Latest Release, 5/3/2025: "Release Notes" (dated May 3, 2025) and "Technical Document: Testing Portfolios" (dated May 2025)
We provide 199 anomalies, which are grouped into 6 categories, including momentum (42), value-versus-growth (32), investment (32), profitability (50), intangibles (33), and frictions (10). For a given anomaly, we offer value-weighted returns in percent for 1-way sorted portfolios (mostly deciles, with a few quantiles) and 2-way (3 by 5) independently sorted portfolios by interacting the anomaly with size. The sample is from 1967 to 2024. For sufficient coverage, some portfolios start later than January 1967.
We use NYSE breakpoints on a given anomaly variable. For size ("me" in filenames) in the 2-way sorts, we split stocks into micro-, small-, and big-cap portfolios. Microcaps are below the NYSE 20th percentile of the market equity, small caps are between the 20th and 50th percentile, and big caps are above the 50th percentile.
All the files are in CSV format. We provide the data in different frequencies, including daily ("daily" in filenames), weekly ("weekly," calendar, Friday close to Friday close), weekly ("weekly_w2w," Wednesday-to-Wednesday, Wednesday close to Wednesday close), monthly ("monthly"), quarterly ("quarterly"), and annual ("annual").
This spreadsheet details the recent performance of each category and its individual anomalies.
Momentum
Zip folders that contain all 42 momentum anomalies for a given frequency
1-way sorts: Daily Weekly (calendar) Weekly (Wednesday-to-Wednesday) Monthly Quarterly Annual
2-way sorts: Daily Weekly (calendar) Weekly (Wednesday-to-Wednesday) Monthly Quarterly Annual
Explanation of CSV filenames for individual momentum anomalies
1. Abr1 ("abr_1"), cumulative abnormal returns around earnings announcement dates, 1-month holding period;
2. Abr6 ("abr_6"), cumulative abnormal returns around earnings announcement dates, 6-month holding period;
3. Abr12 ("abr_12"), cumulative abnormal returns around earnings announcement dates, 12-month holding period;
4. Cim1 ("cim_1"), customer industries momentum, 1-month holding period;
5. Cim6 ("cim_6"), customer industries momentum, 6-month holding period;
6. Cim12 ("cim_12"), customer industries momentum, 12-month holding period;
7. Cm1 ("cm_1"), customer momentum, 1-month holding period;
8. Cm6 ("cm_6"), customer momentum, 6-month holding period;
9. Cm12 ("cm_12"), customer momentum, 12-month holding period;
10. dEf1 ("def_1"), changes in analyst earnings forecasts, 1-month holding period;
11. dEf6 ("def_6"), changes in analyst earnings forecasts, 6-month holding period;
12. dEf12 ("def_12"), changes in analyst earnings forecasts, 12-month holding period;
13. Ile1 ("ile_1"), industry lead-lag effect in earnings surprises, 1-month holding period;
14. Ilr1 ("ilr_1"), industry lead-lag effect in prior returns, 1-month holding period;
15. Ilr6 ("ilr_6"), industry lead-lag effect in prior returns, 6-month holding period;
16. Ilr12 ("ilr_12"), industry lead-lag effect in prior returns, 12-month holding period;
17. Im1 ("im_1"), industry momentum, 1-month holding period;
18. Im6 ("im_6"), industry momentum, 6-month holding period;
19. Im12 ("im_12"), industry momentum, 12-month holding period;
20. Nei1 ("nei_1"), the number of quarters with consecutive earnings increase, 1-month holding period;
21. 52w6 ("p52w_6"), 52-week high, 6-month holding period;
22. 52w12 ("p52w_12"), 52-week high, 12-month holding period;
23. R6_1 ("r6_1"), prior 6-month returns, 1-month holding period;
24. R6_6 ("r6_6"), prior 6-month returns, 6-month holding period;
25. R6_12 ("r6_12"), prior 6-month returns, 12-month holding period;
26. R11_1 ("r11_1"), prior 11-month returns, 1-month holding period;
27. R11_6 ("r11_6"), prior 11-month returns, 6-month holding period;
28. R11_12 ("r11_12"), prior 11-month returns, 12-month holding period;
29. Re1 ("re_1"), revisions in analyst earnings forecasts, 1-month holding period;
30. Re6 ("re_6"), revisions in analyst earnings forecasts, 6-month holding period;
31. Resid6_6 ("resid6_6"), 6-month residual momentum, 6-month holding period;
32. Resid6_12 ("resid6_12"), 6-month residual momentum, 12-month holding period;
33. Resid11_1 ("resid11_1"), 11-month residual momentum, 1-month holding period;
34. Resid11_6 ("resid11_6"), 11-month residual momentum, 6-month holding period;
35. Resid11_12 ("resid11_12"), 11-month residual momentum, 12-month holding period;
36. Rs1 ("rs_1"), revenue surprises, 1-month holding period;
37. Sim1 ("sim_1"), supplier industries momentum, 1-month holding period;
