% 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 \\