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| Abarbanell and Bushee (1998) & Change in capital inv (ind adj) & ChInvIA & 1974-1988 & 0.49 & 5.50 & t=2.9 in mv reg \\ |
| Ali, Hwang, and Trombley (2003) & Idiosyncratic risk (AHT) & IdioVolAHT & 1976-1997 & 0.90 & 2.53 & t = 2.7 in mv reg \\ |
| Alwathainani (2009) & Earnings consistency & EarningsConsistency & 1971-2002 & 0.20 & 2.46 & t=2.7 in complicated LS port \\ |
| Amihud (2002) & Amihud's illiquidity & Illiquidity & 1964-1997 & 0.39 & 2.77 & t=6.6 in univariate reg \\ |
| An, Ang, Bali, Cakici (2014) & Change in put vol minus change in call vol & dCPVolSpread & 1996-2011 & 1.36 & 7.47 & t=7 in port sort \\ |
| An, Ang, Bali, Cakici (2014) & Change in call vol & dVolCall & 1996-2011 & 0.89 & 2.94 & t=3.5 in port sort \\ |
| Anderson and Garcia-Feijoo (2006) & Change in capex (two years) & grcapx & 1976-1999 & 0.51 & 5.15 & t=5 in port sort \\ |
| Anderson and Garcia-Feijoo (2006) & Change in capex (three years) & grcapx3y & 1976-1999 & 0.60 & 4.81 & t=4.7 in port sort \\ |
| Ang et al. (2006) & Idiosyncratic risk (3 factor) & IdioVol3F & 1963-2000 & 0.95 & 3.18 & t=3.1 in port sort \\ |
| Ang et al. (2006) & Realized (Total) Volatility & RealizedVol & 1963-2000 & 0.84 & 2.59 & t=2.9 in port sort \\ |
| Ang et al. (2006) & Systematic volatility & betaVIX & 1986-2000 & 1.08 & 3.58 & t=3.9 in port sort \\ |
| Ang, Chen and Xing (2006) & Coskewness using daily returns & CoskewACX & 1963-2001 & 0.29 & 2.84 & t=2.8 in port sort \\ |
| Avramov et al (2007) & Junk Stock Momentum & Mom6mJunk & 1985-2003 & 2.05 & 4.15 & t=4.3 in port sort \\ |
| Baik and Ahn (2007) & Change in order backlog & OrderBacklogChg & 1971-1999 & 0.36 & 2.42 & p$<$0.01 in port sort \\ |
| Balakrishnan, Bartov and Faurel (2010) & Return on assets (qtrly) & roaq & 1976-2005 & 1.57 & 5.51 & t=6.5 in port sort, nontraditional \\ |
| Bali and Hovakimian (2009) & Call minus Put Vol & CPVolSpread & 1996-2004 & 0.98 & 3.16 & t=4 in port sort \\ |
| Bali and Hovakimian (2009) & Realized minus Implied Vol & RIVolSpread & 1996-2004 & 1.05 & 2.16 & t=3 in port sort \\ |
| Bali, Cakici, and Whitelaw (2011) & Maximum return over month & MaxRet & 1962-2005 & 0.85 & 2.64 & t=2.8 in port sort \\ |
| Bali, Engle and Murray (2015) & Return skewness & ReturnSkew & 1963-2012 & 0.43 & 5.61 & t=4 in port sort \\ |
| Bali, Engle and Murray (2015) & Idiosyncratic skewness (3F model) & ReturnSkew3F & 1963-2012 & 0.30 & 4.63 & t=4.4 in port sort \\ |
| Ball et al. (2016) & Cash-based operating profitability & CBOperProf & 1963-2014 & 0.48 & 3.30 & t=3.2 in port sort \\ |
| Banz (1981) & Size & Size & 1926-1975 & 0.52 & 2.72 & t=3.1 in long-short \\ |
| Barth and Hutton (2004) & Change in Forecast and Accrual & ChForecastAccrual & 1981-1996 & 0.37 & 4.47 & p-val $<$ 0.001 in port sort \\ |