38. Sim12 ("sim_12"), supplier industries momentum, 12-month holding period;
39. Sm1 ("sm_1"), segment momentum, 1-month holding period;
40. Sm12 ("sm_12"), segment momentum, 12-month holding period;
41. Sue1 ("sue_1"), standard unexpected earnings, 1-month holding period;
42. Sue6 ("sue_6"), standard unexpected earnings, 6-month holding period
Value-versus-growth
Zip folders that contain all 32 value-versus-growth anomalies for a given frequency
1-way sorts: Daily Weekly (calendar) Weekly (Wednesday-to-Wednesday) Monthly Quarterly Annual
2-way sorts: Daily Weekly (calendar) Weekly (Wednesday-to-Wednesday) Monthly Quarterly Annual
Explanation of CSV filenames for individual value-versus-growth anomalies
1. Bm ("bm"), book-to-market equity;
2. Bmj ("bmj"), book-to-June-end market equity;
3. Bmq12 ("bmq_12"), quarterly book-to-market equity, 12-month holding period;
4. Cp ("cp"), cash flow-to-price;
5. Cpq1 ("cpq_1"), quarterly cash flow-to-price, 1-month holding period;
6. Cpq6 ("cpq_6"), quarterly cash flow-to-price, 6-month holding period;
7. Cpq12 ("cpq_12"), quarterly cash flow-to-price, 12-month holding period;
8. Dp ("dp"), dividend yield;
9. Dur ("dur"), equity duration;
10. Ebp ("ebp"), enterprise book-to-price;
11. Em ("em"), enterprise multiple;
12. Emq1 ("emq_1"), quarterly enterprise multiple, 1-month holding period;
13. Emq6 ("emq_6"), quarterly enterprise multiple, 6-month holding period;
14. Emq12 ("emq_12"), quarterly enterprise multiple, 12-month holding period;
15. Ep ("ep"), earnings-to-price;
16. Epq1 ("epq_1"), quarterly earnings-to-price, 1-month holding period;
17. Epq6 ("epq_6"), quarterly earnings-to-price, 6-month holding period;
18. Epq12 ("epq_12"), quarterly earnings-to-price, 12-month holding period;
19. Ir ("ir"), intangible return;
20. Nop ("nop"), net payout yield;
21. Ocp ("ocp"), operating cash flow-to-price;
22. Ocpq1 ("ocpq_1"), quarterly operating cash flow-to-price, 1-month holding period;
23. Op ("op"), payout yield;
24. Rev1 ("rev_1"), long-term reversal, 1-month holding period;
25. Rev6 ("rev_6"), long-term reversal, 6-month holding period;
26. Rev12 ("rev_12"), long-term reversal, 12-month holding period;
27. Sp ("sp"), sales-to-price;
28. Spq1 ("spq_1"), quarterly sales-to-price, 1-month holding period;
29. Spq6 ("spq_6"), quarterly sales-to-price, 6-month holding period;
30. Spq12 ("spq_12"), quarterly sales-to-price, 12-month holding period;
31. Vfp ("vfp"), analyst-based intrinsic value-to-market;
32. Vhp ("vhp"), Roe-based intrinsic value-to-market
Investment
Zip folders that contain all 32 investment anomalies for a given frequency
1-way sorts: Daily Weekly (calendar) Weekly (Wednesday-to-Wednesday) Monthly Quarterly Annual
2-way sorts: Daily Weekly (calendar) Weekly (Wednesday-to-Wednesday) Monthly Quarterly Annual
Explanation of CSV filenames for individual investment anomalies
1. Aci ("aci"), abnormal corporate investment;
2. Cei ("cei"), composite equity issuance;
3. Dac ("dac"), discretionary accruals;
4. dBe ("dbe"), changes in book equity;
5. dCoa ("dcoa"), changes in current operating assets;
6. dFin ("dfin"), changes in net financial assets;
7. dFnl ("dfnl"), changes in financial liabilities;
8. dIi ("dii"), percent changes in investment relative to industry;
9. dLno ("dlno"), changes in long-term net operating assets;
10. dLti ("dlti"), changes in long-term investments;
11. dNca ("dnca"), changes in non-current operating assets;
12. dNco ("dnco"), changes in net non-current operating assets;
13. dNoa ("dnoa"), changes in net operating assets;
14. dPia ("dpia"), changes in PPE and inventory scaled by lagged assets;
15. dWc ("dwc"), changes in net non-cash working capital;
16. I/A ("ia"), investment-to-assets (asset growth);
17. Iaq1 ("iaq_1"), quarterly investment-to-assets (asset growth), 1-month holding period;
18. Iaq6 ("iaq_6"), quarterly investment-to-assets (asset growth), 6-month holding period;
19. Iaq12 ("iaq_12"), quarterly investment-to-assets (asset growth), 12-month holding period;
20. Ig ("ig"), investment growth;
21. 2Ig ("ig2"), 2-year investment growth;
22. Ivc ("ivc"), inventory changes;
23. Ivg ("ivg"), inventory growth;
24. Ndf ("ndf"), net external debt financing;
25. Nxf ("nxf"), net external equity financing;
26. Noa ("noa"), net operating assets;
27. Nsi ("nsi"), net stock issues;
28. Oa ("oa"), operating accruals;
29. Pda ("pda"), percent discretionary accruals;
30. Poa ("poa"), percent operating accruals;
31. Pta ("pta"), percent total accruals;
32. Ta ("ta"), total accruals
