Description Usage Format Details StambaughYuan (2017) Factors Construction RF variable MKT.RF factor SMB factor MGMT factor PERF factor Source References Examples
SY4.monthly
is the Stambaugh–Yuan (2017) fourfactors monthly data series on
U.S. stock market from 196301 to 201612. The data set also includes the riskfree
rate on 1month U.S. TBill during the same period.
1  data("SY4.monthly")

An xts
object containing observations of Stambaugh–Yuan (2017) fourfactors
data set on U.S. Stock Market, and the riskfree rate on 1month U.S. TBill.
Frequency: Monthly.
Date Range: 196301 to 201612.
Data updated: 20200824 23:13:55 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.
SMB: A numeric. The "Small Minus Big" size factor. See 'SMB factor' section below.
MGMT: A numeric. The investment factor. See 'MGMT factor' section below.
PERF: A numeric. The profitability factor. See 'PERF factor' section below.
The object consists of 648 rows and 5 columns.
In addition to column definitions, this section contains a glimpse into factors construction and their underlying variables.
StambaughYuan (2017) consider 11 anomalies. Anomalies form two clusters:
First cluster: net stock issues, composite equity issues, accruals, net operating assets, asset growth, and investment to assets.
Second cluster: distress, Oscore, momentum, gross profitability, and return on assets.
Authors construct factors based on equallyweighted averages of stocks' anomaly rankings, in the perspective of having a less noisy mispricing measure for each stock across anomalies. In particular, stock's rankings are averaged with respect to the available anomaly measures within each of the two clusters. Thus, each month a stock has two composite mispricing measures, P1 and P2.
Mispricing factors are then constructed by applying a 2x3 sorting procedure, similarly to FamaFrench (2015):
First, NYSE, AMEX, and NASDAQ stocks (excluding the ones with a price lower than 5$) are sorted and split into two groups based on the NYSE median size breakpoint;
Second, stock's are sorted by both P1 and P2 independently, and assigned to three groups ("low", "middle", and "high") with the 20th and 80th percentiles of the NYSE/AMEX/NASDAQ as breakpoints (rather than the commonly used 30th and 70th percentiles of the NYSE). The motivation authors provide for this methodological choice on breakpoints is that relative mispricing in the crosssection is considered to be "more a property of the extremes than of the middle".
Finally, valueweighted returns of each of the four portfolios formed by the intersection of the two size categories with high and low categories of either P1 or P2 sorts are averaged and constitute their two mispricing factors, MGMT and PERF, respectively.
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 SMB
(Small Minus Big) factor StambaughYuan (2017) constructed differs
from the homonymous factor constructed by means of the standard FamaFrench (1993, 2015)
methodology widely adopted.
First of all, stocks used to form the size factor in a given month are the stocks not used in forming either of the mispricing factors.
Moreover, in StambaughYuan (2017) the return on the smallcap leg is the valueweighted portfolio of stocks present in the intersection of both smallcap middle groups when sorting on the P1 and P2 mispricing composite measures. The largecap leg is the valueweighted portfolio of stocks in the intersection of the largecap middle groups in the sorts on the two measures. Thus the value of SMB in a given month is the return on the smallcap leg minus the largecap return.
Computing SMB using stocks only from the middle of their mispricing sorts is meant to reduce the "arbitrage asymmetry bias" while neutralizing mispricing effects.
The MGMT factor is the arithmetic average of the returns on the two lowP1 portfolios (underpriced stocks) minus the arithmetic average of the returns on the two highP1 portfolios (overpriced stocks).
The PERF factor is the arithmetic average of the returns on the two lowP2 portfolios (underpriced stocks) minus the arithmetic average of the returns on the two highP2 portfolios (overpriced stocks).
http://finance.wharton.upenn.edu/~stambaug/M4.csv
Fama, Eugene F and French, Kenneth R (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics.
Fama, Eugene F and French, Kenneth R (2015). A fivefactor asset pricing model. Journal of Financial Economics.
Stambaugh, R. F. and Yuan, Y. (2017). Mispricing Factors. The Review of Financial Studies.
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