| Bartov and Kim (2004) & Book-to-market and accruals & AccrualsBM & 1980-1998 & 1.48 & 4.99 & t=5.5 in long-short \\ |
| Basu (1977) & Earnings-to-Price Ratio & EP & 1957-1971 & 0.37 & 2.07 & monotonic port sort but no LS \\ |
| Bazdresch, Belo and Lin (2014) & Employment growth & hire & 1965-2010 & 0.51 & 5.63 & t=5.8 in port sort \\ |
| Belo and Lin (2012) & Inventory Growth & InvGrowth & 1965-2009 & 0.85 & 7.43 & t=6.6 in port sort \\ |
| Bhandari (1988) & Market leverage & Leverage & 1952-1981 & 0.36 & 2.67 & t=3.9 in regression \\ |
| Blitz, Huij and Martens (2011) & Momentum based on FF3 residuals & ResidualMomentum & 1930-2009 & 0.99 & 8.67 & t=8 in long-short ff3+ alpha \\ |
| Blume and Husic (1973) & Price & Price & 1932-1971 & 1.47 & 3.13 & t=3 in regressions \\ |
| Boudoukh et al. (2007) & Net Payout Yield & NetPayoutYield & 1984-2003 & 0.67 & 2.54 & nearly monotonic NYSE decile sort but no LS t-stat \\ |
| Boudoukh et al. (2007) & Payout Yield & PayoutYield & 1984-2003 & 0.67 & 4.24 & monotonic NYSE decile sort but no LS t-stat \\ |
| Bradshaw, Richardson, Sloan (2006) & Net debt financing & NetDebtFinance & 1971-2000 & 0.73 & 7.79 & t=6.9 in port sort \\ |
| Bradshaw, Richardson, Sloan (2006) & Net equity financing & NetEquityFinance & 1971-2000 & 0.68 & 2.85 & t=3.8 in port sort \\ |
| Bradshaw, Richardson, Sloan (2006) & Net external financing & XFIN & 1971-2000 & 1.07 & 4.66 & t=5.7 in port sort \\ |
| Brennan, Chordia, Subra (1998) & Past trading volume & DolVol & 1966-1995 & 0.78 & 2.89 & t=2.9 in regression \\ |
| Cen, Wei, and Zhang (2006) & Analyst earnings per share & FEPS & 1983-2002 & 1.48 & 3.08 & t=2.7 in port sort \\ |
| Chan and Ko (2006) & Momentum and LT Reversal & MomRev & 1965-2001 & 1.17 & 4.28 & t=4.3 in long-short \\ |
| Chan, Jegadeesh and Lakonishok (1996) & Earnings announcement return & AnnouncementReturn & 1977-1992 & 1.14 & 12.51 & t=9.3 in regression \\ |
| Chan, Jegadeesh and Lakonishok (1996) & Earnings forecast revisions & REV6 & 1977-1992 & 1.13 & 8.84 & t=4.1 in regression \\ |
| Chan, Lakonishok and Sougiannis (2001) & R\&D over market cap & RD & 1975-1995 & 1.01 & 5.83 & strong port sort \\ |
| Chandrashekar and Rao (2009) & Cash Productivity & CashProd & 1963-2003 & 0.53 & 3.25 & t=3.6 in regression \\ |
| Chen, Hong and Stein (2002) & Breadth of ownership & DelBreadth & 1979-1998 & 0.69 & 3.72 & t=4.0 in port sort \\ |
| Chordia, Subra, Anshuman (2001) & Volume Variance & VolSD & 1966-1995 & 0.39 & 2.84 & t=3.6 in regression \\ |
| Chordia, Subra, Anshuman (2001) & Share turnover volatility & std\_turn & 1966-1995 & 0.80 & 3.44 & t=3.7 in regression \\ |
| Cohen and Frazzini (2008) & Customer momentum & CustomerMomentum & 1980-2004 & 1.09 & 3.08 & t=3.8 in port sort \\ |
| Cohen and Lou (2012) & Conglomerate return & retConglomerate & 1977-2009 & 1.36 & 6.60 & t=5.5 in port sort \\ |