Profitability
Zip folders that contain all 50 profitability anomalies for a given frequency
1-way sorts: Daily Weekly (calendar) Weekly (Wednesday-to-Wednesday) Monthly Quarterly Annual
2-way sorts: Daily Weekly (calendar) Weekly (Wednesday-to-Wednesday) Monthly Quarterly Annual
Explanation of CSV filenames for individual profitability anomalies
1. Ato ("ato"), assets turnover;
2. Atoq1 ("atoq_1"), quarterly assets turnover, 1-month holding period;
3. Atoq6 ("atoq_6"), quarterly assets turnover, 6-month holding period;
4. Atoq12 ("atoq_12"), quarterly assets turnover, 12-month holding period;
5. Cla ("cla"), cash-based operating profits-to-lagged assets;
6. Claq1 ("claq_1"), quarterly cash-based operating profits-to-lagged assets, 1-month holding period;
7. Claq6 ("claq_6"), quarterly cash-based operating profits-to-lagged assets, 6-month holding period;
8. Claq12 ("claq_12"), quarterly cash-based operating profits-to-lagged assets, 12-month holding period;
9. Cop ("cop"), operating cash flow-to-assets;
10. Cto ("cto"), capital turnover;
11. Ctoq1 ("ctoq_1"), quarterly capital turnover, 1-month holding period;
12. Ctoq6 ("ctoq_6"), quarterly capital turnover, 6-month holding period;
13. Ctoq12 ("ctoq_12"), quarterly capital turnover, 12-month holding period;
14. dRoa1 ("droa_1"), 4-quarter changes in return on assets, 1-month holding period;
15. dRoa6 ("droa_6"), 4-quarter changes in return on assets, 6-month holding period;
16. dRoe1 ("droe_1"), 4-quarter changes in return on equity, 1-month holding period;
17. dRoe6 ("droe_6"), 4-quarter changes in return on equity, 6-month holding period;
18. dRoe12 ("droe_12"), 4-quarter changes in return on equity, 12-month holding period;
19. Eg1 ("eg_1"), expected growth, 1-month holding period;
20. Eg6 ("eg_6"), expected growth, 6-month holding period;
21. Eg12 ("eg_12"), expected growth, 12-month holding period;
22. Fp6 ("fp_6"), failure probability, 6-month holding period;
23. Fq1 ("fq_1"), quarterly fundamental score, 1-month holding period;
24. Fq6 ("fq_6"), quarterly fundamental score, 6-month holding period;
25. Fq12 ("fq_12"), quarterly fundamental score, 12-month holding period;
26. Gla ("gla"), gross profits-to-lagged assets;
27. Glaq1 ("glaq_1"), quarterly gross profits-to-lagged assets, 1-month holding period;
28. Glaq6 ("glaq_6"), quarterly gross profits-to-lagged assets, 6-month holding period;
29. Glaq12 ("glaq_12"), quarterly gross profits-to-lagged assets, 12-month holding period;
30. Gpa ("gpa"), gross profits-to-assets;
31. Olaq1 ("olaq_1"), quarterly operating profits-to-lagged assets, 1-month holding period;
32. Olaq6 ("olaq_6"), quarterly operating profits-to-lagged assets, 6-month holding period;
33. Olaq12 ("olaq_12"), quarterly operating profits-to-lagged assets, 12-month holding period;
34. Oleq1 ("oleq_1"), quarterly operating profits-to-lagged book equity, 1-month holding period;
35. Oleq6 ("oleq_6"), quarterly operating profits-to-lagged book equity, 6-month holding period;
36. Oleq12 ("oleq_12"), quarterly operating profits-to-lagged book equity, 12-month holding period;
37. Opa ("opa"), operating profits-to-assets;
38. Ope ("ope"), operating profits-to-book equity;
39. Oq1 ("oq_1"), quarterly O-score, 1-month holding period;
40. Pmq1 ("pmq_1"), quarterly profit margin, 1-month holding period;
41. Rnaq1 ("rnaq_1"), quarterly return on net operating assets, 1-month holding period;
42. Rnaq6 ("rnaq_6"), quarterly return on net operating assets, 6-month holding period;
43. Rnaq12 ("rnaq_12"), quarterly return on net operating assets, 12-month holding period;
44. Roa1 ("roa_1"), return on assets, 1-month holding period;
45. Roa6 ("roa_6"), return on assets, 6-month holding period;
46. Roe1 ("roe_1"), return on equity, 1-month holding period;
47. Roe6 ("roe_6"), return on equity, 6-month holding period;
48. Sgq1 ("sgq_1"), quarterly sales growth, 1-month holding period;
49. Tbiq6 ("tbiq_6"), quarterly tax income-to-book income, 6-month holding period;
50. Tbiq12 ("tbiq_12"), quarterly tax income-to-book income, 12-month holding period
Intangibles
Zip folders that contain all 33 intangibles anomalies for a given frequency
1-way sorts: Daily Weekly (calendar) Weekly (Wednesday-to-Wednesday) Monthly Quarterly Annual
2-way sorts: Daily Weekly (calendar) Weekly (Wednesday-to-Wednesday) Monthly Quarterly Annual
Explanation of CSV filenames for individual intangibles anomalies
1. Adm ("adm"), advertising expense-to-market;
2. Alaq1 ("alaq_1"), quarterly asset liquidity scaled by 1-quarter-lagged total assets, 1-month holding period;
