Taming the Factor Zoo: New Evidence from China

Table 4

Anomalies by univariate characteristic sorting. This table displays the return properties of anomalies constructed by sorting on each of the 104 characteristics over the whole sample of July 2000 to December 2019. With monthly rebalancing, we sort all stocks by individual characteristics into 10 deciles, form value-weighted portfolio within each decile, and build a long-short spread portfolio using decile ten and one. For each portfolio, we report the monthly return means, standard deviations, and t-statistics in columns labeled “Mean,” “Std. dev,” and “t-Raw.” We also use various factor models to explain these anomalies and report corresponding t-statistics of alphas with Newey–West adjustment over 12 monthly lags, including the Fama–French 6-factor model [10], the Hou–Xue–Zhang q5-factor model [2], the Stambaugh–Yuan 4-factor model [21], the Daniel–Hirshleifer–Sun 3-factor model [22], and the Liu–Stambaugh–Yuan 4-factor model [15], in columns “t-FF6,” “t-Q5,” “t-SY4,” “t-DHS3,” and “t-LSY4,” respectively. Bold types denote values that are statistically significant at 95% confidence.

Anomaly	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)
	Mean (%)	Std. dev (%)	t-Raw	t-FF6	t-Q5	t-SY4	t-DHS3	t-LSY4
abr	0.85	4.74	2.92	2.75	1.89	2.97	0.09	2.41
abtur	1.12	5.91	3.92	3.98	3.5	3.15	5.35	0.16
age	0.01	4.07	0.05	0.77	0.52	0.8	0.92	0.5
alaq	0.86	4.21	3.34	3.59	1.71	2.2	2.55	1.33
almq	0.71	6.40	2	2.78	5.41	5.74	2.96	1.24
ami	0.81	6.63	1.62	3.89	1.96	1.27	2.5	0.59
amq	0.52	7.34	1.23	1.46	4.17	5.1	3.28	0.4
atoq	0.90	3.78	2.96	4.03	2.24	2.66	2.4	1.69
beta	0.53	6.39	1.46	1.91	0.92	1.82	0.27	0.14
beta_	0.26	6.57	0.67	1.86	0.98	1.78	0.31	1.27
betad	1.05	5.91	2.61	2.19	2.6	3.05	3.09	2.57
betafp	0.64	6.98	1.68	2.28	0.95	1.69	0.47	0
blq	0.05	5.11	0.14	0.53	0.82	2.13	0.35	0.32
bmj	0.21	4.87	0.62	0.44	1.6	2.78	1.07	0.32
bmq	0.59	7.22	1.43	2.22	4.7	5.21	3.43	0.36
cdi	0.04	3.44	0.18	0.09	1.15	0.91	0.64	0.69
cei	0.22	4.16	0.89	1.24	0.31	2.2	0.24	0.27
claq	0.15	4.51	0.56	0.28	0.09	1.17	0.72	0.29
cop	0.00	4.77	0	1.14	0.47	0.56	0.31	0.76
cpq	0.66	4.00	2.32	2.34	2.61	3.51	3.35	0.45
cs	0.15	5.30	0.5	0.17	0.27	1.54	0.09	1.11
cta	0.54	5.07	2	2.29	0.5	0.62	0.66	0.03
ctoq	0.63	4.08	2.64	3.31	1.52	2.27	1.74	1.08
cvd	0.95	4.95	2.95	3.68	1.82	2.25	1.42	1.16
cvt	0.65	4.98	1.8	2.23	1.28	1.02	0.52	0.94
dcoa	0.12	3.72	0.57	1.06	0.52	1	1.58	0.17
dcol	0.02	2.96	0.1	0.07	0.42	0.53	0.45	0.27
dgs	0.02	3.11	0.14	1.65	1.57	0.29	1.35	1.14
dmq	0.24	5.98	0.61	0.19	2.43	3.3	1.79	0.16
dnca	0.26	3.06	1.32	1.44	0.58	1.87	2.08	0.13
dnco	0.14	2.70	0.77	0.35	0.64	1.3	1.37	0.45
dnoa	0.23	3.35	1.04	0.96	0.72	1.48	1.17	0.17
dpia	0.07	3.37	0.36	0.29	0.7	0.25	1.22	1.22
droa	0.98	4.24	3.96	5.66	1.18	3.39	2.48	0.83
droe	1.10	4.15	4.98	6.32	1.34	4.46	3.11	1.12
dsa	0.37	2.62	2.19	2.26	1.58	1.83	1.58	1.25
dsi	0.16	2.41	1.02	0.63	0.33	0.76	0.69	0.28
