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Global Factor Data

Global Factor Data

Global Factor Data

Global Factor Data

Monthly stock-level characteristics data can be downloaded from WRDS.

Below is the list of

Click on the name(s) to see performance of the corresponding monthly capped value weighted factor(s) in US over time.

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Low
Leverage

Low Risk

Momentum

Profit
Growth

Profitability

Quality

Seasonality

Size

Short-Term Reversal

Value

Abnormal corporate investment

Altman
Z-score

Amihud
Measure

Asset Growth

Asset tangibility

Asset
turnover

Assets-to-market

Book
leverage

Book-to-market enterprise value

Book-to-market equity

CAPEX growth (1 year)

CAPEX growth (2 years)

CAPEX growth (3 years)

Capital turnover

Cash flow volatility

Cash-based operating profits-to-book
assets

Cash-based operating
profits-to-lagged book assets

Cash-to-assets

Change gross margin minus change sales

Change in common equity

Change in current operating assets

Change in current operating liabilities

Change in current operating working
capital

Change in financial liabilities

Change in long-term investments

Change in long-term net operating
assets

Change in net financial assets

Change in net noncurrent operating
assets

Change in net operating assets

Change in noncurrent operating assets

Change in noncurrent operating
liabilities

Change in operating cash flow to assets

Change in quarterly return on assets

Change in quarterly return on equity

Change in short-term investments

Change PPE and Inventory

Change sales minus change Inventory

Change sales minus change receivables

Change sales minus change SG&A

Coefficient of variation for
dollar trading volume

Coefficient of variation for share
turnover

Coskewness

Current price to high price over last
year

Debt-to-market

Dimson beta

Dividend yield

Dollar trading volume

Downside beta

Earnings persistence

Earnings variability

Earnings volatility

Earnings-to-price

Ebitda-to-market enterprise value

Equity
duration

Equity net payout

Firm age

Frazzini-Pedersen market beta

Free cash flow-to-price

Gross profits-to-assets

Gross profits-to-lagged assets

Growth in book debt (3 years)

Highest 5 days of return

Highest 5 days of return scaled by
volatility

Hiring
rate

Idiosyncratic skewness from the CAPM

Idiosyncratic
skewness from the Fama-French 3-factor model

Idiosyncratic skewness from the
q-factor model

Idiosyncratic volatility from
the CAPM (21 days)

Idiosyncratic volatility from
the CAPM (252 days)

Idiosyncratic
volatility from the Fama-French 3-factor model

Idiosyncratic volatility from
the q-factor model

Intrinsic value-to-market

Inventory change

Inventory growth

Kaplan-Zingales index

Labor force efficiency

Liquidity of book assets

Liquidity of market assets

Long-term reversal

Market
Beta

Market correlation

Market Equity

Maximum daily return

Mispricing factor: Management

Mispricing factor: Performance

Net debt issuance

Net debt-to-price

Net equity issuance

Net operating assets

Net
payout yield

Net stock issues

Net total issuance

Number of consecutive
quarters with earnings increases

Number of zero
trades with turnover as tiebreaker (1 month)

Number of zero
trades with turnover as tiebreaker (12 months)

Number of zero
trades with turnover as tiebreaker (6 months)

Ohlson
O-score

Operating accruals

Operating cash flow to assets

Operating cash flow-to-market

Operating leverage

Operating profits-to-book assets

Operating profits-to-book equity

Operating profits-to-lagged book assets

Operating profits-to-lagged book equity

Payout
yield

Percent operating accruals

Percent total accruals

Pitroski F-score

Price momentum t-12 to t-1

Price momentum t-12 to t-7

Price momentum t-3 to t-1

Price momentum t-6 to t-1

Price momentum t-9 to t-1

Price per
share

Profit
margin

Quality minus Junk: Composite

Quality minus Junk: Growth

Quality minus Junk: Profitability

Quality minus Junk: Safety

Quarterly return on assets

Quarterly return on equity

R&D capital-to-book assets

R&D-to-market

R&D-to-sales

Residual momentum t-12 to t-1

Residual momentum t-6 to t-1

Return
on equity

Return volatility

Sales Growth (1 quarter)

Sales Growth (1 year)

Sales Growth (3 years)

Sales-to-market

Share turnover

Short-term reversal

Standardized earnings surprise

Tax expense surprise

Taxable income-to-book income

The high-low bid-ask spread

Total accruals

Total
skewness

Year 1-lagged return, annual

Years 2-5 lagged returns, annual

Years 2-5 lagged returns, nonannual

Years 6-10 lagged returns, annual

Years 11-15 lagged returns, annual

Years 11-15 lagged returns, nonannual

Years 16-20 lagged returns, annual

Years 16-20 lagged returns, nonannual

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