| Variable symbols | Variable name and calculation method |
| MAX | Maximum daily return, obtained based on daily data of the previous month |
| IVOL | Heterogeneous fluctuations, obtained based on daily data of the previous month |
| ISKEW | Heterogeneous skewness, obtained based on the calculation of heterogeneous fluctuations |
| SIZE | Size of listed companies, expressed as total market capitalization at the end of the previous month |
| PRICE | Monthly closing prices, obtained based on the previous month’s monthly data |
| B/M | Owner’s equity/Market capitalization outstanding |
| REV | Last month’s earnings |
| ZR | Number of zero return days in the month divided by the total number of trading days in the month, measuring illiquidity |
| MOM | Cumulative momentum factor, total return considering cash dividends reinvested from period t − 1 to period t − 12 |
| βSMB, βRMRF, βHML | Size, market and book-to-market ratio factor loadings |