Description Usage Format Details QFactors construction RF variable BE variable Market Equity Variable Investmenttoassets variable Return on Equity variable MKT.RF factor ME factor IA factor ROE factor EG factor Source References See Also Examples
Q5.monthly
is the HouMoXueZhang (2020) qfactor fivefactors monthly data
series on U.S. stock market from 196701 to 201912. The data set also includes
the riskfree rate on 1month U.S. TBill during the same period.
1  data("Q5.monthly")

An xts
object containing observations of HouMoXueZhang qfactor fivefactors
data set on U.S. Stock Market, and the riskfree rate on 1month U.S. TBill.
Frequency: Monthly.
Date Range: 196701 to 201912.
Data updated: 20200823 11:57:39 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.
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.
EG: A numeric. The "Expected Growth" factor. See 'EG 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, investmenttoassets (I/A), and Roe.
Taking the intersection of the two size, three I/A, and three Roe groups, they form eighteen portfolios. Monthly valueweighted portfolio returns are calculated for the current month, and the portfolios are rebalanced monthly.
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).
Book equity, denoted BE, is a firms' financial variable that FamaFrench 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.
Investmenttoassets (I/A) is the annual change in total assets divided by oneyearlagged 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 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 size factor (ME) is the smallminusbig 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 lowminushigh 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 minuslow 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.
The expected growth (EG) factor is constructed from independent 2x3 sorts on size and the expected oneyearahead investmenttoassets change, E_{t}[d I/A]. In turn, E_{t}[d I/A] is formed using Tobin's q, operating cash flowtoassets, and the change in ROE (measured as the year on year difference in ROE).
globalq.org, Technical Document: Factors
Davis, Fama, and French (2000). Characteristics, Covariances, and Average Returns: 19291997. Journal of Finance.
Hou, K. and Mo, H. and Xue, C. and Zhang, L. (2019). Which factors?. Review of Finance.
Hou, K. and Mo, H. and Xue, C. and Zhang, L. (2020). An augmented qfactor model with expected growth. Review of Finance.
The series was generated with GetFactors()
.
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