Mirror release Data-Release-2026.10 on main

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Release Notes 2026.10.md

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+# Documentation for Open Source Cross-Sectional Asset Pricing Data
+
+Andrew Chen and Tom Zimmermann
+
+Data Release: October 2026
+
+Created with Code Version: [2.1.0](https://github.com/OpenSourceAP/CrossSection/releases/tag/v2.1.0)
+
+## New data relative to the October 2025 release
+
+- Data through December 2025
+- *Exceptions*:
+  - Predictors based on OptionMetrics implied vol (CPVolSpread, dCPVolSpread, dVolCall, dVolPut, RIVolSpread, skew1, SmileSlope) are still taken from [our August 2023 release](https://drive.google.com/drive/folders/1EP6oEabyZRamveGNyzYU0u6qJ-N43Qfq) and end in December 2022
+    - OptionMetrics [revised their methodologies](https://optionmetrics.com/news/optionmetrics-releases-ivydb-us-6-0-and-ivydb-etf-4-0-with-proprietary-methodologies-for-faster-more-precise-options-implied-volatilities/) in March 2024, which caused large revisions to option-based predictors. See [issue #156](https://github.com/OpenSourceAP/CrossSection/issues/156)
+  - Predictors based on the Gompers, Ishii, Metrick governance index (Activism1, Activism2, and Governance) end in 2007 as that data is no longer updated
+  - ProbInformedTrading relies on the Duarte et al. data which ends in 2012. See [issue #171](https://github.com/OpenSourceAP/CrossSection/issues/171)
+- CRSP data now comes from CRSP v2 (CIZ format) instead of the legacy SIZ format, which WRDS is retiring
+  - Applies to both the signal and portfolio code. The portfolio code no longer downloads CRSP itself; it reuses the CRSP files downloaded by the signal code
+  - Differences between v1 and v2 outputs, and how we handled them, are documented in [Docs/CRSP-v2-Migration.md](https://github.com/OpenSourceAP/CrossSection/blob/master/Docs/CRSP-v2-Migration.md)
+  - The switch moves portfolio returns little. Rebuilding the 26 signals listed below (R-sq < 95%) on legacy CRSP returns changes their R-sq against the previous release by less than one percentage point. Most of the effect of the switch runs through the signals instead, mainly through SIC and exchange codes (see below)
+- Size, Price, and STreversal (still excluded from the downloads) can now be built from CRSP alone with `Signals/pyCode/crsp_only.py`. `12_CreateCRSPPredictors.R` has been removed
+- Code is now Python (signals) and R (portfolios) only; the placebo translation is finished and no Stata is needed
+- Files are now parquet instead of zipped csvs, and each set of signals or portfolios is one file. See Directory below
+
+## Signals with Non-Trivial Revisions
+
+Non-trivial revisions means R-sq < 95% from regressing this vintage's monthly long-short returns on the previous vintage's (full sample). 26 of 212 predictors qualify. R-sq in parentheses.
+
+- Traceable to issue fixes
+  - PayoutYield (48.6), NetPayoutYield (78.5): fix preferred stock handling (`pstkrv` is a stock, not a flow) and improve replication
+    - See [issue #207](https://github.com/OpenSourceAP/CrossSection/issues/207), thanks to SeongDeok Ko
+  - CompositeDebtIssuance (79.4): drop infinite values from log(x/0), and match debt 60 months earlier with a proper calendar lag instead of a positional shift
+    - See [issue #219](https://github.com/OpenSourceAP/CrossSection/issues/219)
+  - Other signals using calendar lags: standardized so missing months are not filled with the wrong observation, and months inserted to compute lags are no longer kept in the output. Signals that moved: CitationsRD (59.1), MomOffSeason11YrPlus (88.4), MomOffSeason16YrPlus (91.2), MomOffSeason06YrPlus (92.4)
+    - See [issue #219](https://github.com/OpenSourceAP/CrossSection/issues/219)
+  - IntanEP (78.8), IntanSP (80.5), IntanCFP (82.8): follow the original paper by taking logs of all ratios and using income before extraordinary items (`ib`) instead of net income throughout
+  - High52: split-adjust prices, and include the current month in the 52-week high, following George and Hwang (2004)
+  - Market equity at the permco level: applied more carefully, so permco-level market equity is used only to scale accounting variables