3. Almq1 ("almq_1"), quarterly asset liquidity scaled by 1-quarter-lagged market value of assets, 1-month holding period;
4. Almq6 ("almq_6"), quarterly asset liquidity scaled by 1-quarter-lagged market value of assets, 6-month holding period;
5. Almq12 ("almq_12"), quarterly asset liquidity scaled by 1-quarter-lagged market value of assets, 12-month holding period;
6. Dls1 ("dls_1"), disparity between long- and short-term earnings growth forecasts, 1-month holding period;
7. Eprd ("eprd"), earnings predictability;
8. Etl ("etl"), earnings timeliness;
9. Etr ("etr"), effective tax rate;
10. Hs ("hs"), industry concentration in sales;
11. Ioca ("ioca"), industry-adjusted organizational capital-to-assets;
12. Oca ("oca"), organizational capital-to-assets;
13. Ol ("ol"), operating leverage;
14. Olq1 ("olq_1"), quarterly operating leverage, 1-month holding period;
15. Olq6 ("olq_6"), quarterly operating leverage, 6-month holding period;
16. Olq12 ("olq_12"), quarterly operating leverage, 12-month holding period;
17. R1a ("r1a"), seasonality, return in month t-12;
18. R1n ("r1n"), seasonality, average return from month t-11 to t-1;
19. R[2,5]a ("r5a"), seasonality, average return across months t-24, t-36, t-48, and t-60;
20. R[2,5]n ("r5n"), seasonality, average return from month t-60 to t-13 except for months t-24, t-36, t-48, and t-60;
21. R[6,10]a ("r10a"), seasonality, average return across months t-72, t-84, t-96, t-108, and t-120;
22. R[6,10]n ("r10n"), seasonality, average return from month t-120 to t-61 except for months t-72, t-84, t-96, t-108, and t-120;
23. R[11,15]a ("r15a"), seasonality, average return across months t-132, t-144, t-156, t-168, and t-180;
24. R[16,20]a ("r20a"), seasonality, average return across months t-192, t-204, t-216, t-228, and t-240;
25. Rca ("rca"), R&D capital-to-assets;
26. Rdm ("rdm"), R&D expense-to-market;
27. Rdmq1 ("rdmq_1"), quarterly R&D expense-to-market, 1-month holding period;
28. Rdmq6 ("rdmq_6"), quarterly R&D expense-to-market, 6-month holding period;
29. Rdmq12 ("rdmq_12"), quarterly R&D expense-to-market, 12-month holding period;
30. Rdsq6 ("rdsq_6"), quarterly R&D expense-to-sales, 6-month holding period;
31. Rdsq12 ("rdsq_12"), quarterly R&D expense-to-sales, 12-month holding period;
32. Rer ("rer"), industry-adjusted real estate ratio;
33. Vcf1 ("vcf_1"), cash flow volatility, 1-month holding period
Frictions
Zip folders that contain all 10 frictions anomalies for a given frequency
1-way sorts: Daily Weekly (calendar) Weekly (Wednesday-to-Wednesday) Monthly Quarterly Annual
2-way sorts: Daily Weekly (calendar) Weekly (Wednesday-to-Wednesday) Monthly Quarterly Annual
Explanation of CSV filenames for individual frictions anomalies
1. beta1 ("beta_1"), market beta, 1-month holding period;
2. Dtv12 ("dtv_12"), dollar trading volume, 12-month holding period;
3. Isff1 ("isff_1"), idiosyncratic skewness estimated from the Fama-French 3-factor model, 1-month holding period;
4. Isq1 ("isq_1"), idiosyncratic skewness estimated from the q-factor model, 1-month holding period;
5. Ivff1 ("ivff_1"), idiosyncratic volatility estimated from the Fama-French 3-factor model, 1-month holding period;
6. Ivq1 ("ivq_1"), idiosyncratic volatility estimated from the q-factor model, 1-month holding period;
7. Me ("me"), the market equity;
8. Srev ("srev"), short-term reversal;
9. Sv1 ("sv_1"), systematic volatility, 1-month holding period;
10. Tv1 ("tv_1"), total volatility, 1-month holding period
References
Hou, Kewei, Haitao Mo, Chen Xue, and Lu Zhang, 2021, An augmented q-factor model with expected growth, Review of Finance 25 (1), 1-41. Editor's Choice. This article uses the set of significant anomalies in a large-scale empirical horse race among latest factor models in the sample from January 1967 onward. Slides | YouTube | Podcast
Hou, Kewei, Chen Xue, and Lu Zhang, 2020, Replicating anomalies, Review of Financial Studies 33 (5), 2019-2133. This article constructs all the anomalies posted on this Web page. Slides | YouTube | Podcast
We provide 199 anomalies, which are grouped into 6 categories, including momentum (42), value-versus-growth (32), investment (32), profitability (50), intangibles (33), and frictions (10). For a given anomaly, we offer value-weighted returns in percent for 1-way sorted portfolios (mostly deciles, with a few quantiles) and 2-way (3 by 5) independently sorted portfolios by interacting the anomaly with size. The sample is from 1967 to 2024. For sufficient coverage, some portfolios start later than January 1967.
