Taming the Factor Zoo: New Evidence from China

Table 7

Summary statistics of other factors. This table reports means, t-statistics, annualized Sharpe ratios, skewness, kurtosis, and Jarque–Bera statistics of factors which do not appear in previous models but are used in our double-selection LASSO approach. The sample period is from July 2000 to December 2019. AMI and QMJ denote the liquidity factor and Quality-Minus-Junk factor, respectively. Other factors are based on anomalies in Qiao [8] but reconstructed using bivariate 2 × 3 portfolios following Fama and French [18].

	(1)	(2)	(3)	(4)	(5)
Factor	AMI	QMJ	abr	amq	betad
Mean (%)	1.05	0.83	0.44	0.50	0.85
t-value	4.81	3.56	2.94	1.72	3.73
Sharpe ratio	1.09	0.81	0.67	0.39	0.84
Skewness	0.35	0.22	−0.07	0.01	0.88
Kurtusis	6.69	4.41	4.89	7.10	5.03
J-B stat.	137.30	21.30	34.86	164.12	70.80
	(6)	(7)	(8)	(9)	(10)
Factor	droa	droe	dtv	ivff	lrev
Mean (%)	0.85	0.88	0.75	1.04	0.16
t-value	7.42	7.15	3.82	5.30	0.72
Sharpe ratio	1.68	1.62	0.87	1.20	0.16
Skewness	0.19	0.16	0.06	0.12	0.34
Kurtusis	4.37	4.63	4.73	4.94	6.11
J-B stat.	19.81	26.93	29.45	37.15	98.84
	(11)	(12)	(13)	(14)	(15)
Factor	m24	mdr	ra25	rdm	sgq
Mean (%)	0.08	0.66	0.35	0.60	0.88
t-value	0.54	3.38	2.26	3.54	5.91
Sharpe ratio	0.12	0.77	0.51	0.80	1.34
Skewness	0.04	−0.13	0.71	0.19	0.27
Kurtusis	4.14	3.81	5.20	7.57	5.80
J-B stat.	12.78	7.02	67.01	205.41	79.24
	(16)	(17)	(18)	(19)	(20)
Factor	spq	Srev	tv	vdtv	vturn
Mean (%)	0.58	0.79	0.48	0.98	0.91
t-value	2.51	3.77	1.93	4.91	3.84
Sharpe ratio	0.57	0.85	0.44	1.11	0.87
Skewness	0.12	0.51	−0.45	0.51	−0.52
Kurtusis	7.65	4.89	4.12	6.23	6.71
J-B stat.	211.40	44.67	20.15	112.10	144.83