| Variable Names | Variable definition |
| anchor | 52-Week High point for anchor |
| beta | Covariance of the daily excess return of stocks and the daily excess return of the market within the past year/variance of the daily excess return of the market |
| bm | Book value/market value of the stock at the end of month t |
| Cross-sectional momentum | Cumulative gains from momentum strategies |
| size | Stock market value |
| str | One-month lag stock returns |
| VaR | Value at risk, the first percentile of daily returns over the past year to the end of t, multiplied by −1 |
| illiq | Illiquidity indicator. The absolute daily return of the stock/the average daily dollar volume for all trading days of the stock in t months |
| ES | Expected gap, daily earnings less than or equal to the average of the first percentile in the past year to the end of month t, multiplied by −1 |