We use NYSE breakpoints on a given anomaly variable. For size ("me" in filenames) in the 2-way sorts, we split stocks into micro-, small-, and big-cap portfolios. Microcaps are below the NYSE 20th percentile of the market equity, small caps are between the 20th and 50th percentile, and big caps are above the 50th percentile.
All the files are in CSV format. We provide the data in different frequencies, including daily ("daily" in filenames), weekly ("weekly," calendar, Friday close to Friday close), weekly ("weekly_w2w," Wednesday-to-Wednesday, Wednesday close to Wednesday close), monthly ("monthly"), quarterly ("quarterly"), and annual ("annual").
This spreadsheet details the recent performance of each category and its individual anomalies.
Momentum
Zip folders that contain all 42 momentum anomalies for a given frequency
1-way sorts: Daily Weekly (calendar) Weekly (Wednesday-to-Wednesday) Monthly Quarterly Annual
2-way sorts: Daily Weekly (calendar) Weekly (Wednesday-to-Wednesday) Monthly Quarterly Annual
Explanation of CSV filenames for individual momentum anomalies
1. Abr1 ("abr_1"), cumulative abnormal returns around earnings announcement dates, 1-month holding period;
2. Abr6 ("abr_6"), cumulative abnormal returns around earnings announcement dates, 6-month holding period;
3. Abr12 ("abr_12"), cumulative abnormal returns around earnings announcement dates, 12-month holding period;
4. Cim1 ("cim_1"), customer industries momentum, 1-month holding period;
5. Cim6 ("cim_6"), customer industries momentum, 6-month holding period;
6. Cim12 ("cim_12"), customer industries momentum, 12-month holding period;
7. Cm1 ("cm_1"), customer momentum, 1-month holding period;
8. Cm6 ("cm_6"), customer momentum, 6-month holding period;
9. Cm12 ("cm_12"), customer momentum, 12-month holding period;
10. dEf1 ("def_1"), changes in analyst earnings forecasts, 1-month holding period;
11. dEf6 ("def_6"), changes in analyst earnings forecasts, 6-month holding period;
12. dEf12 ("def_12"), changes in analyst earnings forecasts, 12-month holding period;
13. Ile1 ("ile_1"), industry lead-lag effect in earnings surprises, 1-month holding period;
14. Ilr1 ("ilr_1"), industry lead-lag effect in prior returns, 1-month holding period;
15. Ilr6 ("ilr_6"), industry lead-lag effect in prior returns, 6-month holding period;
16. Ilr12 ("ilr_12"), industry lead-lag effect in prior returns, 12-month holding period;
17. Im1 ("im_1"), industry momentum, 1-month holding period;
18. Im6 ("im_6"), industry momentum, 6-month holding period;
19. Im12 ("im_12"), industry momentum, 12-month holding period;
20. Nei1 ("nei_1"), the number of quarters with consecutive earnings increase, 1-month holding period;
21. 52w6 ("p52w_6"), 52-week high, 6-month holding period;
22. 52w12 ("p52w_12"), 52-week high, 12-month holding period;
23. R6_1 ("r6_1"), prior 6-month returns, 1-month holding period;
24. R6_6 ("r6_6"), prior 6-month returns, 6-month holding period;
25. R6_12 ("r6_12"), prior 6-month returns, 12-month holding period;
26. R11_1 ("r11_1"), prior 11-month returns, 1-month holding period;
27. R11_6 ("r11_6"), prior 11-month returns, 6-month holding period;
28. R11_12 ("r11_12"), prior 11-month returns, 12-month holding period;
29. Re1 ("re_1"), revisions in analyst earnings forecasts, 1-month holding period;
30. Re6 ("re_6"), revisions in analyst earnings forecasts, 6-month holding period;
31. Resid6_6 ("resid6_6"), 6-month residual momentum, 6-month holding period;
32. Resid6_12 ("resid6_12"), 6-month residual momentum, 12-month holding period;
33. Resid11_1 ("resid11_1"), 11-month residual momentum, 1-month holding period;
34. Resid11_6 ("resid11_6"), 11-month residual momentum, 6-month holding period;
35. Resid11_12 ("resid11_12"), 11-month residual momentum, 12-month holding period;
36. Rs1 ("rs_1"), revenue surprises, 1-month holding period;
37. Sim1 ("sim_1"), supplier industries momentum, 1-month holding period;
38. Sim12 ("sim_12"), supplier industries momentum, 12-month holding period;
39. Sm1 ("sm_1"), segment momentum, 1-month holding period;
40. Sm12 ("sm_12"), segment momentum, 12-month holding period;
41. Sue1 ("sue_1"), standard unexpected earnings, 1-month holding period;
42. Sue6 ("sue_6"), standard unexpected earnings, 6-month holding period
