ┆ 202512 ┆ 1511 │
│ PS ┆ 197112 ┆ 202512 ┆ 730 │
│ PatentsRD ┆ 197706 ┆ 202605 ┆ 1173 │
│ PayoutYield ┆ 195211 ┆ 202512 ┆ 1575 │
│ PctAcc ┆ 196006 ┆ 202710 ┆ 4002 │
│ PctTotAcc ┆ 198712 ┆ 202710 ┆ 5169 │
│ PredictedFE ┆ 198206 ┆ 202605 ┆ 1219 │
│ PriceDelayRsq ┆ 192707 ┆ 202507 ┆ 4030 │
│ PriceDelaySlope ┆ 192707 ┆ 202507 ┆ 4030 │
│ PriceDelayTstat ┆ 192707 ┆ 202507 ┆ 4030 │
│ ProbInformedTrading ┆ 199312 ┆ 201311 ┆ 100 │
│ RD ┆ 195012 ┆ 202512 ┆ 1617 │
│ RDAbility ┆ 195706 ┆ 202710 ┆ 218 │
│ RDIPO ┆ 195012 ┆ 202710 ┆ 3995 │
│ RDS ┆ 197106 ┆ 202710 ┆ 4242 │
│ RDcap ┆ 198001 ┆ 202512 ┆ 959 │
│ REV6 ┆ 197608 ┆ 202511 ┆ 3013 │
│ RIO_Disp ┆ 197601 ┆ 202511 ┆ 849 │
│ RIO_MB ┆ 196206 ┆ 202512 ┆ 474 │
│ RIO_Turnover ┆ 192606 ┆ 202512 ┆ 380 │
│ RIO_Volatility ┆ 192606 ┆ 202512 ┆ 399 │
│ RIVolSpread ┆ 199601 ┆ 202212 ┆ 2249 │
│ RealizedVol ┆ 192607 ┆ 202512 ┆ 4273 │
│ Recomm_ShortInterest ┆ 199311 ┆ 202511 ┆ 180 │
│ ResidualMomentum ┆ 193005 ┆ 202512 ┆ 3122 │
│ ReturnSkew ┆ 192601 ┆ 202512 ┆ 4228 │
│ ReturnSkew3F ┆ 192607 ┆ 202512 ┆ 4263 │
│ RevenueSurprise ┆ 196305 ┆ 202512 ┆ 2866 │
│ RoE ┆ 196006 ┆ 202710 ┆ 4439 │
│ SP ┆ 195012 ┆ 202512 ┆ 3439 │
│ ShareIss1Y ┆ 192706 ┆ 202512 ┆ 3034 │
│ ShareIss5Y ┆ 193105 ┆ 202512 ┆ 2250 │
│ ShareRepurchase ┆ 195012 ┆ 202710 ┆ 3995 │
│ ShareVol ┆ 192512 ┆ 202512 ┆ 1404 │
│ ShortInterest ┆ 197301 ┆ 202512 ┆ 2568 │
│ SmileSlope ┆ 199601 ┆ 202212 ┆ 2500 │
│ Spinoff ┆ 192512 ┆ 202512 ┆ 3436 │
│ SurpriseRD ┆ 195112 ┆ 202710 ┆ 1733 │
│ Tax ┆ 195012 ┆ 202710 ┆ 3543 │
│ TotalAccruals ┆ 195112 ┆ 202710 ┆ 3512 │
│ TrendFactor ┆ 192602 ┆ 202512 ┆ 1746 │
│ UpRecomm ┆ 199310 ┆ 202511 ┆ 1196 │
│ VarCF ┆ 195211 ┆ 202512 ┆ 2988 │
│ VolMkt ┆ 192512 ┆ 202512 ┆ 3745 │
│ VolSD ┆ 192512 ┆ 202512 ┆ 3346 │
│ VolumeTrend ┆ 192805 ┆ 202512 ┆ 3215 │
│ XFIN ┆ 197112 ┆ 202710 ┆ 4596 │
│ betaVIX ┆ 198601 ┆ 202512 ┆ 7658 │
│ cfp ┆ 196006 ┆ 202512 ┆ 3406 │
│ dCPVolSpread ┆ 199602 ┆ 202212 ┆ 2470 │
│ dNoa ┆ 196106 ┆ 202710 ┆ 4081 │
