DHS3.monthly: Daniel-Hirshleifer-Sun Three-Factors Data Set

In JustinMShea/ExpectedReturns: Reproduction of Investment Strategies presented in Antti Ilmanen's Expected Returns and Investing Amid Low Expected Returns

Daniel-Hirshleifer-Sun Three-Factors Data Set

Description

DHS3.monthly is the Daniel-Hirshleifer-Sun (2020) three-factors monthly data series on U.S. stock market from 1972-07 to 2018-12.

Usage

data("DHS3.monthly")

Format

An xts object containing observations of Daniel-Hirshleifer-Sun (2020) three-factors data set on the U.S. Stock Market.

• Frequency: Monthly.

• Date Range: 1972-07 to 2018-12.

• Data updated: 2020-08-25 20:48:48 CEST.

• RF: A numeric. The risk-free rate on 1-month U.S. T-Bill. See 'RF variable' section below.

• MKT.RF: A numeric. The market portfolio proxy return net of risk-free rate factor. See 'MKT.RF factor' section below.

• PEAD: A numeric. The post-earnings 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.

Details

In addition to column definitions, this section contains a glimpse into factors construction and their underlying variables.

Daniel-Hirshleifer-Sun Three-Factors Construction

Daniel-Hirshleifer-Sun (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' 1-year NSI and 5-year CSI financing measures rankings for the FIN factor, or the 4-day 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.

RF variable

The RF variable refers to the risk-free rate. It depends on the period been considered and on the country. For example, for U.S. monthly data series is the one month T-Bill return. The RF data series distributed by K. R. French with the Fama-French factors data are usually obtained from Ibbotson Associates Inc. (Morningstar).

MKT.RF factor

With MKT.RF we indicate the excess return on the market portfolio return proxy, net of the risk-free 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 Fama-French as the value-weight 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.

PEAD factor

The post-earnings announcement drift (PEAD) factor is based on 2x3 sort on size and earning-announcement returns, with value-weighted portfolios.

The "earning surprise" is the 4-day 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".

FIN factor

The financing factor (FIN) s based on 2x3 sort on size and two financing measures (1-year net share issuance, NSI, and 5-year composite share issuance, CSI) rankings returns, with value-weighted 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".

Source

http://www.kentdaniel.net/data/DHS_factors.xlsx

References

Daniel, K. and Hirshleifer, D. and Sun, L. (2020). Short-and long-horizon behavioral factors. The Review of Financial Studies.

Examples

data(DHS3.monthly)

head(DHS3.monthly)

JustinMShea/ExpectedReturns documentation built on Sept. 9, 2023, 9:41 p.m.