Value-versus-growth
Zip folders that contain all 32 value-versus-growth anomalies for a given frequency
1-way sorts: Daily Weekly (calendar) Weekly (Wednesday-to-Wednesday) Monthly Quarterly Annual
2-way sorts: Daily Weekly (calendar) Weekly (Wednesday-to-Wednesday) Monthly Quarterly Annual
Explanation of CSV filenames for individual value-versus-growth anomalies
1. Bm ("bm"), book-to-market equity;
2. Bmj ("bmj"), book-to-June-end market equity;
3. Bmq12 ("bmq_12"), quarterly book-to-market equity, 12-month holding period;
4. Cp ("cp"), cash flow-to-price;
5. Cpq1 ("cpq_1"), quarterly cash flow-to-price, 1-month holding period;
6. Cpq6 ("cpq_6"), quarterly cash flow-to-price, 6-month holding period;
7. Cpq12 ("cpq_12"), quarterly cash flow-to-price, 12-month holding period;
8. Dp ("dp"), dividend yield;
9. Dur ("dur"), equity duration;
10. Ebp ("ebp"), enterprise book-to-price;
11. Em ("em"), enterprise multiple;
12. Emq1 ("emq_1"), quarterly enterprise multiple, 1-month holding period;
13. Emq6 ("emq_6"), quarterly enterprise multiple, 6-month holding period;
14. Emq12 ("emq_12"), quarterly enterprise multiple, 12-month holding period;
15. Ep ("ep"), earnings-to-price;
16. Epq1 ("epq_1"), quarterly earnings-to-price, 1-month holding period;
17. Epq6 ("epq_6"), quarterly earnings-to-price, 6-month holding period;
18. Epq12 ("epq_12"), quarterly earnings-to-price, 12-month holding period;
19. Ir ("ir"), intangible return;
20. Nop ("nop"), net payout yield;
21. Ocp ("ocp"), operating cash flow-to-price;
22. Ocpq1 ("ocpq_1"), quarterly operating cash flow-to-price, 1-month holding period;
23. Op ("op"), payout yield;
24. Rev1 ("rev_1"), long-term reversal, 1-month holding period;
25. Rev6 ("rev_6"), long-term reversal, 6-month holding period;
26. Rev12 ("rev_12"), long-term reversal, 12-month holding period;
27. Sp ("sp"), sales-to-price;
28. Spq1 ("spq_1"), quarterly sales-to-price, 1-month holding period;
29. Spq6 ("spq_6"), quarterly sales-to-price, 6-month holding period;
30. Spq12 ("spq_12"), quarterly sales-to-price, 12-month holding period;
31. Vfp ("vfp"), analyst-based intrinsic value-to-market;
32. Vhp ("vhp"), Roe-based intrinsic value-to-market
Investment
Zip folders that contain all 32 investment anomalies for a given frequency
1-way sorts: Daily Weekly (calendar) Weekly (Wednesday-to-Wednesday) Monthly Quarterly Annual
2-way sorts: Daily Weekly (calendar) Weekly (Wednesday-to-Wednesday) Monthly Quarterly Annual
Explanation of CSV filenames for individual investment anomalies
1. Aci ("aci"), abnormal corporate investment;
2. Cei ("cei"), composite equity issuance;
3. Dac ("dac"), discretionary accruals;
4. dBe ("dbe"), changes in book equity;
5. dCoa ("dcoa"), changes in current operating assets;
6. dFin ("dfin"), changes in net financial assets;
7. dFnl ("dfnl"), changes in financial liabilities;
8. dIi ("dii"), percent changes in investment relative to industry;
9. dLno ("dlno"), changes in long-term net operating assets;
10. dLti ("dlti"), changes in long-term investments;
11. dNca ("dnca"), changes in non-current operating assets;
12. dNco ("dnco"), changes in net non-current operating assets;
13. dNoa ("dnoa"), changes in net operating assets;
14. dPia ("dpia"), changes in PPE and inventory scaled by lagged assets;
15. dWc ("dwc"), changes in net non-cash working capital;
16. I/A ("ia"), investment-to-assets (asset growth);
17. Iaq1 ("iaq_1"), quarterly investment-to-assets (asset growth), 1-month holding period;
18. Iaq6 ("iaq_6"), quarterly investment-to-assets (asset growth), 6-month holding period;
19. Iaq12 ("iaq_12"), quarterly investment-to-assets (asset growth), 12-month holding period;
20. Ig ("ig"), investment growth;
21. 2Ig ("ig2"), 2-year investment growth;
22. Ivc ("ivc"), inventory changes;
23. Ivg ("ivg"), inventory growth;
24. Ndf ("ndf"), net external debt financing;
25. Nxf ("nxf"), net external equity financing;
26. Noa ("noa"), net operating assets;
27. Nsi ("nsi"), net stock issues;
28. Oa ("oa"), operating accruals;
29. Pda ("pda"), percent discretionary accruals;
30. Poa ("poa"), percent operating accruals;
31. Pta ("pta"), percent total accruals;
32. Ta ("ta"), total accruals
Profitability
Zip folders that contain all 50 profitability anomalies for a given frequency
