Factor Library

Registry, literature attribution, and per-factor implementation notes

This registry follows the structure of the reference SignalDoc.csv while adding China-specific implementation fields. Each factor below has its own detail page with formula, coverage, full return series, and known data issues. Filter by family using the pills, or use the search box to jump to a factor by ID, name, or paper.

The reference SignalDoc.csv is a U.S.-market replication database. CrossSectionCN reuses the documentation discipline, not the conclusions: each signal must be re-tested under China-specific data availability, disclosure timing, listing rules, and trading frictions.

ID Name Family Category Direction Paper N Sharpe t-stat Cum.
AM Asset-to-Market Predictor Valuation higher_expected_return Fama and French 1992 193 0.045 0.179 0.8191
ARturnover Accounts Receivable Turnover Predictor Profitability higher_expected_return Soliman 2008 193 -0.205 -0.821 0.5476
ATR Abnormal Turnover Ratio Predictor Liquidity lower_expected_return Pan Tang and Xu 2016 184 1.136 4.448 7.4679
Accruals Accruals Predictor Earnings Quality lower_expected_return Sloan 1996 193 0.135 0.543 1.1349
AssetGrowth Asset Growth Predictor Investment lower_expected_return Cooper Gulen and Schill 2008 181 0.071 0.277 1.0345
AssetsTurnover Asset Turnover Predictor Profitability higher_expected_return Soliman 2008 193 0.585 2.345 1.9807
AssetsYoY Total Assets Growth Predictor Investment lower_expected_return Cooper Gulen and Schill 2008 193 -0.027 -0.107 0.9112
BM Book-to-Market Predictor Value higher_expected_return Fama and French 1992 193 0.223 0.896 1.4744
BPSyoy Book Value Growth Predictor Investment lower_expected_return Cooper Gulen and Schill 2008 193 -0.09 -0.361 0.8234
Beta CAPM Beta Predictor Risk higher_expected_return Fama and MacBeth 1973 184 -0.072 -0.28 0.7297
BetaFP Frazzini-Pedersen Beta Predictor Risk lower_expected_return Frazzini and Pedersen 2014 184 0.033 0.128 0.9226
BetaTailRisk Tail Risk Beta Predictor Risk lower_expected_return Kelly and Jiang 2014 184 -0.037 -0.144 0.8949
BidAskSpread Bid-Ask Spread (Corwin-Schulz) Predictor Liquidity higher_expected_return Corwin and Schultz 2012 195 -0.491 -1.978 0.2987
CFP Cash-Flow-to-Price Predictor Value higher_expected_return Lakonishok Shleifer and Vishny 1994 193 0.18 0.722 1.2052
ChAssetTurnover Change in Asset Turnover Predictor Profitability higher_expected_return Soliman 2008 181 0.568 2.208 1.5464
ChShrout Change in Shares Outstanding Predictor Financing lower_expected_return Pontiff and Woodgate 2008 184 0.129 0.504 1.1082
Coskewness Coskewness Predictor Risk lower_expected_return Harvey and Siddique 2000 184 0.559 2.19 2.4775
CurrentRatio Current Ratio Predictor Leverage lower_expected_return Ou and Penman 1989 193 -0.244 -0.979 0.4971
DebtToAssets Debt-to-Assets Predictor Leverage higher_expected_return Fama and French 1992 193 -0.265 -1.065 0.4565
DebtToEquity Debt-to-Equity Predictor Leverage higher_expected_return Bhandari 1988 193 -0.286 -1.148 0.4344
DivYield Dividend Yield Predictor Shareholder Yield higher_expected_return Litzenberger and Ramaswamy 1979 196 0.083 0.334 1.0511
DolVol Dollar Volume Predictor Liquidity lower_expected_return Chordia Subrahmanyam and Anshuman 2001 195 1.53 6.167 43.7145
EBITDAmargin EBITDA Margin Predictor Profitability higher_expected_return Loughran and Wellman 2011 128 -0.033 -0.106 0.5423
EBITtoAssets EBIT/Assets Predictor Profitability higher_expected_return Soliman 2008 193 0.151 0.606 1.199
EP Earnings-to-Price Predictor Value higher_expected_return Basu 1977 193 0.278 1.116 1.6352
EPSgrowth EPS Year-over-Year Growth Predictor Profitability higher_expected_return Chan Jegadeesh and Lakonishok 1996 193 1.059 4.246 3.8501