+    - See [issue #167](https://github.com/OpenSourceAP/CrossSection/issues/167)
+  - Placebos: about 10 placebo scripts now follow the original Stata code more closely
+- Traceable to the CRSP v2 migration
+  - SIC codes: from about 2008 the legacy CRSP tape stopped classifying new listings (SIC 9999). CRSP v2 classifies them, which changes industry membership. Affects EarnSupBig (77.0), Herf (77.9), HerfAsset (82.8), HerfBE (84.0), MS (89.4), OrgCap (89.6), ChInvIA (89.7), IndMom (91.7), sinAlgo (92.7), and IndRetBig (94.7)
+  - ExchSwitch (81.7): CRSP v2 assigns exchange codes to about 21,500 stock-months that the legacy data left unclassified
+- Traceable to data revisions
+  - ChangeInRecommendation (93.6), UpRecomm (93.7), ConsRecomm (93.9), DownRecomm (94.5): IBES has removed or revised some historical analyst recommendations. Values are unchanged where both vintages have data
+  - Investment (93.0): firm-months with zero capital expenditures throughout the 36-month averaging window are now missing (0/0). The previous release recorded them as zero due to floating-point rounding in the rolling mean
+- Source of revision unclear
+  - None
+
+Fixes that do not change returns:
+
+- 13F split adjustments are now done in one isolated block early in the code, to make clear there is no look-ahead bias. See [issue #155](https://github.com/OpenSourceAP/CrossSection/issues/155)
+- dCPVolSpread: fixed the sign of the Return column in SignalDoc.csv. See [issue #206](https://github.com/OpenSourceAP/CrossSection/issues/206)
+- Illiquidity.csv columns are now in the standard order (permno, yyyymm, Illiquidity)
+- [SignalDoc browser](https://openassetpricing.com/SignalDoc-Browser.html): fixed broken code links for signals made by multi-signal scripts. See [issue #204](https://github.com/OpenSourceAP/CrossSection/issues/204)
+
+## Summary Stats
+
+- 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       │
+└────────────┴───────────┘
+```
+
+The drop in early 2023 is mainly due to our decision not to update OptionMetrics predictors due to inconsistencies between data vintages: their signals end in December 2022, so their returns end in January 2023. The drop in late 2025 is due to PriceDelaySlope, PriceDelayRsq, and PriceDelayTstat, whose returns end in August 2025 (the signals are estimated each June and last updated in July 2025), and to OptionVolume1 and OptionVolume2, whose OptionMetrics volume data on WRDS ends in August 2025, so their returns end in September 2025.
+
+- 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  │
+└────────────────────┴────────┴────────┴─────────┴─────────┴────────────┴───────┴───────┘
+```
+
+- 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 │
+└───────────┴───────────┴───────────┴───────────┴───────────┘
+```
+
+## Directory
+
+All data files are [parquet](https://parquet.apache.org/), readable with `pandas.read_parquet` or `polars.read_parquet` in Python and `arrow::read_parquet` in R. Each set of signals or portfolios is a single file. There are no zip files and no per-signal csvs. The same files are on Hugging Face at [OpenSourceAP/CrossSection](https://huggingface.co/datasets/OpenSourceAP/CrossSection), branch `Data-Release-2026.10`.
+
+- SignalDoc.csv and SignalDoc.parquet
+  - Describes each signal and contains hand-collected statistics. The two files have the same content
+- The [SignalDoc browser](https://openassetpricing.com/SignalDoc-Browser.html) lets you browse summary stats for all reproduced signals
+- storage_checks.txt
+  - Automated checks run on this folder before release, including the summary stats above
+- Firm Level Characteristics/
+  - Note: downloadable predictors do not include size, price, or short-term reversal. To make them, run `Signals/pyCode/crsp_only.py` in our code, which downloads CRSP and builds Size, Price, and STreversal. We also do not include bid-ask spreads from TAQ, but that was not shown to predict returns anyway.
+  - Predictors.parquet
+    - All downloadable predictors in wide format. Columns: permno, yyyymm, then one column per predictor, named by its acronym in SignalDoc.csv. One row per permno-month that has at least one predictor; missing values are null
+  - signed_predictors_dl_wide.parquet
