易获数据网Characteristic Returns
Characteristic-based benchmark returns based on five characteristics (C5)
or fourteen characteristics (C14). They are used in Bessembinder, Cooper, and Zhang (Review
of Financial Studies, forthcoming): “Characteristic-Based Benchmark Returns and Corporate Events.”
We construct a prediction of each stock’s return in month t using its firm characteristics in
month t-1 and the relationship between the firm characteristics (C5 or C14) and the one-month ahead
return in months t-12 to t-1 for the broad stock market, and term them as the characteristic-based
benchmark return (CBBR). More details of the C5 and C14 models and the estimation procedure are
provided in the RFS paper and the Internet Appendix.
Variable Reference
| Variable Name | Data Type | Variable Description | Help |
|---|---|---|---|
| cbbr_c14 | NUM | Characteristic-based benchmark return (%) based on the C14 model | |
| cbbr_c5 | NUM | Characteristic-based benchmark return (%) based on the C5 model | |
| cbbr_log_c14 | NUM | Characteristic-based benchmark log return (%) based on the C14 model | |
| cbbr_log_c5 | NUM | Characteristic-based benchmark log return (%) based on the C5 model | |
| date | DATE | Date | |
| permno | NUM | CRSP Permanent Stock Number |