dss	0.17	2.71	0.88	1.81	2	0.84	1.08	1.86
dtv	0.84	6.12	1.79	3.61	1.39	1.55	2.6	0.08
dwc	0.09	3.03	0.55	0.43	0.51	0.73	0.11	0.33
e11	0.40	4.72	1.07	0.84	0.2	0.68	0.28	1.37
e6	0.47	4.80	1.52	1.52	0.92	1.23	0.38	2.48
ebpq	1.15	7.53	2.88	3.22	5.4	5	3.32	1.8
emq	1.34	6.21	3.5	5.02	3.17	5.41	2.41	0.5
epq	1.27	6.07	3.53	4.88	2.84	5.22	2.48	0.32
etr	0.28	3.21	1.43	0.9	0.6	0.95	0.42	0.23
fpq	0.48	6.11	1.05	1.41	1.22	0.39	0.94	0.35
glaq	1.13	5.63	2.86	4.18	1.75	3.68	1.68	0.64
gpa	0.60	5.81	1.69	3.01	1.7	1.61	0.63	1.37
ia	0.12	3.77	0.62	0.8	0.47	1.26	1.23	0.38
iaq	0.31	4.20	1.37	2.82	0.91	0.27	0.02	1.37
ir	0.23	5.94	0.69	0.23	3.23	2.14	2.49	1.89
isc	0.31	3.68	1.38	1.06	2.07	1.02	0.95	1.91
isff	0.25	3.43	1.06	1.13	1.49	1.56	0.92	2.56
isq	0.27	3.60	1.2	1.43	2.18	2.24	0.91	2.51
iv	0.74	6.22	2.01	3.36	3.28	5.17	2.1	1.56
ivc	1.06	5.86	2.97	3.23	3.22	4.28	2.91	0.08
ivff	1.19	5.70	3.17	3.7	4.05	4.47	2.94	0.56
ivg	0.09	2.99	0.62	0.9	0.42	1.38	1.29	0.82
ivq	1.15	5.79	2.92	3.22	3.59	4.14	2.7	0.61
kzq	0.06	4.41	0.22	0.64	0.18	0.07	0.4	0.31
mdr	0.73	5.51	2.32	2.83	2.24	2.93	2.08	1.44
me	0.30	6.56	0.66	0.8	2.69	0.81	1.23	0.24
ndpq	0.42	6.25	1.12	1.13	3.13	3.04	1.52	1.59
noa	0.50	3.68	2.72	3.89	2.43	2.56	1.92	0.51
nopq	0.40	4.93	1.36	1.87	2.4	4.41	2.03	0.01
nsi	0.17	3.31	0.94	0.35	0.02	1.4	1.91	0.11
ocpq	0.76	5.27	3.02	3.4	4.08	5.42	3.04	0.19
olaq	0.75	6.27	1.71	3.15	0.5	3.33	0.59	0.19
oleq	0.89	6.31	2.12	4.01	0.84	3.51	0.78	0.13
olq	0.32	3.64	1.38	1.35	0.83	0.85	1.21	0.2
opa	0.11	5.84	0.23	0.26	0.62	0.75	0.74	0.29
ope	0.25	6.00	0.61	0.86	1.3	1.81	0.43	1.13
opq	0.36	5.64	1.16	1.31	2.53	4.06	1.66	0.24
oq	0.68	4.73	1.99	4.49	2.67	2.69	1.2	1.28
pmq	0.87	5.19	2.58	4.64	1.3	4.11	1.43	1.29
poa	0.12	3.61	0.81	0.69	0.32	1.39	0	0.44
pps	0.77	7.20	1.74	1.56	3.7	5.11	4.64	0.73
Ra25	0.66	4.19	2.69	3.03	2.7	2.9	2.58	2.77
Rn25	0.77	6.61	2.21	1.25	2.16	3.48	2.89	1.85
r11	0.68	6.64	1.39	1.41	1.08	0.28	0.97	0.88
r1a	0.68	4.64	2.19	2.81	1.19	1.19	1.38	1.11
r1n	0.07	6.76	0.14	1.17	2.25	1.28	2.21	0.96
r6	0.25	6.49	0.56	0.1	0.74	0.32	1.67	1.91
rev	0.40	5.38	1.44	0.97	2.04	2.29	2.4	1.8
rnaq	1.28	5.51	3.89	5.04	1.56	5.83	2.2	0.62
roa	1.34	5.65	3.5	4.97	2.38	5.51	1.98	1.4
roe	1.51	5.71	4.41	5.62	2.29	6.29	2.35	0.98
rs	0.57	3.61	2.05	1.46	0.18	1.53	0.39	0.3
sgq	0.96	3.70	4.28	5.2	1.74	3.26	2.64	1.33
size	0.66	7.06	1.28	3.41	1.79	0.9	2.39	1.51
spq	1.16	6.55	2.59	3.12	3.1	5.3	3.11	0.52
sr	0.11	4.68	0.33	0.56	0.4	0.34	0.12	0.1
srev	0.91	6.29	2.68	3.14	2.81	2.35	3.4	0.5
sue	1.28	3.81	5.5	6.09	2.05	4.95	3.16	1.64
tail	0.33	3.75	1.45	1.88	0.05	0.89	0.84	0.7
tanq	0.23	3.89	1.01	1.91	0.72	0.41	0.39	0.3
tbiq	0.30	3.14	1.28	1.56	1.54	2.04	1.21	1.1
tes	1.00	3.54	4.77	6.03	2.27	4.07	2.73	1.7
ts	0.64	3.90	3.2	2.32	2.07	2.45	3.23	0.74
tur	0.61	6.88	1.64	3.9	3.6	5.04	1.49	1.52
tv	0.80	6.41	2.06	2.52	2.15	3.08	1.54	0.33
wwq	0.07	7.12	0.16	0.45	2.77	2.79	0.21	0.08
zq	0.05	6.47	0.13	0.7	1.51	2.79	0.98	0.12