| Cohen, Diether and Malloy (2013) & R\&D ability & RDAbility & 1980-2009 & 0.30 & 1.67 & t=2.6 in double sort \\ |
| Cooper, Gulen and Schill (2008) & Asset growth & AssetGrowth & 1968-2003 & 1.51 & 7.76 & t=8.5 in port sort \\ |
| Cremers and Nair (2005) & Takeover vulnerability & Activism1 & 1990-2001 & 0.23 & 0.97 & t=3.1 in port sort \\ |
| Da and Warachka (2011) & Long-vs-short EPS forecasts & EarningsForecastDisparity & 1983-2006 & 0.66 & 4.30 & t=5.1 in LS port \\ |
| Daniel and Titman (2006) & Composite equity issuance & CompEquIss & 1968-2003 & 0.24 & 2.31 & t=4.4 in mv reg \\ |
| Daniel and Titman (2006) & Intangible return using BM & IntanBM & 1968-2003 & 0.39 & 2.28 & t=4.0 in mv reg \\ |
| Daniel and Titman (2006) & Intangible return using CFtoP & IntanCFP & 1968-2003 & 0.51 & 3.27 & t=4.9 in mv reg \\ |
| Daniel and Titman (2006) & Intangible return using EP & IntanEP & 1968-2003 & 0.41 & 2.99 & t=4.6 in mv reg \\ |
| Daniel and Titman (2006) & Intangible return using Sale2P & IntanSP & 1968-2003 & 0.67 & 3.58 & t=4.3 in mv reg \\ |
| Daniel and Titman (2006) & Share issuance (5 year) & ShareIss5Y & 1968-2003 & 0.51 & 3.37 & t=4.4 in univar reg \\ |
| Datar, Naik and Radcliffe (1998) & Share Volume & ShareVol & 1962-1991 & 0.76 & 4.00 & t=8.9 in univariate reg \\ |
| De Bondt and Thaler (1985) & Long-run reversal & LRreversal & 1929-1982 & 0.80 & 3.14 & t=3.3 in long-short \\ |
| Dechow, Sloan and Soliman (2004) & Equity Duration & EquityDuration & 1962-1998 & 0.60 & 3.31 & t=4.4 in conservative long-short \\ |
| Desai, Rajgopal, Venkatachalam (2004) & Operating Cash flows to price & cfp & 1973-1997 & 0.33 & 2.00 & t=2.77 in port sort \\ |
| Dharan and Ikenberry (1995) & Exchange Switch & ExchSwitch & 1962-1990 & 0.46 & 2.95 & t = 3.6 in event study \\ |
| Dichev (1998) & O Score & OScore & 1981-1995 & 1.03 & 3.44 & t=3.36 in LS port \\ |
| Dichev and Piotroski (2001) & Credit Rating Downgrade & CredRatDG & 1986-1998 & 0.51 & 2.43 & t=11 in event study w/ special data \\ |
| Diether, Malloy and Scherbina (2002) & EPS Forecast Dispersion & ForecastDispersion & 1976-2000 & 0.71 & 3.55 & t=2.9 in port sort \\ |
| Doyle, Lundholm and Soliman (2003) & Excluded Expenses & ExclExp & 1988-1999 & 0.25 & 2.88 & t=5.7 in mv reg \\ |
| Drake, Rees and Swanson (2011) & Analyst Recommendations and Short-Interest & Recomm\_ShortInterest & 1994-2006 & 0.83 & 3.01 & t=4.09 FF+Mom alpha in port sort \\ |
| Eberhart, Maxwell and Siddique (2004) & Unexpected R\&D increase & SurpriseRD & 1974-2001 & 0.29 & 2.99 & t=3.5 in long-short \\ |
| Eisfeldt and Papanikolaou (2013) & Organizational capital & OrgCap & 1970-2008 & 0.39 & 2.78 & t=2.9 in port sort \\ |
| Elgers, Lo and Pfeiffer (2001) & Earnings Forecast to price & sfe & 1982-1998 & 0.82 & 2.64 & t=5 in long-short size adjusted \\ |
| Fama and French (1992) & Total assets to market & AM & 1963-1990 & 0.63 & 3.55 & t=5.7 in univar reg \\ |