+    - Same as Predictors.parquet, but each predictor is multiplied by its Sign in SignalDoc.csv, so a higher signal implies higher mean returns based on the original papers
+  - Placebos.parquet
+    - Same layout as Predictors.parquet, but for characteristics that were not predictive or were indirect signals based on the original results. See SignalDoc.csv for details
+- Portfolios/
+  - Unless noted, portfolio files are long, with columns: signalname, port, date, ret, signallag, Nlong, Nshort. `port` is the portfolio name (01, 02, ..., LS for long-short), `ret` is the monthly return in percent during the month indicated by date, and `signallag` is the portfolio's average lagged signal
+  - Full Sets OP/
+    - Full sets of portfolios following the original papers (OP)
+    - PredictorPortsFull.parquet
+      - Portfolios formed on each predictor (e.g. 5 portfolios formed by sorting on momentum), plus the long-short portfolio
+      - Includes what some people call "test asset returns." Can also be used to study monotonicity
+      - Implementations based on the original papers. See SignalDoc.csv
+    - PredictorLSretWide.parquet
+      - Long-short returns only, in wide format. Columns: date, then one column per predictor
+      - These are performance of trading strategies based on cross-sectional predictors, or, if you like, realized factor premiums
+    - PredictorSummary.xlsx
+      - Summary stats for all predictor portfolios
+    - PlaceboPortsFull.parquet and PlaceboSummary.xlsx
+      - Portfolios and summaries based on not-predictors and indirect signals
+  - Full Sets Alt/
+    - Full sets of portfolios with alternative implementations
+    - PredictorAltPorts_Deciles.parquet
+      - Like PredictorPortsFull, but only continuous predictors, and implemented as deciles. Stock weights follow OP
+    - PredictorAltPorts_DecilesEW.parquet and PredictorAltPorts_DecilesVW.parquet
+      - Like PredictorAltPorts_Deciles, but stock weights are all EW or all VW
+    - PredictorAltPorts_Quintiles.parquet, PredictorAltPorts_QuintilesEW.parquet, and PredictorAltPorts_QuintilesVW.parquet
+      - Same as the decile files but with quintile sorts
+    - PredictorAltPorts_FF93style.parquet
+      - Like PredictorPortsFull, but uses Fama-French 1993 style 2x3 sorts
+    - PredictorAltPorts_HoldPer_1.parquet, \_3, \_6, and \_12
+      - Like PredictorPortsFull, but uses "rebalancing periods" of 1, 3, 6, and 12 months instead of the original rebalancing periods
+      - These rebalancing periods should really be called signal updating periods, since value-weighting or equal-weighting is always enforced monthly, see footnote in the paper
+    - PredictorAltPorts_LiqScreen_ME_gt_NYSE20pct.parquet, \_NYSEonly, \_Price_gt_5, and \_VWforce
+      - Like PredictorPortsFull, but with various liquidity adjustments. Please see paper
+    - PlaceboPortsFull.parquet
+      - A copy of the file in Full Sets OP/
+- DailyPortfolios/
+  - Daily portfolio returns. Aggregates up to the monthly strategies (almost). Only contains returns (%, daily), please see monthly data for supporting statistics like # of stocks
+  - Each file is long, with columns: signalname, port, date, ret
+  - Predictor.parquet
+    - Following original papers
+  - Other implementations match the monthly ones (see Portfolios / Full Sets Alt)
+    - PredictorVW.parquet
+    - CtsPredictorDecile.parquet
+    - CtsPredictorDecileVW.parquet
+    - CtsPredictorQuintile.parquet
+    - CtsPredictorQuintileVW.parquet
+  - DailyPortSummary.xlsx
+    - Some summary stats for the daily portfolios, since we don't provide results in the paper
+    - Sumstats sheet should be self explanatory. Note number of signals in each predictor port varies because the original paper vary in the number of portfolios they form
+    - Timingcheck: regressions of monthly returns on daily returns aggregated to monthly, done by groups of (signalname, portfolio)
+    - Further details, see daily portfolio construction R script
+- Results/
+  - Figures (pdf) and tables (tex) for the paper, rebuilt with this release's data

Results/bigSignalTableClear.tex

@@ -0,0 +1,168 @@
+% latex table generated in R 4.5.0 by xtable 1.8-4 package
+% Sat Oct 24 11:09:02 2026
