Supplement to Taming the Factor Zoo

Transcription

1 Supplement to Taming the Factor Zoo Guanhao Feng Booth School of Business University of Chicago Stefano Giglio Booth School of Business University of Chicago Dacheng Xiu Booth School of Business University of Chicago This Version: April 6, 2017 Abstract This supplemental appendix provides additional tables and references. Address: 5807 S Woodlawn Avenue, Chicago, IL 60637, USA. address: guanhao.feng@chicagobooth.edu. Address: 5807 S Woodlawn Avenue, Chicago, IL 60637, USA. address: stefano.giglio@chicagobooth.edu. Address: 5807 S Woodlawn Avenue, Chicago, IL 60637, USA. address: dacheng.xiu@chicagobooth.edu. 1

2 Table 1: Factor Zoo id Description Description Average S.D. Ann. SR Reference 1 V Excess Market Return 0.63% 4.45% 49.29% Sharpe (1964) 2 T Beta 0.22% 5.69% 13.41% Fama and MacBeth (1973) 3 T Beta squared 0.22% 5.69% 13.61% Fama and MacBeth (1973) 4 V Earnings to price 0.37% 4.64% 27.97% Basu (1977) 5 V Dividend to price 0.11% 3.69% 10.59% Litzenberger and Ramaswamy (1982) 6 M Unexpected quarterly earnings 0.20% 1.64% 41.19% Rendleman et al. (1982) 7 T Change in forecasted EPS 0.34% 1.51% 78.96% Hawkins et al. (1984) 8 V Long-Term Reversal 0.18% 2.52% 24.44% Bondt and Thaler (1985) 9 V Forecasted Growth in 5-year EPS 0.00% 5.11% 0.13% Bauman and Dowen (1988) 10 V Leverage 0.27% 4.00% 23.22% Bhandari (1988) 11 T Bid-ask spread 0.14% 6.31% 7.81% Amihud and Mendelson (1989) 12 IN Cash flow to debt 0.23% 3.33% 24.30% Ou and Penman (1989) 13 IN Current ratio 0.13% 3.08% 14.54% Ou and Penman (1989) 14 IN % change in current ratio -0.01% 1.09% -2.38% Ou and Penman (1989) 15 IN % change in quick ratio 0.01% 1.14% 3.85% Ou and Penman (1989) 16 IN % change sales-to-inventory 0.08% 0.94% 29.12% Ou and Penman (1989) 17 IN Quick ratio 0.11% 3.15% 12.35% Ou and Penman (1989) 18 IN Sales to cash -0.09% 2.80% % Ou and Penman (1989) 19 IN Sales to inventory 0.11% 2.06% 18.91% Ou and Penman (1989) 20 IN Sales to receivables 0.22% 1.70% 44.22% Ou and Penman (1989) 21 M 12-month momentum 0.03% 3.92% 3.08% Jegadeesh (1990) 22 V Depreciation / PP&E 0.34% 3.52% 33.38% Holthausen and Larcker (1992) 23 V % change in depreciation 0.08% 1.19% 23.02% Holthausen and Larcker (1992) 24 T Small Minus Big 0.11% 3.05% 12.73% Fama and French (1993) 25 V High Minus Low 0.28% 2.98% 32.80% Fama and French (1993) 26 T Short-Term Reversal 0.28% 3.36% 29.18% Jegadeesh and Titman (1993) 27 M 1-month momentum 0.27% 2.99% 31.61% Jegadeesh and Titman (1993) 28 M 36-month momentum 0.16% 3.55% 15.79% Jegadeesh and Titman (1993) 29 M 6-month momentum 0.29% 2.87% 35.38% Jegadeesh and Titman (1993) 30 V Sales growth 0.25% 1.73% 49.55% Lakonishok et al. (1994) 31 V Dividend initiation 0.21% 2.53% 28.19% Michaely et al. (1995) 32 V Dividend Omission 0.13% 2.12% 20.74% Michaely et al. (1995) 33 T New equity issue 0.61% 3.20% 65.86% Loughran and Ritter (1995) Note. The factor zoo contains 112 tradable and two non-tradable factors for monthly data from July 1980 to December We only use 105 of them in the empirical analysis because of the missing value issue. In addition to those publicly available factors from the authors, for all other firm characteristics listed, we follow the Fama-French portfolio sorting rule and construct the long-short portfolio spreads (top 30% - bottom 30% or 1-0 dummy difference) based on the security sorting on the previous June. For factor classification, M is Momentum, V is Value-versus-Growth, I is Investment, P is Profitability, IN is Intangibles, and T is Trading Frictions. 2