| Fama and French (1992) & Book to market using December ME & BMdec & 1963-1990 & 0.96 & 5.32 & t=5.71 in univariate reg \\ |
| Fama and French (1992) & Book leverage (annual) & BookLeverage & 1963-1990 & 0.25 & 2.99 & t=5.3 in mv reg \\ |
| Foster, Olsen and Shevlin (1984) & Earnings Surprise & EarningsSurprise & 1974-1981 & 1.16 & 4.92 & huge spread in event study \\ |
| Gompers, Ishii and Metrick (2003) & Governance Index & Governance & 1990-1999 & 0.52 & 2.10 & t=2.7 in long short FF3 alpha \\ |
| Gou, Lev and Shi (2006) & IPO and no R\&D spending & RDIPO & 1980-1995 & 0.85 & 2.70 & t=2.68 in port sort FF3+Mom alpha \\ |
| Grinblatt and Moskowitz (1999) & Industry Momentum & IndMom & 1963-1995 & 0.25 & 2.34 & t=4.6 in long-short \\ |
| Hafzalla, Lundholm, Van Winkle (2011) & Percent Operating Accruals & PctAcc & 1989-2008 & 0.47 & 3.59 & t$>$2.6 in size-adjusted long-short \\ |
| Hafzalla, Lundholm, Van Winkle (2011) & Percent Total Accruals & PctTotAcc & 1989-2008 & 0.51 & 4.79 & t$>$2.6 in size-adjusted long-short \\ |
| Hahn and Lee (2009) & Tangibility & tang & 1973-2001 & 0.69 & 3.58 & t=3.37 in univariate FMB \\ |
| Han, Zhou, Zhu (2016) & Trend Factor & TrendFactor & 1930-2014 & 1.74 & 13.43 & t=15.0 in port sort \\ |
| Hartzmark and Salomon (2013) & Dividend seasonality & DivSeason & 1927-2011 & 0.33 & 14.46 & t=16 in long-short \\ |
| Hawkins, Chamberlin, Daniel (1984) & EPS forecast revision & AnalystRevision & 1975-1980 & 0.96 & 5.35 & t=3.2 in long only CAPM alpha \\ |
| Heston and Sadka (2008) & Momentum without the seasonal part & Mom12mOffSeason & 1965-2002 & 1.29 & 4.31 & t=4 in port sort \\ |
| Heston and Sadka (2008) & Off season long-term reversal & MomOffSeason & 1965-2002 & 1.28 & 5.17 & t=5.6 in port sort \\ |
| Heston and Sadka (2008) & Off season reversal years 6 to 10 & MomOffSeason06YrPlus & 1965-2002 & 0.61 & 5.00 & t=4.6 in port sort \\ |
| Heston and Sadka (2008) & Off season reversal years 16 to 20 & MomOffSeason16YrPlus & 1965-2002 & 0.29 & 2.40 & t=3.4 in port sort \\ |
| Heston and Sadka (2008) & Return seasonality years 2 to 5 & MomSeason & 1965-2002 & 0.82 & 5.91 & t=5 in port sort \\ |
| Heston and Sadka (2008) & Return seasonality years 6 to 10 & MomSeason06YrPlus & 1965-2002 & 0.73 & 6.01 & t=6.1 in port sort \\ |
| Heston and Sadka (2008) & Return seasonality years 11 to 15 & MomSeason11YrPlus & 1965-2002 & 0.73 & 6.78 & t=6.4 in port sort \\ |
| Heston and Sadka (2008) & Return seasonality years 16 to 20 & MomSeason16YrPlus & 1965-2002 & 0.61 & 5.18 & t=4.5 in port sort \\ |
| Heston and Sadka (2008) & Return seasonality last year & MomSeasonShort & 1965-2002 & 1.35 & 8.58 & t=7.6 in port sort \\ |
| Hirschleifer, Hsu and Li (2013) & Citations to RD expenses & CitationsRD & 1982-2008 & 0.21 & 2.19 & t=2.6 in FF3 style long-short \\ |
