Discrete Dynamics in Nature and Society

Research Article

Taming the Factor Zoo: New Evidence from China

Table 1

List of characteristics. This table lists the acronyms, names, categories, and updating frequencies of 104 characteristics we consider in our empirical analysis. We build these characteristics using both trading and financial data from China Stock Market & Accounting Research Database (CSMAR), accessible at Wharton Research Data Service (WRDS). The inclusion of characteristics, construction details, and classification follow Hou et al. [9], recognizing the discrepancies between accounting standards in China and US GAAP.
VarDefinitionCategoryFrequency
abrCumulative abnormal returns around earnings announcement datesMomentumQuarterly
abturAbnormal turnoverTrading frictionsMonthly
ageFirm ageIntangibleMonthly
alaqAsset liquidity scaled by 1-quarter-lagged total assetsIntangibleQuarterly
almqAsset liquidity scaled by 1-quarter-lagged market value of assetsIntangibleQuarterly
amqAssets-to-marketValue versus growthQuarterly
amiAbsolute return-to-volumeTrading frictionsMonthly
atoqReturn on quarterly assets turnoverProfitabilityQuarterly
betaMarket betaTrading frictionsMonthly
beta_Downside betaTrading frictionsMonthly
betadThe dimson betaTrading frictionsMonthly
betafpThe Frazzini–Pedersen betaTrading frictionsMonthly
blqQuarterly book leverageProfitabilityQuarterly
bmBook-to-market equityValue versus growthAnnually
bmjBook-to-june-end market equityValue versus growthAnnually
bmqQuarterly book-to-market equityValue versus growthQuarterly
cdiComposite debt issuanceInvestmentAnnually
ceiComposite debt issuanceInvestmentAnnually
claqQuarterly cash-based operating profits-to-lagged assetsProfitabilityQuarterly
copCash-based operating profitabilityProfitabilityAnnually
cpqCash flow to priceValue versus growthQuarterly
csCoskewnessTrading frictionsMonthly
ctaCash to assetsIntangibleAnnually
ctoqCapital turnoverProfitabilityQuarterly
cvdCoefficient of variation of trading volumeTrading frictionsMonthly
cvtCoefficient of variation of share turnoverTrading frictionsMonthly
dcoaChanges in current operating assetsInvestmentAnnually
dcolChanges in current operating liabilitiesInvestmentAnnually
dgsChange in gross margin minus change in salesIntangibleAnnually
dmqDebt to marketValue versus growthAnnually
dncaChanges in noncurrent assetsInvestmentAnnually
dncoChanges in net noncurrent operating assetsInvestmentAnnually
dnoaChanges in net operating assetsInvestmentAnnually
dpiaChanges in ppe and inventory to assetsInvestmentAnnually
droa4-quarter change in return on assetsProfitabilityQuarterly
droe4-quarter change in return on equityProfitabilityQuarterly
dsaChange in sales minus change in accounts receivableIntangibleAnnually
dsichange in sales minus change in inventoryIntangibleAnnually
dssChange in sales minus change in sg&aIntangibleAnnually
dtvTrading volumeTrading frictionsMonthly
dwcChanges in net noncash working capitalInvestmentAnnually
e66-month residual momentumMomentumMonthly
e1111-month residual momentumMomentumMonthly
ebpqEnterprise book-to-priceValue versus growthAnnually
emqEnterprise multipleValue versus growthAnnually
epqEarnings to priceValue versus growthQuarterly
etrEffective tax rateIntangibleAnnually
fpqFailure probabilityProfitabilityQuarterly
glaqGross profits-to-lagged assetsProfitabilityAnnually
gpaGross profits to assetsProfitabilityAnnually
iaInvestment to assetsInvestmentAnnually
iaqQuarterly investment to assetsInvestmentQuarterly
irIntangible returnValue versus growthAnnually
iscIdiosyncratic skewness per the CAPMTrading frictionsMonthly
isffIdiosyncratic skewness per the FF3 modelTrading frictionsMonthly
isqIdiosyncratic skewness per the q-factor modelTrading frictionsMonthly
ivIdiosyncratic volatilityTrading frictionsMonthly
ivqIdiosyncratic volatility per the q-factor modelTrading frictionsMonthly
ivffIdiosyncratic volatility per the FF3 modelTrading frictionsMonthly
ivgInventory growthInvestmentAnnually
kzqFinancial constraints (the Kaplan–Zingales index)IntangibleQuarterly
mdrMaximum daily returnTrading frictionsMonthly
meMarket equityTrading frictionsAnnually
ndpqQuarterly net debt to priceValue versus growthQuarterly
noaNet operating assetsInvestmentAnnually
nopqQuarterly net payout yieldValue versus growthQuarterly
nsiNet stock issuesInvestmentAnnually
ocpqOperating cash flow to priceValue versus growthQuarterly
olaqOperating profits-to-lagged assetsProfitabilityQuarterly
oleqOperating profits-to-lagged equityProfitabilityQuarterly
olqQuarterly operating leverageIntangibleQuarterly
opaOperating profits to assetsProfitabilityAnnually
opeOperating profits to equityProfitabilityAnnually
opqQuarterly payout yieldValue versus growthQuarterly
oOhlson’s o-scoreProfitabilityQuarterly
pmqQuarterly return on profit marginProfitabilityQuarterly
poaPercent operating accrualsInvestmentAnnually
ppsShare priceTrading frictionsMonthly
ra25Seasonality (average return over months t-24, t-36, t-48, and t-60)IntangibleMonthly
rn25Seasonality (average return from month t-60 to t-13)IntangibleMonthly
r1aSeasonality (return in month t-12)IntangibleMonthly
r1nSeasonality (average return from month t-11 to t-1)IntangibleMonthly
r6Prior 6-month returnsMomentumMonthly
r11Prior 11-month returnsMomentumMonthly
revReversalValue versus growthMonthly
rnaqReturn on net operating assetsProfitabilityAnnually
roaReturn on assetsProfitabilityQuarterly
roeReturn on equityProfitabilityQuarterly
rsRevenue surprisesMomentumQuarterly
sgqSales growthValue versus growthAnnually
sizeFirm sizeTrading frictionsMonthly
spqSales to priceValue versus growthQuarterly
sr5-year sales growth rankValue versus growthAnnually
srevShort-term reversalTrading frictionsMonthly
sueStandardized unexpected earningsMomentumQuarterly
tailTail riskTrading frictionsMonthly
tanqTangibilityIntangibleAnnually
tbiqTaxable income-to-book incomeProfitabilityQuarterly
tesTax expense surprisesMomentumQuarterly
tsTotal skewnessTrading frictionsMonthly
turShare turnoverTrading frictionsMonthly
tvTotal volatilityTrading frictionsMonthly
wwqThe whited-Wu indexIntangibleQuarterly
zqAltman’s z-scoreProfitabilityQuarterly