1-way sorts: Daily Weekly (calendar) Weekly (Wednesday-to-Wednesday) Monthly Quarterly Annual
2-way sorts: Daily Weekly (calendar) Weekly (Wednesday-to-Wednesday) Monthly Quarterly Annual
Explanation of CSV filenames for individual profitability anomalies
1. Ato ("ato"), assets turnover;
2. Atoq1 ("atoq_1"), quarterly assets turnover, 1-month holding period;
3. Atoq6 ("atoq_6"), quarterly assets turnover, 6-month holding period;
4. Atoq12 ("atoq_12"), quarterly assets turnover, 12-month holding period;
5. Cla ("cla"), cash-based operating profits-to-lagged assets;
6. Claq1 ("claq_1"), quarterly cash-based operating profits-to-lagged assets, 1-month holding period;
7. Claq6 ("claq_6"), quarterly cash-based operating profits-to-lagged assets, 6-month holding period;
8. Claq12 ("claq_12"), quarterly cash-based operating profits-to-lagged assets, 12-month holding period;
9. Cop ("cop"), operating cash flow-to-assets;
10. Cto ("cto"), capital turnover;
11. Ctoq1 ("ctoq_1"), quarterly capital turnover, 1-month holding period;
12. Ctoq6 ("ctoq_6"), quarterly capital turnover, 6-month holding period;
13. Ctoq12 ("ctoq_12"), quarterly capital turnover, 12-month holding period;
14. dRoa1 ("droa_1"), 4-quarter changes in return on assets, 1-month holding period;
15. dRoa6 ("droa_6"), 4-quarter changes in return on assets, 6-month holding period;
16. dRoe1 ("droe_1"), 4-quarter changes in return on equity, 1-month holding period;
17. dRoe6 ("droe_6"), 4-quarter changes in return on equity, 6-month holding period;
18. dRoe12 ("droe_12"), 4-quarter changes in return on equity, 12-month holding period;
19. Eg1 ("eg_1"), expected growth, 1-month holding period;
20. Eg6 ("eg_6"), expected growth, 6-month holding period;
21. Eg12 ("eg_12"), expected growth, 12-month holding period;
22. Fp6 ("fp_6"), failure probability, 6-month holding period;
23. Fq1 ("fq_1"), quarterly fundamental score, 1-month holding period;
24. Fq6 ("fq_6"), quarterly fundamental score, 6-month holding period;
25. Fq12 ("fq_12"), quarterly fundamental score, 12-month holding period;
26. Gla ("gla"), gross profits-to-lagged assets;
27. Glaq1 ("glaq_1"), quarterly gross profits-to-lagged assets, 1-month holding period;
28. Glaq6 ("glaq_6"), quarterly gross profits-to-lagged assets, 6-month holding period;
29. Glaq12 ("glaq_12"), quarterly gross profits-to-lagged assets, 12-month holding period;
30. Gpa ("gpa"), gross profits-to-assets;
31. Olaq1 ("olaq_1"), quarterly operating profits-to-lagged assets, 1-month holding period;
32. Olaq6 ("olaq_6"), quarterly operating profits-to-lagged assets, 6-month holding period;
33. Olaq12 ("olaq_12"), quarterly operating profits-to-lagged assets, 12-month holding period;
34. Oleq1 ("oleq_1"), quarterly operating profits-to-lagged book equity, 1-month holding period;
35. Oleq6 ("oleq_6"), quarterly operating profits-to-lagged book equity, 6-month holding period;
36. Oleq12 ("oleq_12"), quarterly operating profits-to-lagged book equity, 12-month holding period;
37. Opa ("opa"), operating profits-to-assets;
38. Ope ("ope"), operating profits-to-book equity;
39. Oq1 ("oq_1"), quarterly O-score, 1-month holding period;
40. Pmq1 ("pmq_1"), quarterly profit margin, 1-month holding period;
41. Rnaq1 ("rnaq_1"), quarterly return on net operating assets, 1-month holding period;
42. Rnaq6 ("rnaq_6"), quarterly return on net operating assets, 6-month holding period;
43. Rnaq12 ("rnaq_12"), quarterly return on net operating assets, 12-month holding period;
44. Roa1 ("roa_1"), return on assets, 1-month holding period;
45. Roa6 ("roa_6"), return on assets, 6-month holding period;
46. Roe1 ("roe_1"), return on equity, 1-month holding period;
47. Roe6 ("roe_6"), return on equity, 6-month holding period;
48. Sgq1 ("sgq_1"), quarterly sales growth, 1-month holding period;
49. Tbiq6 ("tbiq_6"), quarterly tax income-to-book income, 6-month holding period;
50. Tbiq12 ("tbiq_12"), quarterly tax income-to-book income, 12-month holding period
Intangibles
Zip folders that contain all 33 intangibles anomalies for a given frequency
1-way sorts: Daily Weekly (calendar) Weekly (Wednesday-to-Wednesday) Monthly Quarterly Annual
2-way sorts: Daily Weekly (calendar) Weekly (Wednesday-to-Wednesday) Monthly Quarterly Annual
