U.S. Asset Characteristics Data

Equity and corporate bond characteristics for asset pricing research

Documentation

The current CIZ pipeline is the recommended workflow. It produces raw, imputed, rank-standardized, and rank-standardized imputed parquet panels for empirical asset pricing tests.

Characteristic taxonomy

U.S. equity characteristics 98 signals monthly firm-level panel

Intangibles 26

Advertising, R&D, organization capital, real estate, and firm-specific asset composition.

  • adm
  • age
  • alm
  • chempia
  • convind
  • herf
  • hire
  • pchcapx_ia
  • pchgm_pchsale
  • pchsale_pchinvt
  • pchsale_pchrect
  • pchsale_pchxsga
  • pchsaleinv
  • rd
  • rd_sale
  • rdm
  • re
  • realestate
  • roavol
  • salecash
  • saleinv
  • salerec
  • seas1a
  • secured
  • securedind
  • tang

Investment 16

Asset growth, accruals, issuance, inventory growth, and balance-sheet expansion.

  • absacc
  • acc
  • agr
  • chcsho
  • chinv
  • cinvest
  • egr
  • gma
  • grcapx
  • grltnoa
  • invest
  • lgr
  • ni
  • noa
  • pctacc
  • sin

Profitability 15

Operating performance, margins, return measures, liquidity ratios, and quality scores.

  • ato
  • chatoia
  • chpmia
  • currat
  • op
  • pchcurrat
  • pchquick
  • pm
  • pscore
  • quick
  • rna
  • roa
  • roe
  • roic
  • tb

Momentum 14

Return continuation, reversal, earnings surprises, tax changes, and announcement returns.

  • abr
  • chmom
  • chtx
  • depr
  • indmom
  • mom12m
  • mom1m
  • mom36m
  • mom60m
  • mom6m
  • nincr
  • pchdepr
  • rsup
  • sue

Trading frictions 14

Liquidity, turnover, volatility, beta, idiosyncratic risk, and trading inactivity.

  • baspread
  • beta
  • dolvol
  • ill
  • maxret
  • me
  • me_ia
  • rvar_capm
  • rvar_ff3
  • rvar_mean
  • std_dolvol
  • std_turn
  • turn
  • zerotrade

Value-versus-growth 13

Book-to-market, earnings yield, cash-flow yield, leverage, payout, and sales-to-price ratios.

  • bm
  • bm_ia
  • cash
  • cashdebt
  • cashpr
  • cfp
  • cfp_ia
  • divi
  • divo
  • ep
  • lev
  • sgr
  • sp

Characteristic explorer

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