+ 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 \\ 
+  

Results/bigSignalTableLikely.tex

@@ -0,0 +1,50 @@
+% latex table generated in R 4.5.0 by xtable 1.8-4 package
+% Sat Oct 24 11:09:02 2026
+ Abarbanell and Bushee (1998) & Sales growth over inventory growth & GrSaleToGrInv & 1974-1988 & 0.30 & 3.23 & t=2.4 in mv reg \\ 
+  Abarbanell and Bushee (1998) & Sales growth over overhead growth & GrSaleToGrOverhead & 1974-1988 & -0.03 & -0.26 & t=2.1 in mv reg \\ 
+  Amihud and Mendelson (1986) & Bid-ask spread & BidAskSpread & 1961-1980 & 0.74 & 1.70 & strong port sorts but no LS special data \\ 
+  An, Ang, Bali, Cakici (2014) & Change in put vol & dVolPut & 1996-2011 & 0.38 & 1.29 & t=2.0 in port sort \\ 
+  Asquith Pathak and Ritter (2005) & Inst own among high short interest & IO\_ShortInterest & 1980-2002 & 2.20 & 3.00 & strong port sort but no long-short \\ 
+  Ball et al. (2016) & Operating profitability R\&D adjusted & OperProfRD & 1963-2014 & 0.34 & 1.95 & t=1.8 in port sort \\ 
+  Barbee, Mukherji and Raines (1996) & Sales-to-price & SP & 1979-1991 & 0.72 & 2.87 & t=2.5 in mv reg \\ 
+  Barber et al. (2001) & Consensus Recommendation & ConsRecomm & 1985-1997 & 0.54 & 1.39 & t=3.2 in port sort nonstandard data \\ 
+  Barber et al. (2001) & Down forecast EPS & DownRecomm & 1985-1997 & 0.61 & 5.20 & t$>$8 in 3-day event study \\ 
+  Barber et al. (2001) & Up Forecast & UpRecomm & 1985-1997 & 0.62 & 4.75 & t$>$8 in 3-day event study \\ 
+  Barry and Brown (1984) & Firm age based on CRSP & FirmAge & 1931-1980 & -0.02 & -0.18 & t=2.5 in reg nonstandard data \\ 
+  Belo, Lin and Vitorino (2014) & Brand capital investment & BrandInvest & 1975-2010 & 0.58 & 2.03 & t=2.0 in port sort \\ 
+  Chan, Lakonishok and Sougiannis (2001) & Advertising Expense & AdExp & 1975-1996 & 0.67 & 3.24 & 53 bps spread but no t-stat \\ 
+  Cremers and Nair (2005) & Active shareholders & Activism2 & 1990-2001 & 0.43 & 1.01 & t=2.0 in port sort \\ 
+  Cusatis, Miles and Woolridge (1993) & Spinoffs & Spinoff & 1965-1988 & 0.39 & 2.18 & t=2.3 in event study \\ 
+  De Bondt and Thaler (1985) & Medium-run reversal & MRreversal & 1933-1980 & 0.40 & 2.10 & large ret in similar long-short \\ 
+  Dechow et al. (2001) & Short Interest & ShortInterest & 1976-1993 & 0.81 & 5.21 & 35 bps spread in port sort \\ 
+  Easley, Hvidkjaer and O'Hara (2002) & Probability of Informed Trading & ProbInformedTrading & 1984-1998 & 1.60 & 2.40 & t=2.5 in mv reg \\ 
+  Fairfield, Whisenant and Yohn (2003) & Growth in long term operating assets & GrLTNOA & 1964-1993 & 0.36 & 3.59 & 61 bps spread in long-short \\ 
+  Fama and French (2006) & operating profits / book equity & OperProf & 1977-2003 & 0.72 & 3.03 & t=2.6 in mv reg \\ 
+  Fama and MacBeth (1973) & CAPM beta & Beta & 1929-1968 & 0.68 & 1.76 & t=2.6 univar reg \\ 
+  Frankel and Lee (1998) & Analyst Optimism & AOP & 1975-1993 & 0.35 & 1.99 & p$<$0.01 in port sort but nonstandard stats \\ 
+  Frankel and Lee (1998) & Analyst Value & AnalystValue & 1975-1993 & 0.22 & 1.46 & p$<$0.01 in port sort but nonstandard stats \\ 
+  Frankel and Lee (1998) & Predicted Analyst forecast error & PredictedFE & 1979-1993 & 0.39 & 1.25 & p$<$0.01 in reg but nonstandard stats \\ 
+  Franzoni and Marin (2006) & Pension Funding Status & FR & 1980-2002 & 0.28 & 1.58 & 49 bps long-short \\ 
+  Frazzini and Pedersen (2014) & Frazzini-Pedersen Beta & BetaFP & 1929-2012 & 0.02 & 0.07 & t=7 in nonstandard port sort \\ 
+  George and Hwang (2004) & 52 week high & High52 & 1963-2001 & 0.42 & 1.60 & t=2.0 in long-short \\ 
+  Harvey and Siddique (2000) & Coskewness & Coskewness & 1964-1993 & 0.27 & 2.19 & p-val$<$0.05 in long-short \\ 
+  Haugen and Baker (1996) & net income / book equity & RoE & 1979-1993 & 0.33 & 2.87 & t=4.5 in mv reg nonstandard \\ 
+  Haugen and Baker (1996) & Cash-flow  to price variance & VarCF & 1979-1993 & -0.59 & -2.00 & t=2.5 in mv reg nonstandard \\ 
+  Haugen and Baker (1996) & Volume to market equity & VolMkt & 1979-1993 & 0.46 & 1.62 & t=4 in mv reg nonstandard \\ 
+  Haugen and Baker (1996) & Volume Trend & VolumeTrend & 1979-1993 & 0.55 & 2.98 & t=3 in mv reg nonstandard \\ 
+  Heston and Sadka (2008) & Off season reversal years 11 to 15 & MomOffSeason11YrPlus & 1965-2002 & 0.21 & 1.95 & t=1.8 in port sort, but similar strats do better \\ 
