Description Usage Format Details DanielHirshleiferSun ThreeFactors Construction RF variable MKT.RF factor PEAD factor FIN factor Source References Examples
DHS3.monthly
is the DanielHirshleiferSun (2020) threefactors monthly data
series on U.S. stock market from 197207 to 201812.
1  data("DHS3.monthly")

An xts
object containing observations of DanielHirshleiferSun (2020)
threefactors data set on the U.S. Stock Market.
Frequency: Monthly.
Date Range: 197207 to 201812.
Data updated: 20200825 20:48:48 CEST.
RF: A numeric. The riskfree rate on 1month U.S. TBill. See 'RF variable' section below.
MKT.RF: A numeric. The market portfolio proxy return net of riskfree rate factor. See 'MKT.RF factor' section below.
PEAD: A numeric. The postearnings announcement drift behavioral mispricing factor. See 'PEAD factor' section below.
FIN: A numeric. The financing behavioral mispricing factor. See 'FIN factor' section below.
The object consists of 558 rows and 2 columns.
In addition to column definitions, this section contains a glimpse into factors construction and their underlying variables.
DanielHirshleiferSun (2020) factors construction is the following procedure:
First, all NYSE, AMEX, and NASDAQ common stocks (CRSP 10 or 11 share codes, excluding financial firms and firms with negative book equity).
Second, at June end firms are assigned to one of two size groups ("small" and "big"), depending on their ME being below or above the NYSE median size breakpoint.
Finally, firms are also independently sorted into one of three financing groups ("low", "middle", "high") based on: either stocks' 1year NSI and 5year CSI financing measures rankings for the FIN factor, or the 4day cumulative abnormal return around the most recent quarterly earnings announcement date (CAR) for the PEAD factor. Both sorts are with respect to NYSE 20th and 80th percentiles breakpoints.
The RF
variable refers to the riskfree rate. It depends on the period been
considered and on the country. For example, for U.S. monthly data series is the
one month TBill return.
The RF
data series distributed by K. R. French with the FamaFrench factors
data are usually obtained from Ibbotson Associates Inc. (Morningstar).
With MKT.RF
we indicate the excess return on the market portfolio return proxy,
net of the riskfree rate RF calculated on the same period t, that is
MKT.RF = MKT  RF
or, as it is also commonly denoted in the literature,
MKT.RF = R_{m}  R_{f}
MKT is obtained by FamaFrench as the valueweight return of all CRSP firms that are incorporated in the U.S. and listed on the NYSE, AMEX, or NASDAQ securities markets. These firms must have a CRSP share code of 10 or 11, good shares and price data, at the beginning of the period.
The postearnings announcement drift (PEAD) factor is based on 2x3 sort on size and earningannouncement returns, with valueweighted portfolios.
The "earning surprise" is the 4day cumulative abnormal return around the most recent quarterly earnings announcement date (CAR).
Thus, the monthly PEAD factor return is the arithmetic average return of the "high earnings surprise portfolios" minus the arithmetic average return of the "low earnings surprise portfolios".
The financing factor (FIN) s based on 2x3 sort on size and two financing measures (1year net share issuance, NSI, and 5year composite share issuance, CSI) rankings returns, with valueweighted portfolios.
Thus, the monthly FIN factor return is the aritmetic average return of the "low financing portfolios" minus the arithmetic average return of the "high financing portfolios".
http://www.kentdaniel.net/data/DHS_factors.xlsx
Daniel, K. and Hirshleifer, D. and Sun, L. (2020). Shortand longhorizon behavioral factors. The Review of Financial Studies.
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