│ dVolCall ┆ 199602 ┆ 202212 ┆ 2470 │
│ dVolPut ┆ 199602 ┆ 202212 ┆ 2470 │
│ fgr5yrLag ┆ 198206 ┆ 202605 ┆ 1678 │
│ grcapx ┆ 195212 ┆ 202512 ┆ 2827 │
│ grcapx3y ┆ 195312 ┆ 202512 ┆ 2601 │
│ hire ┆ 196501 ┆ 202710 ┆ 4720 │
│ iomom_cust ┆ 198601 ┆ 202512 ┆ 3506 │
│ iomom_supp ┆ 198601 ┆ 202512 ┆ 3511 │
│ realestate ┆ 196306 ┆ 202512 ┆ 2066 │
│ retConglomerate ┆ 197601 ┆ 202512 ┆ 1303 │
│ roaq ┆ 196606 ┆ 202512 ┆ 3567 │
│ sfe ┆ 197703 ┆ 202602 ┆ 1029 │
│ sinAlgo ┆ 192512 ┆ 202512 ┆ 201 │
│ skew1 ┆ 199601 ┆ 202212 ┆ 1414 │
│ std_turn ┆ 192711 ┆ 202512 ┆ 1903 │
│ tang ┆ 195012 ┆ 202710 ┆ 1666 │
│ zerotrade12M ┆ 192701 ┆ 202512 ┆ 4014 │
│ zerotrade1M ┆ 192602 ┆ 202512 ┆ 4336 │
│ zerotrade6M ┆ 192607 ┆ 202512 ┆ 4187 │
└───────────────────────────┴────────────┴──────────┴────────────────────────┘
Downloadable signal data availability summary: Placebos.parquet
┌───────────────────────────┬────────────┬──────────┬────────────────────────┐
│ signalname ┆ date_begin ┆ date_end ┆ mean_firmobs_per_month │
│ --- ┆ --- ┆ --- ┆ --- │
│ str ┆ i32 ┆ i32 ┆ i64 │
╞═══════════════════════════╪════════════╪══════════╪════════════════════════╡
│ AMq ┆ 196206 ┆ 202512 ┆ 3584 │
│ AbnormalAccrualsPercent ┆ 197212 ┆ 202711 ┆ 4063 │
│ AccrualQuality ┆ 195612 ┆ 202710 ┆ 2081 │
│ AccrualQualityJune ┆ 195706 ┆ 202710 ┆ 2150 │
│ AssetGrowth_q ┆ 196306 ┆ 202512 ┆ 3144 │
│ AssetLiquidityBook ┆ 195101 ┆ 202710 ┆ 3968 │
│ AssetLiquidityBookQuart ┆ 196207 ┆ 202512 ┆ 3411 │
│ AssetLiquidityMarket ┆ 196207 ┆ 202710 ┆ 4514 │
│ AssetLiquidityMarketQuart ┆ 196207 ┆ 202512 ┆ 3364 │
│ AssetTurnover ┆ 195112 ┆ 202710 ┆ 3137 │
│ AssetTurnover_q ┆ 196206 ┆ 202512 ┆ 2926 │
│ BMq ┆ 196206 ┆ 202512 ┆ 3525 │
│ BetaBDLeverage ┆ 197304 ┆ 202512 ┆ 3443 │
│ BetaDimson ┆ 192607 ┆ 202512 ┆ 4360 │
│ BetaSquared ┆ 192802 ┆ 202512 ┆ 3820 │
│ BookLeverageQuarterly ┆ 196606 ┆ 202512 ┆ 3824 │
│ BrandCapital ┆ 195108 ┆ 202710 ┆ 1548 │
│ CBOperProfLagAT ┆ 196106 ┆ 202512 ┆ 2841 │