Explanation of CSV filenames for individual intangibles anomalies
1. Adm ("adm"), advertising expense-to-market;
2. Alaq1 ("alaq_1"), quarterly asset liquidity scaled by 1-quarter-lagged total assets, 1-month holding period;
3. Almq1 ("almq_1"), quarterly asset liquidity scaled by 1-quarter-lagged market value of assets, 1-month holding period;
4. Almq6 ("almq_6"), quarterly asset liquidity scaled by 1-quarter-lagged market value of assets, 6-month holding period;
5. Almq12 ("almq_12"), quarterly asset liquidity scaled by 1-quarter-lagged market value of assets, 12-month holding period;
6. Dls1 ("dls_1"), disparity between long- and short-term earnings growth forecasts, 1-month holding period;
7. Eprd ("eprd"), earnings predictability;
8. Etl ("etl"), earnings timeliness;
9. Etr ("etr"), effective tax rate;
10. Hs ("hs"), industry concentration in sales;
11. Ioca ("ioca"), industry-adjusted organizational capital-to-assets;
12. Oca ("oca"), organizational capital-to-assets;
13. Ol ("ol"), operating leverage;
14. Olq1 ("olq_1"), quarterly operating leverage, 1-month holding period;
15. Olq6 ("olq_6"), quarterly operating leverage, 6-month holding period;
16. Olq12 ("olq_12"), quarterly operating leverage, 12-month holding period;
17. R1a ("r1a"), seasonality, return in month t-12;
18. R1n ("r1n"), seasonality, average return from month t-11 to t-1;
19. R[2,5]a ("r5a"), seasonality, average return across months t-24, t-36, t-48, and t-60;
20. R[2,5]n ("r5n"), seasonality, average return from month t-60 to t-13 except for months t-24, t-36, t-48, and t-60;
21. R[6,10]a ("r10a"), seasonality, average return across months t-72, t-84, t-96, t-108, and t-120;
22. R[6,10]n ("r10n"), seasonality, average return from month t-120 to t-61 except for months t-72, t-84, t-96, t-108, and t-120;
23. R[11,15]a ("r15a"), seasonality, average return across months t-132, t-144, t-156, t-168, and t-180;
24. R[16,20]a ("r20a"), seasonality, average return across months t-192, t-204, t-216, t-228, and t-240;
25. Rca ("rca"), R&D capital-to-assets;
26. Rdm ("rdm"), R&D expense-to-market;
27. Rdmq1 ("rdmq_1"), quarterly R&D expense-to-market, 1-month holding period;
28. Rdmq6 ("rdmq_6"), quarterly R&D expense-to-market, 6-month holding period;
29. Rdmq12 ("rdmq_12"), quarterly R&D expense-to-market, 12-month holding period;
30. Rdsq6 ("rdsq_6"), quarterly R&D expense-to-sales, 6-month holding period;
31. Rdsq12 ("rdsq_12"), quarterly R&D expense-to-sales, 12-month holding period;
32. Rer ("rer"), industry-adjusted real estate ratio;
33. Vcf1 ("vcf_1"), cash flow volatility, 1-month holding period
Frictions
Zip folders that contain all 10 frictions anomalies for a given frequency
1-way sorts: Daily Weekly (calendar) Weekly (Wednesday-to-Wednesday) Monthly Quarterly Annual
2-way sorts: Daily Weekly (calendar) Weekly (Wednesday-to-Wednesday) Monthly Quarterly Annual
Explanation of CSV filenames for individual frictions anomalies
1. beta1 ("beta_1"), market beta, 1-month holding period;
2. Dtv12 ("dtv_12"), dollar trading volume, 12-month holding period;
3. Isff1 ("isff_1"), idiosyncratic skewness estimated from the Fama-French 3-factor model, 1-month holding period;
4. Isq1 ("isq_1"), idiosyncratic skewness estimated from the q-factor model, 1-month holding period;
5. Ivff1 ("ivff_1"), idiosyncratic volatility estimated from the Fama-French 3-factor model, 1-month holding period;
6. Ivq1 ("ivq_1"), idiosyncratic volatility estimated from the q-factor model, 1-month holding period;
7. Me ("me"), the market equity;
8. Srev ("srev"), short-term reversal;
9. Sv1 ("sv_1"), systematic volatility, 1-month holding period;
10. Tv1 ("tv_1"), total volatility, 1-month holding period
References
Hou, Kewei, Haitao Mo, Chen Xue, and Lu Zhang, 2021, An augmented q-factor model with expected growth, Review of Finance 25 (1), 1-41. Editor's Choice. This article uses the set of significant anomalies in a large-scale empirical horse race among latest factor models in the sample from January 1967 onward. Slides | YouTube | Podcast
Hou, Kewei, Chen Xue, and Lu Zhang, 2020, Replicating anomalies, Review of Financial Studies 33 (5), 2019-2133. This article constructs all the anomalies posted on this Web page. Slides | YouTube | Podcast