+  Hong and Kacperczyk (2009) & Sin Stock (selection criteria) & sinAlgo & 1926-2006 & 0.25 & 1.52 & t-stat = 1.8 in LS nontraditional \\ 
+  Hou and Moskowitz (2005) & Price delay coeff & PriceDelaySlope & 1964-2001 & 0.15 & 1.76 & t =7.7 in port sort w/ complicated signal \\ 
+  Hou and Moskowitz (2005) & Price delay SE adjusted & PriceDelayTstat & 1964-2001 & 0.15 & 1.76 & t =7.39 in port sort w/ complicated signal \\ 
+  Hou and Robinson (2006) & Industry concentration (assets) & HerfAsset & 1963-2001 & 0.18 & 1.63 & t = 2.12 in characteristics-adjusted port sort \\ 
+  Ikenberry, Lakonishok, Vermaelen (1995) & Share repurchases & ShareRepurchase & 1980-1990 & 0.30 & 3.79 & t=1.85 in long - benchmark port \\ 
+  Johnson and So (2012) & Option volume to average & OptionVolume2 & 1996-2010 & 0.57 & 2.24 & t = 2.5 in port sort CAPM alpha weekly data \\ 
+  Loh and Warachka (2012) & Earnings streak length & NumEarnIncrease & 1987-2009 & 0.50 & 6.53 & similar results in port sorts but not exact \\ 
+  Menzly and Ozbas (2010) & Customers momentum & iomom\_cust & 1986-2005 & 0.42 & 1.56 & t=4 in mv reg \\ 
+  Menzly and Ozbas (2010) & Suppliers momentum & iomom\_supp & 1986-2005 & 0.63 & 2.91 & t=5 in mv reg \\ 
+  Prakash and Sinha (2013) & Deferred Revenue & DelDRC & 2002-2007 & 0.71 & 1.67 & t=3.6 in nonstandard reg  5 year sample \\ 
+  Ritter (1991) & IPO and age & AgeIPO & 1975-1987 & 1.59 & 4.69 & Event study, no t-stat \\ 
+  Spiess and Affleck-Graves (1999) & Debt Issuance & DebtIssuance & 1975-1989 & 0.16 & 2.79 & t = 2.19 FF3 alpha on long port \\ 
+  Tuzel (2010) & Real estate holdings & realestate & 1971-2005 & 0.28 & 1.81 & t=1.8 (VW) and t= 1.28 (EW) in port sort \\ 
+  Xing, Zhang and Zhao (2010) & Volatility smirk near the money & skew1 & 1996-2005 & 0.63 & 3.10 & t = 2.19 in port sort \\ 
+  

Results/bigSignalTablePlacebos.tex

@@ -0,0 +1,117 @@
+% latex table generated in R 4.5.0 by xtable 1.8-4 package
+% Sat Oct 24 12:04:10 2026
+ Abarbanell and Bushee (1998) & Effective Tax Rate & ETR & Indirect Evidence & 0.01 & 0.13 & t=1.5 in mv reg \\ 
+  Abarbanell and Bushee (1998) & Gross margin growth to sales growth & GrGMToGrSales & Indirect Evidence & 0.35 & 3.16 & t=1.9 in mv reg \\ 
+  Abarbanell and Bushee (1998) & Change in sales vs change in receiv & GrSaleToGrReceivables & Indirect Evidence & 0.04 & 0.49 & t=1.6 in mv reg \\ 
+  Abarbanell and Bushee (1998) & Laborforce efficiency & LaborforceEfficiency & Indirect Evidence & -0.09 & -1.02 & t=0.6 in mv reg \\ 
+  Abarbanell and Bushee (1998) & Change in gross margin vs sales & pchgm\_pchsale & Indirect Evidence & 0.41 & 3.58 & GHZ variant of GrGMToGrSale \\ 
+  Acharya and Pedersen (2005) & Illiquidity-illiquidity beta (beta2i) & betaCC & Indirect Evidence & 0.34 & 1.93 & in-sample only \\ 
+  Acharya and Pedersen (2005) & Illiquidity-market return beta (beta4i) & betaCR & Indirect Evidence & -0.10 & -1.13 & in-sample only \\ 
+  Acharya and Pedersen (2005) & Net liquidity beta (betanet,p) & betaNet & Indirect Evidence & 0.37 & 2.06 & in-sample only \\ 
+  Acharya and Pedersen (2005) & Return-market illiquidity beta & betaRC & Indirect Evidence & 0.06 & 0.29 & in-sample only \\ 
+  Acharya and Pedersen (2005) & Return-market return illiquidity beta & betaRR & Indirect Evidence & -0.01 & -0.04 & in-sample only \\ 
+  Adrian, Etula and Muir (2014) & Broker-Dealer Leverage Beta & BetaBDLeverage & Not Predictor & 0.39 & 2.17 & t=1 in conservative port sort \\ 
+  Anderson and Garcia-Feijoo (2006) & Investment growth (1 year) & grcapx1y & Indirect Evidence & -0.27 & -3.69 & HXZ variant \\ 
+  Anderson, Ghysels, and Juergens (2005) & Long-term forecast dispersion & ForecastDispersionLT & Not Predictor & -0.00 & -0.01 & t=1.0 in conservative long-short \\ 
+  Ang et al. (2006) & Idiosyncratic risk (CAPM) & IdioVolCAPM & Indirect Evidence & -0.24 & -0.78 & HXZ variant \\ 
+  Ang et al. (2006) & Idiosyncratic risk (q factor) & IdioVolQF & Indirect Evidence & -0.30 & -0.91 & HXZ variant \\ 
+  Ang, Chen and Xing (2006) & Downside beta & DownsideBeta & Not Predictor & 0.09 & 0.40 & t=0.6 in port sort \\ 