│ CBOperProfLagAT_q ┆ 197009 ┆ 202512 ┆ 3021 │
│ CFq ┆ 195012 ┆ 202512 ┆ 3449 │
│ CapTurnover ┆ 195212 ┆ 202710 ┆ 3382 │
│ CapTurnover_q ┆ 196606 ┆ 202512 ┆ 3561 │
│ ChNCOA ┆ 195112 ┆ 202710 ┆ 3681 │
│ ChNCOL ┆ 195112 ┆ 202710 ┆ 3631 │
│ ChPM ┆ 195112 ┆ 202710 ┆ 3626 │
│ ChangeRoA ┆ 196706 ┆ 202512 ┆ 3483 │
│ ChangeRoE ┆ 196703 ┆ 202512 ┆ 3533 │
│ DelSTI ┆ 195112 ┆ 202710 ┆ 3681 │
│ DelayAcct ┆ 197801 ┆ 202507 ┆ 1211 │
│ DelayNonAcct ┆ 197801 ┆ 202507 ┆ 1211 │
│ DivYield ┆ 192512 ┆ 202512 ┆ 1712 │
│ DivYieldAnn ┆ 192605 ┆ 202512 ┆ 3314 │
│ DownsideBeta ┆ 192608 ┆ 202512 ┆ 4353 │
│ EBM_q ┆ 196603 ┆ 202512 ┆ 3561 │
│ EPq ┆ 196112 ┆ 202512 ┆ 2505 │
│ ETR ┆ 195907 ┆ 202710 ┆ 3305 │
│ EarningsConservatism ┆ 195912 ┆ 202703 ┆ 1886 │
│ EarningsPersistence ┆ 196012 ┆ 202710 ┆ 1975 │
│ EarningsPredictability ┆ 196012 ┆ 202710 ┆ 1975 │
│ EarningsSmoothness ┆ 196012 ┆ 202710 ┆ 1956 │
│ EarningsTimeliness ┆ 195912 ┆ 202703 ┆ 1886 │
│ EarningsValueRelevance ┆ 196012 ┆ 202703 ┆ 1873 │
│ EntMult_q ┆ 196603 ┆ 202512 ┆ 2443 │
│ FRbook ┆ 198101 ┆ 202512 ┆ 1292 │
│ FailureProbability ┆ 197203 ┆ 202512 ┆ 3118 │
│ FailureProbabilityJune ┆ 197206 ┆ 202512 ┆ 3343 │
│ ForecastDispersionLT ┆ 198112 ┆ 202511 ┆ 1579 │
│ GPlag ┆ 195112 ┆ 202710 ┆ 3666 │
│ GPlag_q ┆ 197006 ┆ 202512 ┆ 3593 │
│ GrGMToGrSales ┆ 195112 ┆ 202710 ┆ 3605 │
│ GrSaleToGrReceivables ┆ 195112 ┆ 202710 ┆ 3523 │
│ IdioVolCAPM ┆ 192607 ┆ 202512 ┆ 4279 │
│ IdioVolQF ┆ 196701 ┆ 201912 ┆ 6219 │
│ IntrinsicValue ┆ 197606 ┆ 202605 ┆ 2216 │
│ KZ ┆ 196106 ┆ 202512 ┆ 3518 │
│ KZ_q ┆ 197112 ┆ 202512 ┆ 3488 │
│ LaborforceEfficiency ┆ 195112 ┆ 202710 ┆ 3338 │
│ Leverage_q ┆ 196606 ┆ 202512 ┆ 3684 │
│ NetDebtPrice_q ┆ 197003 ┆ 202512 ┆ 1873 │
│ NetPayoutYield_q ┆ 196206 ┆ 202512 ┆ 2767 │
│ OPLeverage_q ┆ 196606 ┆ 202512 ┆ 3648 │
│ OScore_q ┆ 197003 ┆ 202512 ┆ 1884 │
│ OperProfLag ┆ 196106 ┆ 202512 ┆ 2388 │
│ OperProfLag_q ┆ 196603 ┆ 202512 ┆ 3432 │
│ OperProfRDLagAT ┆ 195112 ┆ 202710 ┆ 3190 │
