Campbell R. Harvey and Yan Liu, A Census of the Factor Zoo

SSRN paper:

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3341728

(All factors sorted by year)

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Relative prices of consumption goods

Black, Jensen and Scholes (1972)

State variables representing future investment opportunity

Journal of Financial and Quantitative Analysis

http://www.sciencedirect.com/science/article/pii/0022053174900246

http://www.sciencedirect.com/science/article/pii/0304405X74900191

Projecting firm earnings growth based on market beta, firm size, dividend payout ratio, leverage and earnings variability

http://www.hss.caltech.edu/~pbs/expfinance/Readings/Lucas1978.pdf

Dividend per share divided by share price

http://www.sciencedirect.com/science/article/pii/0304405X79900163

http://forum.johnson.cornell.edu/faculty/jarrow/004%20Heterogeneous%20Expectations%20JF%201980.pdf

Index of long-term Aa utility bonds with deferred calls returns

Principle components extracted from returns of Treasury bills

Oldfield and Rogalski (1981)

http://www.sciencedirect.com/science/article/pii/0304405X81900052

http://www.sciencedirect.com/science/article/pii/0304405X81900180

Journal of Financial and Quantitative Analysis

Total dividends divided by market capitalization

Litzenberger and Ramaswamy (1982)

https://www.jstor.org/stable/2327346?seq=1#page_scan_tab_contents

Institutional concentration rankings from Standard and Poor's

Arbel, Carvell and Strebel (1983)

Hawkins, Chamberlin and Daniel (1984)

Announcement that a company has filed a formal application to list on the NYSE

McConnell and Sanger (1984)

Seasonally adjusted monthly growth rate of industrial production

Change in expected inflation as defined in Fama and Gibbons (1984)

Risk premium measured as difference in return between ``under Baa" bond portfolio and long-term government bond portfolio

Yield curve slope measured as difference in return between long-term government bond and 1-month Treasury bill

Investment opportunity change

Cox, Ingersoll and Ross (1985)

Amihud and Mendelson (1986)

Change in the yield of long-term government bonds

Sweeney and Warga (1986)

Seasonally adjusted monthly growth rate of industrial production

Risk premium measured as difference in return between ``under Baa" bond portfolio and long-term government bond portfolio

Yield curve slope measured as difference in return between long-term government bond and 1-month Treasury bill

Changes in expected inflation as defined in Fama and Gibbons (1984)

Non-common equity liabilities to equity

Long-term growth forecasts proxied by the five-year earnings per share growth rate forecasts

Bauman and Dowen (1988)

Trailing year's sales-per-share divided by price, relative to the cap-weighted industry average

Trends in analysts' earnings estimates

Change in next fiscal year's consensus estimate, normalized by price

Breeden, Gibbons and Litzenberger (1989)

Amihud and Mendelson (1989)

Predicted earnings change in one year based on a financial statement analysis that combines a large set of financial statement items

http://www.sciencedirect.com/science/article/pii/0165410189900177

Short-term (one month) and long-term (twelve months) serial correlations in returns

Real per capita growth of personal consumption expenditures for nondurables & services

Baa corporate bond return less monthly long-term government bond return

Change in the slope of the yield curve

Change in the difference between a 10-year Treasury bond yield and a 3-month Treasury bill yield

Difference between actual and time-series forecasts of inflation rate

One-month Treasury bill return less inflation rate

Return on a zero-investment portfolio long in small stocks and short in large stocks

Return on a zero-investment portfolio long in growth stocks and short in value stocks

Size and beta adjusted mean prior five-year returns

Chopra, Lakonishok and Ritter (1992)

Return signs predicted by a logit model using financial ratios

Holthausen and Larcker (1992)

http://www.sciencedirect.com/science/article/pii/016541019290025W

Jegadeesh and Titman (1993)

High order market and bond return

High order equity index returns and bond returns

Bansal and Viswanathan (1993)

Return on a zero-investment portfolio long in small stocks and short in large stocks

Return on a zero-investment portfolio long in growth stocks and short in value stocks

Difference in return between long-term government bond and one-month Treasury bill

Difference in return between long-term corporate bond and long-term government bond

US dollar return of the MSCI world equity market in excess of a short-term interest rate

Change in weighted exchange rate

Log first difference of the trade-weighted US dollar price of ten industrialized countries' currencies

Change in long-term inflationary expectations

Change in long-term inflationary expectations

Weighted real short-term interest rate

GDP weighted average of short-term interest rates in G-7 countries

Change in the monthly average US dollar price per barrel of crude oil

Change in the Eurodollar-Treasury yield spread

First difference of the spread between the 90-day Eurodollar yield and the 90-day Treasury-bill yield

Change in G-7 industrial production

Unexpected inflation for the G-7 countries

Unexpected inflation based on a time-series model on an aggregate G-7 inflation rate

US dollar return of the MSCI world equity market in excess of a short-term interest rate

Change in weighted exchange rate

Log first difference of the trade-weighted US dollar price of ten industrialized countries' currencies