Q4.monthly | R Documentation |
Q4.monthly
is the Hou-Xue-Zhang q-factor four-factors monthly data series on
U.S. stock market from 1967-01 to 2019-12. The data set also includes the risk-free
rate on 1-month U.S. T-Bill during the same period.
data("Q4.monthly")
An xts
object containing observations of Hou-Xue-Zhang (2015) q-factor
four-factors data set on U.S. Stock Market, and the risk-free rate on 1-month
U.S. T-Bill.
Frequency: Monthly.
Date Range: 1967-01 to 2019-12.
Data updated: 2020-08-20 19:32:19 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.
ME: A numeric. The size factor. See 'ME factor' section below.
IA: A numeric. The investment factor. See 'IA factor' section below.
ROE: A numeric. The profitability factor. See 'ROE factor' section below.
The object consists of 636 rows and 6 columns.
In addition to column definitions, this section contains a glimpse into factors construction and their underlying variables.
Authors construct their size, investment, and Roe factors from independent,
triple 2x3x3
portfolio sorts on size, investment-to-assets (I/A), and Roe.
Taking the intersection of the two size, three I/A, and three Roe groups, they form eighteen portfolios. Monthly value-weighted portfolio returns are calculated for the current month, and the portfolios are rebalanced monthly.
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).
Book equity, denoted BE
, is a firms' financial variable that Fama-French
construct from Compustat data or is collected from the Moody's Industrial, Financial, and Utilities manuals.
BE
is the book value of stockholders' equity, plus balance sheet deferred
taxes and investment tax credit (if available), minus the book value of preferred
stock. Depending on availability, they use the redemption, liquidation, or par
value (in that order) to estimate the book value of preferred stock.
Stockholders' equity could be reported by Moody's or Compustat, otherwise the
authors measure stockholders' equity as the book value of common equity plus
the par value of preferred stock, or the book value of assets minus total
liabilities (in that order).
Market equity, also referred to as size and denoted ME
, is a firms'
financial variable calculated as the product of price times shares outstanding.
The stock price is from CRSP, whereas shares outstanding are from Compustat
(if available) or CRSP.
Investment-to-assets (I/A) is the annual change in total assets divided by one-year-lagged total assets.
The return on equity ratio (ROE) authors consider is the income before extraordinary items divided by book equity (BE) lagged by a quarter.
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.
The size factor (ME) is the small-minus-big monthly difference between the arithmetic average of the returns on 9 small size portfolios and the arithmetic average of the returns on 9 big size portfolios.
The investment factor (IA) is the low-minus-high monthly difference, between the arithmetic average of the returns on 6 low I/A portfolios and the arithmetic average of the returns on 6 high I/A portfolios.
The ROE factor is the high- minus-low monthly difference between the arithmetic average of the returns on 6 high ROE portfolios and the arithmetic average of the returns on the 6 low ROE portfolios.
global-q.org, Technical Document: Factors
Davis, Fama, and French (2000). Characteristics, Covariances, and Average Returns: 1929-1997. Journal of Finance.
Hou, K. and Xue, C. and Zhang, L. (2015). Digesting Anomalies: An Investment Approach. The Review of Financial Studies.
Hou, K. and Mo, H. and Xue, C. and Zhang, L. (2019). Which factors?. Review of Finance.
The series was generated with GetFactors()
.
data(Q4.monthly)
head(Q4.monthly)
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