│ OperProfRDLagAT_q ┆ 197112 ┆ 202512 ┆ 2844 │
│ OrgCapNoAdj ┆ 195106 ┆ 202512 ┆ 1511 │
│ PM ┆ 195012 ┆ 202710 ┆ 3986 │
│ PM_q ┆ 196106 ┆ 202512 ┆ 3283 │
│ PS_q ┆ 197010 ┆ 202512 ┆ 579 │
│ PayoutYield_q ┆ 196212 ┆ 202512 ┆ 1827 │
│ RD_q ┆ 195012 ┆ 202512 ┆ 3447 │
│ ResidualMomentum6m ┆ 192912 ┆ 202512 ┆ 3232 │
│ RetNOA ┆ 195212 ┆ 202710 ┆ 3381 │
│ RetNOA_q ┆ 196108 ┆ 202512 ┆ 3567 │
│ ReturnSkewCAPM ┆ 192607 ┆ 202512 ┆ 4279 │
│ ReturnSkewQF ┆ 196701 ┆ 201912 ┆ 6219 │
│ SP_q ┆ 196106 ┆ 202512 ┆ 3682 │
│ Tax_q ┆ 196106 ┆ 202512 ┆ 2501 │
│ WW ┆ 195112 ┆ 202710 ┆ 3604 │
│ WW_Q ┆ 197003 ┆ 202512 ┆ 3676 │
│ ZScore ┆ 196106 ┆ 202512 ┆ 2198 │
│ ZScore_q ┆ 197003 ┆ 202512 ┆ 2352 │
│ betaCC ┆ 193311 ┆ 202512 ┆ 3255 │
│ betaCR ┆ 193312 ┆ 202512 ┆ 3257 │
│ betaNet ┆ 193312 ┆ 202512 ┆ 3187 │
│ betaRC ┆ 193311 ┆ 202512 ┆ 3229 │
│ betaRR ┆ 193312 ┆ 202512 ┆ 3231 │
│ cashdebt ┆ 195112 ┆ 202710 ┆ 3652 │
│ cfpq ┆ 197103 ┆ 202512 ┆ 3788 │
│ currat ┆ 195012 ┆ 202710 ┆ 3381 │
│ depr ┆ 195012 ┆ 202710 ┆ 3883 │
│ fgr5yrNoLag ┆ 198112 ┆ 202511 ┆ 1912 │
│ grcapx1y ┆ 195212 ┆ 202512 ┆ 2814 │
│ nanalyst ┆ 197601 ┆ 202512 ┆ 4612 │
│ pchcurrat ┆ 195012 ┆ 202710 ┆ 3956 │
│ pchdepr ┆ 195112 ┆ 202710 ┆ 3633 │
│ pchgm_pchsale ┆ 195112 ┆ 202710 ┆ 3606 │
│ pchquick ┆ 195012 ┆ 202710 ┆ 3989 │
│ pchsaleinv ┆ 195112 ┆ 202710 ┆ 2743 │
│ quick ┆ 195012 ┆ 202710 ┆ 3700 │
│ rd_sale ┆ 195201 ┆ 202710 ┆ 1400 │
│ rd_sale_q ┆ 198912 ┆ 202512 ┆ 1879 │
│ roavol ┆ 196805 ┆ 202512 ┆ 3069 │
│ roic ┆ 196106 ┆ 202710 ┆ 4358 │
│ salecash ┆ 195012 ┆ 202710 ┆ 3985 │
│ saleinv ┆ 195012 ┆ 202710 ┆ 3912 │
│ salerec ┆ 195012 ┆ 202710 ┆ 3940 │
│ secured ┆ 195012 ┆ 202710 ┆ 3995 │
│ securedind ┆ 195012 ┆ 202710 ┆ 3995 │
│ sgr ┆ 195112 ┆ 202710 ┆ 3607 │
│ sgr_q ┆ 196206 ┆ 202512 ┆ 3291 │
│ tang_q ┆ 197003 ┆ 202512 ┆ 3694 │
└───────────────────────────┴────────────┴──────────┴────────────────────────┘
=== PORTFOLIO SIGNAL LISTS ===
The signals in the following file match SignalDoc.csv!