EarningsSurprise Standardized Unexpected Earnings Predictor Earnings Quality higher_expected_return Foster Olsen and Shevlin 1984 159 0.55 2.002 1.7222
FCFFtoAssets Free Cash Flow / Assets Predictor Profitability higher_expected_return Lakonishok Shleifer and Vishny 1994 193 0.177 0.711 1.1775
ForecastGrowth Forecast Profit Growth Predictor Earnings Quality higher_expected_return Chan Jegadeesh and Lakonishok 1996 133 -0.135 -0.451 0.2542
ForecastSentiment Earnings Forecast Sentiment Predictor Earnings Quality higher_expected_return Jones Shi Zhang and Zhang 2025 141 0.867 2.972 58.3232
GP Gross Profitability Predictor Profitability higher_expected_return Novy-Marx 2013 193 0.526 2.111 2.5644
High52 52-Week High Predictor Momentum higher_expected_return George and Hwang 2004 184 -0.172 -0.672 0.543
IdioSkew Idiosyncratic Skewness Predictor Risk lower_expected_return Lin and Liu 2019 190 0.703 2.799 2.8857
IdioVol Idiosyncratic Volatility Proxy Predictor Risk lower_expected_return Ang Hodrick Xing and Zhang 2006 193 0.544 2.182 3.7107
IdioVolAHT Idiosyncratic Vol (Annual) Predictor Risk lower_expected_return Ali Hwang and Trombley 2003 184 0.29 1.134 1.7745
IlliqAmihud Amihud Illiquidity Predictor Liquidity higher_expected_return Amihud 2002 195 1.382 5.571 30.8479
IndMom Industry Momentum Predictor Momentum higher_expected_return Grinblatt and Moskowitz 1999 189 0.348 1.381 1.8034
IntMom Intermediate Momentum Predictor Momentum higher_expected_return Novy-Marx 2012 183 -0.094 -0.366 0.7646
InvTurnover Inventory Turnover Predictor Profitability higher_expected_return Soliman 2008 193 -0.057 -0.229 0.901
InvestCapRatio Invested Capital / Assets Predictor Investment lower_expected_return Titman Wei and Xie 2004 193 0.076 0.304 1.0474
Leverage Financial Leverage Predictor Leverage higher_expected_return Bhandari 1988 193 -0.304 -1.22 0.4061
MRreversal Medium-Run Reversal Predictor Reversal lower_expected_return De Bondt and Thaler 1985 178 0.342 1.317 1.5313
MarginNetBalance Margin Net Balance Predictor Liquidity higher_expected_return Chang Luo and Ren 2014 35 -0.106 -0.181 0.9329
MaxRet Maximum Daily Return Predictor Risk lower_expected_return Bali Cakici and Whitelaw 2011 195 0.893 3.601 5.3739
Mom12m 12-1 Momentum Predictor Momentum higher_expected_return Jegadeesh and Titman 1993 183 -0.078 -0.304 0.7138
Mom12mOffSeason Off-Season Momentum Predictor Momentum higher_expected_return Heston and Sadka 2008 183 -0.085 -0.33 0.7058
Mom36m Long-Run Reversal Predictor Reversal lower_expected_return De Bondt and Thaler 1985 159 1.065 3.877 4.0585
Mom6m 6-1 Momentum Predictor Momentum higher_expected_return Jegadeesh and Titman 1993 189 0.126 0.501 1.1343
MomRev Momentum-Reversal Predictor Momentum higher_expected_return Chan and Ko 2006 159 0.731 2.661 2.7526
MomSeasonShort Seasonal Return (1Y) Predictor Momentum higher_expected_return Heston and Sadka 2008 184 0.158 0.62 1.1436
MomVol Momentum-Volume Predictor Momentum higher_expected_return Lee and Swaminathan 2000 189 0.236 0.937 1.401
NetDebtToAssets Net Debt / Assets Predictor Leverage higher_expected_return Penman Richardson and Tuna 2007 193 -0.332 -1.332 0.426
NetProfitYoY Net Profit Growth YoY Predictor Profitability higher_expected_return Chan Jegadeesh and Lakonishok 1996 193 0.984 3.945 3.5997
NetWorkingCapital Net Working Capital / Assets Predictor Leverage lower_expected_return Soliman 2008 193 -0.298 -1.195 0.5576
NorthboundRatio Northbound Holding Ratio Predictor Liquidity higher_expected_return Lundblad Shi Zhang and Zhang 2026 20 -0.191 -0.246 0.9359
