This table shows that the Hou-Xue-Zhang (2015) q-factor model fully subsumes the Fama-French (2018) 6-factor model in head-to-head factor spanning tests.
10/4/2020: We have added ex-dividend returns to the benchmark portfolios underlying our q and expected growth factors.
6/18/2020: We have released most of our data from Hou, Xue, and Zhang (2020, "Replicating Anomalies," Review of Financial Studies). See Release Notes.
2/15/2020: We have updated all the factors and testing portfolios through December 2019.
1/31/2020: We have posted the expected growth factor, its 2 by 3 (size and expected growth) benchmark portfolios, and testing portfolios (the expected growth deciles and 3 by 5 portfolios on size and expected growth).
11/21/2019: We have officially launched the Hou-Xue-Zhang q-factors data library at global-q.org.