+  Balakrishnan, Bartov and Faurel (2010) & Change in Return on assets & ChangeRoA & Indirect Evidence & 1.22 & 11.76 & HXZ variant \\ 
+  Balakrishnan, Bartov and Faurel (2010) & Change in Return on equity & ChangeRoE & Indirect Evidence & 1.03 & 10.04 & HXZ variant \\ 
+  Bali, Engle and Murray (2015) & Idiosyncratic skewness (CAPM) & ReturnSkewCAPM & Indirect Evidence & -0.40 & -5.55 & HXZ variant \\ 
+  Bali, Engle and Murray (2015) & Idiosyncratic skewness (Q model) & ReturnSkewQF & Indirect Evidence & -0.24 & -3.61 & HXZ variant \\ 
+  Ball et al. (2016) & Cash-based oper prof lagged assets & CBOperProfLagAT & Indirect Evidence & 0.48 & 3.38 & HXZ variant \\ 
+  Ball et al. (2016) & Cash-based oper prof lagged assets qtrly & CBOperProfLagAT\_q & Indirect Evidence & 0.87 & 6.14 & HXZ variant \\ 
+  Ball et al. (2016) & Oper prof R\&D adj lagged assets & OperProfRDLagAT & Indirect Evidence & 0.03 & 0.16 & HXZ variant \\ 
+  Ball et al. (2016) & Oper prof R\&D adj lagged assets (qtrly) & OperProfRDLagAT\_q & Indirect Evidence & 1.10 & 5.26 & HXZ variant \\ 
+  Barbee, Mukherji and Raines (1996) & Sales-to-price quarterly & SP\_q & Indirect Evidence & 1.20 & 5.03 & HXZ variant \\ 
+  Basu (1977) & Earnings-to-Price Ratio & EPq & Indirect Evidence & 1.31 & 6.77 & HXZ variant \\ 
+  Belo, Lin and Vitorino (2014) & Brand capital to assets & BrandCapital & Indirect Evidence & 0.23 & 1.19 & not studied for predictability \\ 
+  Bhandari (1988) & Market leverage quarterly & Leverage\_q & Indirect Evidence & 0.25 & 0.77 & HXZ variant \\ 
+  Blitz, Huij and Martens (2011) & 6 month residual momentum & ResidualMomentum6m & Indirect Evidence & 0.38 & 3.93 & HXZ variant \\ 
+  Boudoukh et al. (2007) & Net Payout Yield quarterly & NetPayoutYield\_q & Indirect Evidence & 0.80 & 2.36 & HXZ variant \\ 
+  Boudoukh et al. (2007) & Payout Yield quarterly & PayoutYield\_q & Indirect Evidence & 0.84 & 6.83 & HXZ variant \\ 
+  Brown and Rowe (2007) & Return on invested capital & roic & Not Predictor & 0.04 & 0.17 & t=0.9 in port sort \\ 
+  Callen, Khan and Lu (2013) & Accounting component of price delay & DelayAcct & Not Predictor & -0.19 & -1.02 & t=1 in long-short \\ 
+  Callen, Khan and Lu (2013) & Non-accounting component of price delay & DelayNonAcct & Not Predictor & 0.27 & 1.72 & t=1 in long-short \\ 
+  Campbell, Hilscher and Szilagyi (2008) & Failure probability & FailureProbability & Not Predictor & 0.56 & 1.25 & t=1.5 in conservative port sort \\ 
+  Campbell, Hilscher and Szilagyi (2008) & Failure probability & FailureProbabilityJune & Indirect Evidence & 0.24 & 0.49 & HXZ variant \\ 
+  Chan, Lakonishok and Sougiannis (2001) & R\&D over market cap quarterly & RD\_q & Indirect Evidence & 0.84 & 3.06 & HXZ variant \\ 
+  Chan, Lakonishok and Sougiannis (2001) & R\&D to sales & rd\_sale & Not Predictor & 0.12 & 0.49 & 8 bps spread in port sort \\ 
+  Chan, Lakonishok and Sougiannis (2001) & R\&D to sales & rd\_sale\_q & Indirect Evidence & 0.99 & 2.26 & HXZ variant \\ 
+  Cooper, Gulen and Schill (2008) & Asset growth quarterly & AssetGrowth\_q & Indirect Evidence & -0.95 & -4.94 & HXZ variant \\ 
+  Desai, Rajgopal, Venkatachalam (2004) & Operating Cash flows to price quarterly & cfpq & Indirect Evidence & 0.94 & 10.50 & HXZ variant \\ 
+  Dichev (1998) & O Score quarterly & OScore\_q & Indirect Evidence & -0.95 & -3.21 & HXZ variant \\ 
+  Dichev (1998) & Altman Z-Score & ZScore & Not Predictor & -0.32 & -1.09 & t=1.59 in univar reg \\ 
+  Dichev (1998) & Altman Z-Score quarterly & ZScore\_q & Indirect Evidence & -0.33 & -1.13 & HXZ variant \\ 
+  Dimson (1979) & Dimson Beta & BetaDimson & Indirect Evidence & -0.24 & -1.56 & only shown to forecast beta \\ 
+  Eisfeldt and Papanikolaou (2013) & Org cap w/o industry adjustment & OrgCapNoAdj & Indirect Evidence & 0.65 & 3.31 & HXZ variant \\ 
+  Elgers, Lo and Pfeiffer (2001) & Number of analysts & nanalyst & Indirect Evidence & 0.17 & 0.92 & spread in median ret each leg size adj \\ 
+  Fama and French (1992) & Total assets to market (quarterly) & AMq & Indirect Evidence & 0.99 & 3.56 & HXZ variant \\ 
+  Fama and French (1992) & Book leverage (quarterly) & BookLeverageQuarterly & Indirect Evidence & -0.13 & -1.09 & HXZ variant \\ 