3 Table 2: Factor Zoo (continued) id Description Description Average S.D. Ann. SR Reference 34 I Working capital accruals 0.29% 1.74% 56.88% Sloan (1996) 35 V Sales to price 0.65% 2.95% 76.46% Barbee Jr et al. (1996) 36 M Momentum 0.63% 4.55% 48.33% Carhart (1997) 37 IN Industry adjusted % change in capital expenditures 0.03% 1.44% 7.95% Abarbanell and Bushee (1998) 38 IN % change in gross margin - % change in sales 0.15% 1.29% 39.02% Abarbanell and Bushee (1998) 39 IN % change in sales - % change in inventory 0.08% 0.92% 28.54% Abarbanell and Bushee (1998) 40 IN % change in sales - % change in A/R 0.11% 0.93% 40.33% Abarbanell and Bushee (1998) 41 IN % change in sales - % change in SG&A 0.02% 1.36% 5.86% Abarbanell and Bushee (1998) 42 T Share turnover 0.49% 4.28% 39.58% Datar et al. (1998) 43 M Industry momentum 0.13% 3.60% 12.56% Moskowitz and Grinblatt (1999) 44 M Number of earnings increases 0.11% 0.86% 44.47% Barth et al. (1999) 45 V Industry-adjusted book to market 0.41% 2.11% 67.11% Asness et al. (2000) 46 V Industry-adjusted cash flow to price ratio 0.31% 1.83% 58.67% Asness et al. (2000) 47 P Industry-adjusted change in employees 0.15% 1.30% 40.82% Asness et al. (2000) 48 T Industry-adjusted size 0.00% 2.27% -0.46% Asness et al. (2000) 49 P Financial statements score 0.21% 1.99% 36.57% Piotroski (2000) 50 T Dollar trading volume 0.37% 3.83% 33.45% Chordia et al. (2001) 51 IN Number of analysts covering stock 0.12% 3.70% 11.42% Elgers et al. (2001) 52 T Scaled earnings forecast 0.70% 4.17% 58.10% Elgers et al. (2001) 53 T Volatility of liquidity (dollar trading volume) 0.34% 2.78% 42.16% Chordia et al. (2001) 54 T Volatility of liquidity (share turnover) 0.29% 3.79% 26.40% Chordia et al. (2001) 55 I Change in inventory 0.20% 1.29% 53.77% Thomas and Zhang (2002) 56 I Change in tax expense 0.02% 1.40% 5.07% Thomas and Zhang (2002) 57 T Dispersion in forecasted EPS 0.18% 3.99% 15.62% Diether et al. (2002) 58 T Illiquidity 0.28% 3.88% 25.33% Amihud (2002) 59 T Liquidity 0.32% 5.80% 18.88% Pástor and Stambaugh (2003) 60 I Growth in long term net operating assets 0.40% 1.57% 89.12% Fairfield et al. (2003) 61 T Idiosyncratic return volatility 0.24% 6.62% 12.35% Ali et al. (2003) 62 V Cash flow to price ratio 0.43% 4.25% 34.76% Desai et al. (2004) 63 I Corporate investment 0.14% 1.09% 43.21% Titman et al. (2004) 64 I R&D increase 0.19% 3.08% 21.17% Eberhart et al. (2004) 65 IN Earnings volatility 0.04% 5.05% 3.08% Francis et al. (2004) 66 V Tax income to book income 0.17% 2.82% 20.45% Lev and Nissim (2004) 67 IN # years since first Compustat coverage 0.29% 2.88% 34.87% Jiang et al. (2005) 68 I Growth in common shareholder equity 0.24% 2.00% 41.05% Richardson et al. (2005) 69 I Growth in long-term debt 0.38% 1.22% % Richardson et al. (2005) 70 P Financial statement score 0.16% 2.04% 26.68% Mohanram (2005) 71 IN Price delay 0.05% 1.69% 11.06% Hou and Moskowitz (2005) 72 M Change in 6-month momentum 0.31% 2.08% 51.76% Gettleman and Marks (2006) 73 I Growth in capital expenditures 0.15% 1.44% 36.03% Anderson and Garcia-Feijoo (2006) 74 IN Industry sales concentration 0.05% 2.20% 8.26% Hou and Kimmel (2006) 75 I R&D to market capitalization 0.75% 4.34% 59.94% Guo et al. (2006) 76 I R&D to sales 0.26% 5.70% 15.78% Guo et al. (2006) 77 T Return volatility 0.22% 5.80% 13.40% Ang et al. (2006) 3