| Hirschleifer, Hsu and Li (2013) & Patents to RD expenses & PatentsRD & 1982-2008 & 0.31 & 3.09 & t=4.1 in FF3 style long-short \\ |
| Hirshleifer et al. (2004) & Net Operating Assets & NOA & 1964-2002 & 1.10 & 7.64 & t=8.5 in long-short \\ |
| Hirshleifer, Hou, Teoh, Zhang (2004) & change in net operating assets & dNoa & 1964-2002 & 1.06 & 9.38 & t=8.9 in mv reg \\ |
| Hou (2007) & Earnings surprise of big firms & EarnSupBig & 1972-2001 & 0.35 & 2.09 & t=9 in mv reg weekly \\ |
| Hou (2007) & Industry return of big firms & IndRetBig & 1972-2001 & 2.33 & 9.79 & t=11 in mv reg \\ |
| Hou and Moskowitz (2005) & Price delay r square & PriceDelayRsq & 1964-2001 & 0.49 & 2.72 & t =3.4 in port sort char adj \\ |
| Hou and Robinson (2006) & Industry concentration (sales) & Herf & 1963-2001 & 0.22 & 2.41 & t = 2.14 in port sort \\ |
| Hou and Robinson (2006) & Industry concentration (equity) & HerfBE & 1963-2001 & 0.22 & 2.01 & t = 2.52 in characteristics-adjusted port sort \\ |
| Jegadeesh (1990) & Short term reversal & STreversal & 1934-1987 & 2.96 & 14.03 & t=12 in port sort \\ |
| Jegadeesh and Livnat (2006) & Revenue Surprise & RevenueSurprise & 1987-2003 & 0.73 & 5.74 & t$>$2.6 in many event studies \\ |
| Jegadeesh and Titman (1993) & Momentum (12 month) & Mom12m & 1964-1989 & 1.28 & 4.26 & t=3.7 long-short \\ |
| Jegadeesh and Titman (1993) & Momentum (6 month) & Mom6m & 1964-1989 & 0.97 & 3.45 & t=2.4 long-short \\ |
| Jegadeesh et al. (2004) & Change in recommendation & ChangeInRecommendation & 1985-1998 & 1.03 & 6.66 & p$<$0.01 in LS port, but we lack the data \\ |
| Johnson and So (2012) & Option to stock volume & OptionVolume1 & 1996-2010 & 0.75 & 2.08 & t = 3.45 in port sort CAPM alpha weekly \\ |
| Kelly and Jiang (2014) & Tail risk beta & BetaTailRisk & 1963-2010 & 0.46 & 3.31 & Tab4A t-stat 2.48 \\ |
| La Porta (1996) & Long-term EPS forecast & fgr5yrLag & 1983-1990 & 0.84 & 2.08 & t=4.9 in regression \\ |
| Lakonishok, Shleifer, Vishny (1994) & Cash flow to market & CF & 1968-1990 & 0.82 & 3.99 & t=3.4 in port sort \\ |
| Lakonishok, Shleifer, Vishny (1994) & Revenue Growth Rank & MeanRankRevGrowth & 1968-1990 & 0.55 & 3.90 & t=4.5 in double sort \\ |
| Landsman et al. (2011) & Real dirty surplus & RDS & 1976-2003 & 0.50 & 4.05 & t=5.8 in port sort \\ |
| Lee and Swaminathan (2000) & Momentum in high volume stocks & MomVol & 1965-1995 & 1.63 & 5.12 & t=6 in long-short, lots of robustness \\ |
| Lev and Nissim (2004) & Taxable income to income & Tax & 1973-2000 & 0.43 & 3.44 & t=3.9 in regression \\ |
| Li (2011) & R\&D capital-to-assets & RDcap & 1980-2007 & 0.43 & 2.11 & t=2.6 in long-short \\ |
| Litzenberger and Ramaswamy (1979) & Predicted div yield next month & DivYieldST & 1936-1977 & 0.56 & 5.29 & t=6 in mv reg \\ |
| Liu (2006) & Days with zero trades & zerotrade12M & 1960-2003 & 0.63 & 3.41 & t $>$ 4 in port sort (diff holding periods) \\ |