+  Fama and French (2006) & operating profits / book equity & OperProfLag & Indirect Evidence & 0.41 & 1.68 & HXZ variant \\ 
+  Fama and French (2006) & operating profits / book equity & OperProfLag\_q & Indirect Evidence & 0.97 & 3.23 & HXZ variant \\ 
+  Fama and MacBeth (1973) & CAPM beta squred & BetaSquared & Not Predictor & -0.67 & -1.74 & t=0.3 in mv reg \\ 
+  Francis, LaFond, Olsson, Schipper (2004) & Earnings conservatism & EarningsConservatism & Indirect Evidence & -0.01 & -0.10 & correlated with BM and other predictors \\ 
+  Francis, LaFond, Olsson, Schipper (2004) & Earnings persistence & EarningsPersistence & Indirect Evidence & -0.19 & -1.48 & correlated with BM and other predictors \\ 
+  Francis, LaFond, Olsson, Schipper (2004) & Earnings Predictability & EarningsPredictability & Indirect Evidence & -0.58 & -3.29 & correlated with BM and other predictors \\ 
+  Francis, LaFond, Olsson, Schipper (2004) & Earnings Smoothness & EarningsSmoothness & Indirect Evidence & 0.01 & 0.05 & correlated with BM and other predictors \\ 
+  Francis, LaFond, Olsson, Schipper (2004) & Earnings timeliness & EarningsTimeliness & Indirect Evidence & -0.03 & -0.44 & correlated with BM and other predictors \\ 
+  Francis, LaFond, Olsson, Schipper (2004) & Value relevance of earnings & EarningsValueRelevance & Indirect Evidence & -0.03 & -0.44 & correlated with BM and other predictors \\ 
+  Francis, LaFond, Olsson, Schipper (2004) & RoA volatility & roavol & Indirect Evidence & -0.02 & -0.06 & correlated with BM and other predictors \\ 
+  Francis, LaFond, Olsson, Schipper (2005) & Accrual Quality & AccrualQuality & Indirect Evidence & 0.17 & 0.63 & correlated with E/P and factor structure \\ 
+  Francis, LaFond, Olsson, Schipper (2005) & Accrual Quality in June & AccrualQualityJune & Indirect Evidence & 0.20 & 0.76 & HXZ variant \\ 
+  Frankel and Lee (1998) & Intrinsic or historical value & IntrinsicValue & Indirect Evidence & 0.47 & 2.43 & not studied.  Ingredient variable. \\ 
+  Franzoni and Marin (2006) & Pension Funding Status & FRbook & Indirect Evidence & 0.32 & 2.59 & HXZ variant \\ 
+  Hafzalla, Lundholm, Van Winkle (2011) & Percent Abnormal Accruals & AbnormalAccrualsPercent & Indirect Evidence & -0.30 & -4.23 & HXZ variant \\ 
+  Hahn and Lee (2009) & Tangibility quarterly & tang\_q & Indirect Evidence & 0.80 & 5.11 & HXZ variant \\ 
+  Haugen and Baker (1996) & Capital turnover & CapTurnover & Indirect Evidence & 0.26 & 1.26 & t$<$2 in mv reg nonstandard \\ 
+  Haugen and Baker (1996) & Capital turnover (quarterly) & CapTurnover\_q & Indirect Evidence & 0.82 & 4.48 & HXZ variant \\ 
+  Holthausen and Larcker (1992) & Depreciation to PPE & depr & Indirect Evidence & 0.29 & 1.06 & ingredient in complicated model \\ 
+  Holthausen and Larcker (1992) & Change in depreciation to PPE & pchdepr & Indirect Evidence & 0.19 & 1.74 & ingredient in complicated model \\ 
+  Hou and Loh (2016) & Bid-ask spread (TAQ) & BidAskTAQ & Not Predictor & 0.06 & 0.20 & t=1.3 in mv reg \\ 
+  La Porta (1996) & Long-term EPS forecast (Monthly) & fgr5yrNoLag & Indirect Evidence & -0.66 & -1.59 & HXZ variant \\ 
+  Lakonishok, Shleifer, Vishny (1994) & Cash flow to market quarterly & CFq & Indirect Evidence & 1.24 & 7.84 & HXZ variant \\ 
+  Lakonishok, Shleifer, Vishny (1994) & Annual sales growth & sgr & Indirect Evidence & -0.60 & -4.27 & HXZ variant \\ 
+  Lakonishok, Shleifer, Vishny (1994) & Annual sales growth quarterly & sgr\_q & Indirect Evidence & 0.58 & 3.45 & HXZ variant \\ 
+  Lamont, Polk and Saa-Requejo (2001) & Kaplan Zingales index & KZ & Not Predictor & 0.22 & 1.67 & t=1.1 in conservative port sort \\ 
+  Lamont, Polk and Saa-Requejo (2001) & Kaplan Zingales index quarterly & KZ\_q & Indirect Evidence & -1.08 & -5.81 & HXZ variant \\ 
+  Lev and Nissim (2004) & Taxable income to income (qtrly) & Tax\_q & Indirect Evidence & 0.02 & 0.18 & HXZ variant \\ 
+  Loughran and Wellman (2011) & Enterprise Multiple quarterly & EntMult\_q & Indirect Evidence & -1.55 & -11.67 & HXZ variant \\ 
+  Naranjo, Nimalendran, Ryngaert (1998) & Dividend yield for small stocks & DivYield & Indirect Evidence & 0.25 & 0.98 & mixed results, small spread \\ 
+  Naranjo, Nimalendran, Ryngaert (1998) & Last year's dividends over price & DivYieldAnn & Indirect Evidence & 0.17 & 0.82 & HXZ variant \\ 
