- 208 firm-level characteristics (1GB)
- These omit size and price characteristics, which can be downloaded from WRDS.
- Returns for 210 long-short portfolios
Additional “Test Asset” Portfolios
- Returns for N portfolios for each predictor based on the original papers
- For each predictor, we generate 5 portfolios if our benchmark is quintiles, 10 portfolios if our benchmark is deciles, 2 if binary, etc.
- Returns for 10 portfolios for each non-binary predictor formed by decile sorts.
- Portfolio weights based on the original papers (typically equal-weighted), all stock breakpoints
- Value-weighted returns, all stock breakpoints
- Value-weighted returns, NYSE breakpoints
- Caution: some predictors are not well-behaved enough to produce deciles
Additional Data for Making the Extended Dataset (Not Recommended)
- But if you must, here are 104 additional firm-level characteristics that may or may not predict returns (0.7 GB)
- Here are 1,050 additional portfolios, mostly made by altering the rebalancing frequency of other portfolios.