Vignette: q-factors by Hou, Mo, Xue, and Zhang

[JustinMShea]

Introduction

This issue we will reproduce work from the following paper:

Hou, Kewei, Haitao Mo, Chen Xue, and Lu Zhang, (2019), Which factors? Review of Finance 23 (1), 1-35. This article extends the q-factors series backward from January 1972 to January 1967.

Data

q-factors: http://global-q.org/factors.html

Factor returns and benchmark portfolio returns in CSV files in different frequencies in the 1967-2019 sample. The frequencies include daily, weekly (calendar, Friday close to Friday close), weekly (Wednesday-to-Wednesday, Wednesday close to Wednesday close), monthly, quarterly, and annual.

portfolios: http://global-q.org/testingportfolios.html

185 anomalies, which are grouped into 6 categories, including:

• momentum (40)
• value-versus-growth (32)
• investment (29)
• profitability (44)
• intangibles (30)
• frictions (10)

For a given anomaly, we offer value-weighted returns in percent for one-way deciles and two-way (3 by 5) independently sorted portfolios by interacting the anomaly with size. The sample is from 1967 to 2019. For sufficient coverage, some portfolios start later than January 1967.

We use NYSE breakpoints on a given anomaly variable. For size in the two-way sorts, we split stocks into micro-, small-, and big-cap portfolios. Microcaps are below the NYSE 20th percentile of the market equity, small caps are between the 20th and 50th percentile, and big caps are above the 50th percentile.

All the files are in CSV format. The authors provide the data in different frequencies, including daily, weekly (calendar, Friday close to Friday close), weekly (Wednesday-to-Wednesday, Wednesday close to Wednesday close), monthly, quarterly, and annual