4 Table 3: Factor Zoo (continued) id Description Description Average S.D. Ann. SR Reference 78 T Zero trading days 0.54% 4.03% 46.14% Liu (2006) 79 T Change in #analyst 0.09% 1.28% 23.57% Sadka and Scherbina (2007) 80 P Return on invested capital 0.29% 3.92% 25.40% Brown and Rowe (2007) 81 IN Debt capacity/firm tangibility 0.11% 3.02% 12.53% Almeida and Campello (2007) 82 M Abnormal earnings announcement volume 0.01% 1.26% 2.37% Lerman et al. (2008) 83 I Asset growth 0.46% 1.84% 86.25% Cooper et al. (2008) 84 P Industry-adjusted change in asset turnover 0.11% 0.81% 47.77% Soliman (2008) 85 I Change in shares outstanding 0.41% 2.22% 64.13% Pontiff and Woodgate (2008) 86 P Industry-adjusted change in profit margin 0.01% 1.36% 3.56% Soliman (2008) 87 M Earnings announcement return 0.17% 1.12% 54.06% Brandt et al. (2008) 88 V Cash productivity 0.42% 2.96% 49.73% Chandrashekar and Rao (2009) 89 M Revenue surprise -0.06% 1.75% % Kama (2009) 90 T Sin stocks 0.45% 3.86% 39.94% Hong and Kacperczyk (2009) 91 T Cash flow volatility 0.31% 3.68% 29.20% Huang (2009) 92 IN Absolute accruals 0.04% 2.65% 4.88% Bandyopadhyay et al. (2010) 93 IN Capital expenditures and inventory 0.37% 1.78% 72.19% Chen and Zhang (2010) 94 T Accrual volatility 0.35% 3.65% 32.80% Bandyopadhyay et al. (2010) 95 V Real estate holdings 0.07% 2.73% 9.33% Tuzel (2010) 96 P Return on assets 0.18% 3.86% 15.75% Balakrishnan et al. (2010) 97 IN Percent accruals 0.29% 1.60% 62.97% Hafzalla et al. (2011) 98 T Maximum daily return 0.15% 4.94% 10.28% Bali et al. (2011) 99 IN Cash holdings 0.30% 3.79% 27.71% Palazzo (2012) 100 V Quality Minus Junk 0.49% 2.54% 66.98% Asness et al. (2014) 101 P Gross profitability 0.29% 2.28% 44.14% Novy-Marx (2013) 102 IN Organizational capital 0.51% 3.02% 59.07% Eisfeldt and Papanikolaou (2013) 103 T AEM Leverage Factor Adrian et al. (2014) 104 I Investment 0.38% 1.92% 67.82% Hou et al. (2014) 105 P Profitability 0.59% 2.61% 77.78% Hou et al. (2014) 106 T Betting Against Beta 0.96% 3.62% 91.52% Frazzini and Pedersen (2014) 107 I Employee growth rate 0.24% 1.81% 45.88% Belo et al. (2014) 108 P Robust Minus Weak 0.38% 2.33% 56.02% Fama and French (2015) 109 I Conservative Minus Aggressive 0.30% 2.03% 51.52% Fama and French (2015) 110 T Intermediary Capital Risk He et al. (2016) 111 T Intermediary Investment Return 1.14% 6.77% 58.34% He et al. (2016) 112 IN Convertible Debt Indicator 0.27% 1.45% 63.28% Valta (2016) 113 IN Secured Debt -0.02% 2.87% -1.91% Valta (2016) 114 IN Secured Debt Indicator 0.01% 2.21% 1.51% Valta (2016) 4

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