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

WRDS JKP Stock Characteristics via web interface WRDS JKP Stock Characteristics via Python WRDS JKP Stock Characteristics via R
Below is the list of 153 Characteristics in “Is There a Replication Crisis in Finance?” Journal of Finance (2023)
Click on the name(s) to see performance of the corresponding monthly capped value weighted factor(s) in US over time.
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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