OCFPS Operating CF Per Share Predictor Earnings Quality higher_expected_return Desai Rajgopal and Venkatachalam 2004 193 0.136 0.547 1.1417
OCFtoDebt Operating CF / Debt Predictor Leverage higher_expected_return Ou and Penman 1989 193 0.113 0.452 1.0993
OCFtoProfit Cash Flow to Profit Predictor Earnings Quality higher_expected_return Sloan 1996 193 0.29 1.162 1.312
OCFtoSales Operating CF / Sales Predictor Earnings Quality higher_expected_return Sloan 1996 193 0.163 0.655 1.1628
OPLeverage Operating Leverage Predictor Leverage higher_expected_return Novy-Marx 2011 193 0.681 2.732 2.0068
OperProf Operating Profitability Proxy Predictor Profitability higher_expected_return Novy-Marx 2013 193 0.632 2.533 2.0409
Price Log Price Predictor Size lower_expected_return Blume and Husic 1973 196 1.064 4.3 9.2341
PriceDelaySlope Price Delay Predictor Momentum higher_expected_return Hou and Moskowitz 2005 184 -0.1 -0.393 0.7949
QuickRatio Quick Ratio Predictor Leverage lower_expected_return Ou and Penman 1989 193 -0.226 -0.907 0.4932
ROA Return on Assets Predictor Profitability higher_expected_return Haugen and Baker 1996 193 0.271 1.088 1.5567
ROE Return on Equity Predictor Profitability higher_expected_return Haugen and Baker 1996 193 0.214 0.857 1.3685
ROEyoy ROE Year-over-Year Change Predictor Profitability higher_expected_return Haugen and Baker 1996 193 1.084 4.346 3.9019
ROIC Return on Invested Capital Predictor Profitability higher_expected_return Brown and Rowe 2007 193 0.135 0.543 1.1596
ReturnSkew Return Skewness Predictor Risk lower_expected_return Bali Engle and Murray 2015 195 0.861 3.472 2.742
RevenueYoY Revenue Growth YoY Predictor Profitability higher_expected_return Lakonishok Shleifer and Vishny 1994 193 0.853 3.421 3.3638
SP Sales-to-Price Predictor Value higher_expected_return Lakonishok Shleifer and Vishny 1994 193 0.292 1.171 1.7228
STreversal Short-Term Reversal Predictor Reversal lower_expected_return Jegadeesh 1990 195 0.883 3.558 6.8892
SalesGrowth Quarterly Sales Growth Predictor Profitability higher_expected_return Lakonishok Shleifer and Vishny 1994 193 1.159 4.649 4.6557
ShortRatio Short Selling Ratio Predictor Liquidity lower_expected_return Dechow et al. 2001 35 1.482 2.532 1.5947
Size Size Predictor Size lower_expected_return Banz 1981 196 1.388 5.608 62.215
StdTurn Turnover Volatility Predictor Liquidity lower_expected_return Chordia Subrahmanyam and Anshuman 2001 184 0.212 0.829 1.3826
TurnDays Cash Conversion Cycle Predictor Profitability lower_expected_return Dechow Sloan and Soliman 2004 193 -0.087 -0.347 0.8181
Turnover Share Turnover Predictor Liquidity lower_expected_return Datar Naik and Radcliffe 1998 195 0.646 2.602 4.9415
VolMkt Volume-to-Market-Cap Predictor Liquidity lower_expected_return Haugen and Baker 1996 184 0.166 0.648 1.2341
VolSD Return Volatility Predictor Risk lower_expected_return Ang Hodrick Xing and Zhang 2006 193 0.429 1.72 2.7026
VolumeTrend Volume Trend Predictor Liquidity lower_expected_return Haugen and Baker 1996 184 0.617 2.415 2.6409
ZeroTrade12M Zero-Trade Days (12M) Predictor Liquidity higher_expected_return Liu 2006 184 -0.322 -1.259 0.88
ZeroTrade1M Zero-Trade Days (1M) Predictor Liquidity higher_expected_return Liu 2006 195 -0.056 -0.225 0.969
ZeroTrade6M Zero-Trade Days (6M) Predictor Liquidity higher_expected_return Liu 2006 190 -0.07 -0.279 0.9663
qROE Single-Quarter ROE Predictor Profitability higher_expected_return Hou Xue and Zhang 2015 193 0.478 1.917 2.3766
roaq Quarterly ROA Predictor Profitability higher_expected_return Balakrishnan Bartov and Faure 2010 193 0.125 0.501 1.1338
tang Asset Tangibility Predictor Leverage higher_expected_return Hahn and Lee 2009 193 0.352 1.413 1.8645
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