Abnormal corporate investment
Book-to-market enterprise value
Cash-based operating profits-to-book assets
Cash-based operating profits-to-lagged book assets
Change gross margin minus change sales
Change in current operating assets
Change in current operating liabilities
Change in current operating working capital
Change in financial liabilities
Change in long-term investments
Change in long-term net operating assets
Change in net financial assets
Change in net noncurrent operating assets
Change in net operating assets
Change in noncurrent operating assets
Change in noncurrent operating liabilities
Change in operating cash flow to assets
Change in quarterly return on assets
Change in quarterly return on equity
Change in short-term investments
Change sales minus change Inventory
Change sales minus change receivables
Change sales minus change SG&A
Coefficient of variation for dollar trading volume
Coefficient of variation for share turnover
Current price to high price over last year
Ebitda-to-market enterprise value
Frazzini-Pedersen market beta
Gross profits-to-lagged assets
Growth in book debt (3 years)
Highest 5 days of return scaled by volatility
Idiosyncratic skewness from the CAPM
Idiosyncratic skewness from the Fama-French 3-factor model
Idiosyncratic skewness from the q-factor model
Idiosyncratic volatility from the CAPM (21 days)
Idiosyncratic volatility from the CAPM (252 days)
Idiosyncratic volatility from the Fama-French 3-factor model
Idiosyncratic volatility from the q-factor model
Intrinsic value-to-market
Liquidity of market assets
Mispricing factor: Management
Mispricing factor: Performance
Number of consecutive quarters with earnings increases
Number of zero trades with turnover as tiebreaker (1 month)
Number of zero trades with turnover as tiebreaker (12 months)
Number of zero trades with turnover as tiebreaker (6 months)
Operating cash flow to assets
Operating cash flow-to-market
Operating profits-to-book assets
Operating profits-to-book equity
Operating profits-to-lagged book assets
Operating profits-to-lagged book equity
Percent operating accruals
Price momentum t-12 to t-1
Price momentum t-12 to t-7
Price momentum t-3 to t-1
Price momentum t-6 to t-1
Price momentum t-9 to t-1
Quality minus Junk: Composite
Quality minus Junk: Growth
Quality minus Junk: Profitability
Quality minus Junk: Safety
Quarterly return on assets
Quarterly return on equity
R&D capital-to-book assets
Residual momentum t-12 to t-1
Residual momentum t-6 to t-1
Return on net operating assets
Standardized earnings surprise
Standardized Revenue surprise
Taxable income-to-book income
The high-low bid-ask spread
Year 1-lagged return, annual
Year 1-lagged return, nonannual
Years 2-5 lagged returns, annual
Years 2-5 lagged returns, nonannual
Years 6-10 lagged returns, annual
Years 6-10 lagged returns, nonannual
Years 11-15 lagged returns, annual
Years 11-15 lagged returns, nonannual
Years 16-20 lagged returns, annual
Years 16-20 lagged returns, nonannual