Portfolios/Full Sets OP/PredictorPortsFull.parquet
The signals in the following file match SignalDoc.csv!
Portfolios/Full Sets Alt/PredictorAltPorts_LiqScreen_VWforce.parquet
The signals in the following file match SignalDoc.csv!
Portfolios/Full Sets Alt/PredictorAltPorts_Deciles.parquet
The signals in the following file match SignalDoc.csv!
Portfolios/Full Sets Alt/PredictorAltPorts_DecilesVW.parquet
The signals in the following file match SignalDoc.csv!
Portfolios/Full Sets Alt/PredictorAltPorts_Quintiles.parquet
The signals in the following file match SignalDoc.csv!
Portfolios/Full Sets Alt/PredictorAltPorts_QuintilesVW.parquet
=== DAILY PORTFOLIOS ===
The signals in the following file match SignalDoc.csv!
DailyPortfolios/Predictor.parquet
The signals in the following file match SignalDoc.csv!
DailyPortfolios/PredictorVW.parquet
The signals in the following file match SignalDoc.csv!
DailyPortfolios/CtsPredictorDecile.parquet
The signals in the following file match SignalDoc.csv!
DailyPortfolios/CtsPredictorDecileVW.parquet
The signals in the following file match SignalDoc.csv!
DailyPortfolios/CtsPredictorQuintile.parquet
The signals in the following file match SignalDoc.csv!
DailyPortfolios/CtsPredictorQuintileVW.parquet
=== OLD VS NEW (PredictorPortsFull) ===
old: /Users/chen1678/Library/CloudStorage/GoogleDrive-ayc1678@gmail.com/My Drive/Work/Public/Open AP/Data Release 2025.10/Portfolios/Full Sets OP/PredictorPortsFull.csv
overlapping signal-port-months with old and new returns: 1,225,009
Wrote /Users/chen1678/Library/CloudStorage/Dropbox/1-SANDBOX/workshop/OpenAP/CrossSection/Shipping/Data/temp/PredictorPortsCheck.csv
LS signals in both releases: 212; with usable full-sample regressions: 212
┌───────────┬───────────┐
│ slope_p05 ┆ rsq_p05 │
│ --- ┆ --- │
│ f64 ┆ f64 │
╞═══════════╪═══════════╡
│ 0.921949 ┆ 86.077884 │
└───────────┴───────────┘
Rsq from regressing new long-short OP returns on old
┌───────────┬───────────┬───────────┬───────────┬───────────┐
│ samptype ┆ p05 ┆ p10 ┆ p25 ┆ p50 │
│ --- ┆ --- ┆ --- ┆ --- ┆ --- │
│ str ┆ f64 ┆ f64 ┆ f64 ┆ f64 │
╞═══════════╪═══════════╪═══════════╪═══════════╪═══════════╡
│ full-samp ┆ 83.4718 ┆ 93.603526 ┆ 98.471622 ┆ 99.565246 │