| Liu (2006) & Days with zero trades & zerotrade1M & 1960-2003 & 0.62 & 3.70 & t = 3.46 in port sort (12m holding) \\ |
| Liu (2006) & Days with zero trades & zerotrade6M & 1960-2003 & 0.61 & 3.32 & t=4.1 in port sort \\ |
| Lockwood and Prombutr (2010) & Growth in book equity & ChEQ & 1964-2007 & 0.57 & 4.29 & t=5.38 in EW port sort \\ |
| Loh and Warachka (2012) & Earnings surprise streak & EarningsStreak & 1987-2009 & 1.09 & 10.45 & t=9.5 in port sort ff3 alpha \\ |
| Lou (2014) & Growth in advertising expenses & GrAdExp & 1974-2010 & 0.40 & 3.74 & t=3.5 in long-short \\ |
| Loughran and Wellman (2011) & Enterprise Multiple & EntMult & 1963-2009 & 0.85 & 5.55 & t=6.54 in decile sort CAPM alpha \\ |
| Lyandres, Sun and Zhang (2008) & Composite debt issuance & CompositeDebtIssuance & 1970-2005 & 0.31 & 5.17 & t=8.59 in port sort CAPM alpha \\ |
| Lyandres, Sun and Zhang (2008) & change in ppe and inv/assets & InvestPPEInv & 1970-2005 & 0.80 & 7.95 & t=7 in long-short port \\ |
| Michaely, Thaler and Womack (1995) & Dividend Initiation & DivInit & 1964-1988 & 0.57 & 5.54 & t=3.4 in event study \\ |
| Michaely, Thaler and Womack (1995) & Dividend Omission & DivOmit & 1964-1988 & 0.52 & 3.16 & t=6 in event study \\ |
| Mohanram (2005) & Mohanram G-score & MS & 1978-2001 & 1.15 & 5.07 & t=9 in port sort nonstandard data lag \\ |
| Nagel (2005) & Inst Own and Forecast Dispersion & RIO\_Disp & 1980-2003 & 0.60 & 2.58 & t = 2.47 in conditional sort \\ |
| Nagel (2005) & Inst Own and Market to Book & RIO\_MB & 1980-2003 & 0.88 & 3.66 & t = 4.91 in conditional sort \\ |
| Nagel (2005) & Inst Own and Turnover & RIO\_Turnover & 1980-2003 & 0.65 & 2.79 & t = 2.71 in conditional sort \\ |
| Nagel (2005) & Inst Own and Idio Vol & RIO\_Volatility & 1980-2003 & 1.00 & 4.09 & t = 4.38 in conditional sort \\ |
| Nguyen and Swanson (2009) & Efficient frontier index & Frontier & 1980-2003 & 2.08 & 6.20 & t=5 in port sort \\ |
| Novy-Marx (2011) & Operating leverage & OPLeverage & 1963-2008 & 0.36 & 2.56 & t=3.38 in port sort \\ |
| Novy-Marx (2012) & Intermediate Momentum & IntMom & 1927-2010 & 1.26 & 6.06 & Tab2 t-stat 5.79 \\ |
| Novy-Marx (2013) & gross profits / total assets & GP & 1963-2010 & 0.30 & 2.42 & t=2.5 in VW LS quint \\ |
| Palazzo (2012) & Cash to assets & Cash & 1972-2009 & 0.69 & 2.95 & t=2.14 in port sort but strong with adjustments \\ |
| Pastor and Stambaugh (2003) & Pastor-Stambaugh liquidity beta & BetaLiquidityPS & 1968-1999 & 0.32 & 1.76 & t=2.54 in VW port sort CAPM alpha \\ |
| Penman, Richardson and Tuna (2007) & Leverage component of BM & BPEBM & 1963-2001 & 0.22 & 2.78 & t=4.1 in univariate reg \\ |
| Penman, Richardson and Tuna (2007) & Enterprise component of BM & EBM & 1963-2001 & 0.30 & 4.06 & t=3.0 in double sort \\ |
| Penman, Richardson and Tuna (2007) & Net debt to price & NetDebtPrice & 1963-2001 & 0.52 & 3.65 & t=2.3 in double sort \\ |
