CHAPTER 15Factors of Equity Returns in the United States

There are many vendors of factor models of the U.S. equity market, and each of them uses a slightly different set of variables to explain stock returns and stock risks. We cannot hope to provide an extensive list of all factors considered, but in Tables 15.1 and 15.2 we show a sampling of the kinds of variables that are used by different vendors. The factors in Table 15.1 are cross-sectional in nature, while those in Table 15.2 are statistical and macroeconomic factors.

VARIOUS FACTOR MODEL FACTORS

Most of these vendors build composite variables, which consist of multiple data items weighted together to form a single exposure variable. A large number of data items are available from data ...

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