+  Novy-Marx (2011) & Operating leverage (qtrly) & OPLeverage\_q & Indirect Evidence & 0.42 & 2.53 & HXZ variant \\ 
+  Novy-Marx (2013) & gross profits / total assets & GPlag & Indirect Evidence & 0.19 & 1.74 & HXZ variant \\ 
+  Novy-Marx (2013) & gross profits / total assets & GPlag\_q & Indirect Evidence & 0.80 & 5.86 & HXZ variant \\ 
+  Ortiz-Molina and Phillips (2014) & Asset liquidity over book assets & AssetLiquidityBook & Indirect Evidence & 0.33 & 1.27 & no predictability. Correlated with ICC \\ 
+  Ortiz-Molina and Phillips (2014) & Asset liquidity over book (qtrly) & AssetLiquidityBookQuart & Indirect Evidence & 0.25 & 0.76 & HXZ variant \\ 
+  Ortiz-Molina and Phillips (2014) & Asset liquidity over market & AssetLiquidityMarket & Indirect Evidence & 1.39 & 7.33 & no predictability. Correlated with ICC \\ 
+  Ortiz-Molina and Phillips (2014) & Asset liquidity over market (qtrly) & AssetLiquidityMarketQuart & Indirect Evidence & 1.27 & 6.11 & HXZ variant \\ 
+  Ou and Penman (1989) & CF to debt & cashdebt & Indirect Evidence & -0.07 & -0.26 & ingredient in complicated model \\ 
+  Ou and Penman (1989) & Current Ratio & currat & Indirect Evidence & 0.27 & 1.80 & ingredient in complicated model \\ 
+  Ou and Penman (1989) & Change in Current Ratio & pchcurrat & Indirect Evidence & 0.22 & 2.62 & ingredient in complicated model \\ 
+  Ou and Penman (1989) & Change in quick ratio & pchquick & Indirect Evidence & 0.32 & 3.46 & ingredient in complicated model \\ 
+  Ou and Penman (1989) & Change in sales to inventory & pchsaleinv & Indirect Evidence & 0.49 & 5.27 & ingredient in complicated model \\ 
+  Ou and Penman (1989) & Quick ratio & quick & Indirect Evidence & 0.30 & 1.64 & ingredient in complicated model \\ 
+  Ou and Penman (1989) & Sales to cash ratio & salecash & Indirect Evidence & 0.25 & 1.55 & ingredient in complicated model \\ 
+  Ou and Penman (1989) & Sales to inventory & saleinv & Indirect Evidence & -0.16 & -0.79 & ingredient in complicated model \\ 
+  Ou and Penman (1989) & Sales to receivables & salerec & Indirect Evidence & 0.30 & 1.56 & ingredient in complicated model \\ 
+  Penman, Richardson and Tuna (2007) & Enterprise component of BM & EBM\_q & Indirect Evidence & 0.81 & 7.06 & HXZ variant \\ 
+  Penman, Richardson and Tuna (2007) & Net debt to price & NetDebtPrice\_q & Indirect Evidence & -0.64 & -3.33 & HXZ variant \\ 
+  Piotroski (2000) & Piotroski F-score & PS\_q & Indirect Evidence & 1.08 & 7.25 & HXZ variant \\ 
+  Richardson et al. (2005) & Change in short-term investment & DelSTI & Not Predictor & -0.03 & -0.44 & t=0.4 in mv reg \\ 
+  Rosenberg, Reid, and Lanstein (1985) & Book to market (quarterly) & BMq & Indirect Evidence & 1.63 & 3.67 & HXZ variant \\ 
+  Soliman (2008) & Asset Turnover & AssetTurnover & Indirect Evidence & 0.40 & 2.20 & t=0.3 in mv reg \\ 
+  Soliman (2008) & Asset Turnover & AssetTurnover\_q & Indirect Evidence & 0.55 & 2.90 & HXZ variant \\ 
+  Soliman (2008) & Change in Noncurrent Operating Assets & ChNCOA & Indirect Evidence & -1.05 & -5.86 & No predictability.  Ingredient for predictor. \\ 
+  Soliman (2008) & Change in Noncurrent Operating Liab & ChNCOL & Indirect Evidence & -0.55 & -3.62 & No predictability.  Ingredient for predictor. \\ 
+  Soliman (2008) & Change in Profit Margin & ChPM & Indirect Evidence & 0.09 & 1.13 & t=0.3 in mv reg \\ 
+  Soliman (2008) & Profit Margin & PM & Indirect Evidence & 0.55 & 2.01 & t=1 in mv reg \\ 
+  Soliman (2008) & Profit Margin & PM\_q & Indirect Evidence & 1.15 & 2.55 & HXZ variant \\ 
+  Soliman (2008) & Return on Net Operating Assets & RetNOA & Indirect Evidence & 0.01 & 0.07 & t=1.4 in mv reg \\ 
+  Soliman (2008) & Return on Net Operating Assets & RetNOA\_q & Indirect Evidence & 1.15 & 3.00 & HXZ variant \\ 
+  Valta (2016) & Secured debt & secured & Indirect Evidence & -0.00 & -0.00 & t $>$ 1.96 in mv reg \\ 
+  Valta (2016) & Secured debt indicator & securedind & Indirect Evidence & -0.06 & -0.67 & GHZ variant \\ 
+  Whited and Wu (2006) & Whited-Wu index & WW & Not Predictor & 0.42 & 1.50 & t=1.3 in port sort \\ 
+  Whited and Wu (2006) & Whited-Wu index & WW\_Q & Indirect Evidence & 0.53 & 1.41 & HXZ variant \\ 
+