| Piotroski (2000) & Piotroski F-score & PS & 1976-1996 & 1.05 & 3.66 & t=5.59 in port sort nonstandard data lag \\ |
| Pontiff and Woodgate (2008) & Share issuance (1 year) & ShareIss1Y & 1970-2003 & 0.69 & 4.21 & t=7.08 in univariate reg \\ |
| Rajgopal, Shevlin, Venkatachalam (2003) & Order backlog & OrderBacklog & 1981-1999 & 0.50 & 3.44 & t=2.38 in univariate size-adjusted FMB \\ |
| Richardson et al. (2005) & Change in current operating assets & DelCOA & 1962-2001 & 0.53 & 5.98 & t=9 in mv reg \\ |
| Richardson et al. (2005) & Change in current operating liabilities & DelCOL & 1962-2001 & 0.35 & 4.36 & t=4.5 in mv reg \\ |
| Richardson et al. (2005) & Change in equity to assets & DelEqu & 1963-2001 & 0.48 & 3.28 & t=6.3 in mv reg \\ |
| Richardson et al. (2005) & Change in financial liabilities & DelFINL & 1962-2001 & 0.71 & 11.98 & t=8 in univariate reg \\ |
| Richardson et al. (2005) & Change in long-term investment & DelLTI & 1962-2001 & 0.16 & 2.50 & t=3.4 in mv reg \\ |
| Richardson et al. (2005) & Change in net financial assets & DelNetFin & 1962-2001 & 0.54 & 8.78 & t=6 in unvivariate reg \\ |
| Richardson et al. (2005) & Total accruals & TotalAccruals & 1962-2001 & 0.30 & 2.84 & t=6 in mv reg \\ |
| Ritter (1991) & Initial Public Offerings & IndIPO & 1975-1987 & 0.64 & 2.26 & t=4 in event study \\ |
| Scherbina (2008) & Decline in Analyst Coverage & ChNAnalyst & 1982-2005 & 0.62 & 1.97 & t $>$ 3 in port sort FF3 alpha for small stocks \\ |
| Sloan (1996) & Accruals & Accruals & 1962-1991 & 0.69 & 6.69 & t $>$ 4 in port sort CAPM alpha 12 month holding \\ |
| Soliman (2008) & Change in Asset Turnover & ChAssetTurnover & 1984-2002 & 0.29 & 3.70 & t=5 in mv reg \\ |
| Soliman (2008) & Change in Net Noncurrent Op Assets & ChNNCOA & 1984-2002 & 0.36 & 4.52 & t=4.3 in mv reg \\ |
| Soliman (2008) & Change in Net Working Capital & ChNWC & 1984-2002 & 0.15 & 2.61 & t=4.6 in mv reg \\ |
| Stattman (1980) & Book to market, original (Stattman 1980) & BM & 1962-1976 & 1.16 & 3.83 & risk-adjusted portfolio independence test \\ |
| Thomas and Zhang (2002) & Inventory Growth & ChInv & 1970-1997 & 0.76 & 6.26 & t$>$2.6 in port sort \\ |
| Thomas and Zhang (2011) & Change in Taxes & ChTax & 1977-2006 & 1.05 & 9.08 & t = 11.26 in decile sort \\ |
| Titman, Wei and Xie (2004) & Investment to revenue & Investment & 1973-1996 & 0.24 & 2.13 & t=2.86 in VW port sort \\ |
| Valta (2016) & Convertible debt indicator & ConvDebt & 1985-2012 & 0.38 & 4.28 & t $>$ 2.6 in mv reg \\ |
| Xie (2001) & Abnormal Accruals & AbnormalAccruals & 1971-1992 & 0.52 & 4.82 & t=8 port sort w/ nonstandard data lag \\ |
| Yan (2011) & Put volatility minus call volatility & SmileSlope & 1996-2005 & 1.83 & 8.21 & t=8 in port sort \\ |
| Zhang (2006) & Firm Age - Momentum & FirmAgeMom & 1983-2001 & 2.22 & 5.75 & t = 7.21 in long portfolio \\ |
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