│ in-samp ┆ 93.3269 ┆ 97.454772 ┆ 98.754785 ┆ 99.533974 │
│ post-pub ┆ 73.786668 ┆ 89.798923 ┆ 98.785132 ┆ 99.767502 │
└───────────┴───────────┴───────────┴───────────┴───────────┘
Signals with rsq < 98.4: mean abs and mean change in average return
┌───────────┬───────────────┬───────────┐
│ samptype ┆ mean_abs_dret ┆ mean_dret │
│ --- ┆ --- ┆ --- │
│ str ┆ f64 ┆ f64 │
╞═══════════╪═══════════════╪═══════════╡
│ full-samp ┆ 0.034698 ┆ 0.002354 │
│ in-samp ┆ 0.038875 ┆ 0.001962 │
│ post-pub ┆ 0.095712 ┆ 0.014166 │
└───────────┴───────────────┴───────────┘
20 signals with lowest Rsq
┌───────────────────────┬───────────┬───────────┬──────────┬──────────┐
│ signalname ┆ samptype ┆ rsq ┆ new_rbar ┆ old_rbar │
│ --- ┆ --- ┆ --- ┆ --- ┆ --- │
│ str ┆ str ┆ f64 ┆ f64 ┆ f64 │
╞═══════════════════════╪═══════════╪═══════════╪══════════╪══════════╡
│ PayoutYield ┆ full-samp ┆ 48.609106 ┆ 0.482934 ┆ 0.322217 │
│ CitationsRD ┆ full-samp ┆ 59.13721 ┆ 0.210914 ┆ 0.160249 │
│ EarnSupBig ┆ full-samp ┆ 76.983484 ┆ 0.314492 ┆ 0.404154 │
│ Herf ┆ full-samp ┆ 77.948388 ┆ 0.096308 ┆ 0.050802 │
│ NetPayoutYield ┆ full-samp ┆ 78.483735 ┆ 0.699599 ┆ 1.121109 │
│ IntanEP ┆ full-samp ┆ 78.792474 ┆ 0.310711 ┆ 0.290772 │
│ CompositeDebtIssuance ┆ full-samp ┆ 79.404009 ┆ 0.260771 ┆ 0.290614 │
│ IntanSP ┆ full-samp ┆ 80.464439 ┆ 0.616271 ┆ 0.413001 │
│ ExchSwitch ┆ full-samp ┆ 81.67293 ┆ 0.643327 ┆ 0.631368 │
│ IntanCFP ┆ full-samp ┆ 82.751577 ┆ 0.396869 ┆ 0.372173 │
│ HerfAsset ┆ full-samp ┆ 82.832808 ┆ 0.005543 ┆ 0.005746 │
│ HerfBE ┆ full-samp ┆ 83.994612 ┆ 0.054376 ┆ 0.047298 │
│ MomOffSeason11YrPlus ┆ full-samp ┆ 88.420724 ┆ 0.187871 ┆ 0.139984 │
│ MS ┆ full-samp ┆ 89.429317 ┆ 0.825183 ┆ 0.769823 │
│ OrgCap ┆ full-samp ┆ 89.566173 ┆ 0.340046 ┆ 0.323439 │
│ ChInvIA ┆ full-samp ┆ 89.695177 ┆ 0.339852 ┆ 0.325258 │
│ MomOffSeason16YrPlus ┆ full-samp ┆ 91.160781 ┆ 0.30456 ┆ 0.314256 │
│ IndMom ┆ full-samp ┆ 91.71759 ┆ 0.349797 ┆ 0.346393 │
│ MomOffSeason06YrPlus ┆ full-samp ┆ 92.418721 ┆ 0.588948 ┆ 0.586497 │
│ sinAlgo ┆ full-samp ┆ 92.692196 ┆ 0.234591 ┆ 0.196032 │
└───────────────────────┴───────────┴───────────┴──────────┴──────────┘
=== SUMMARY ===
AUTOMATED CHECKS: PASS
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