| Checking storage for completeness and basic statistics |
| 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 |
|
|
