Data/Appendices:
Daniel-Mota-Rottke-Santos (2018) Factor and Hedge Portfolio Returns:
Returns to the DMRS hedge-portfolios and factor-portfolios (updated -- 1963:06-2023:03):
The portfolio construction is described in detail in paper, "The Cross Section of Risk and Return," which can be found on the Research page. README.pdf provides a full description of the contents of the text files. This archive file contains the full set of text files. --- Updated June 2023
Daniel-Hirshleifer-Sun (2018) Behavioral Factor Returns:
Monthly returns to the DHS factor-portfolios (1972:07-2018:12):
- DHS monthly factor returns - excel format
The portfolio construction is described in detail in paper, "Short- and Long-Horizon Behavioral Factors," which can be found on the Research page.
Daniel-Hodrick-Lu (2017) Currency Carry Trade Portfolio Returns:
This excel file contains mothly returns to the zero-investment currency carry portfolios examined in Daniel, Hodrick and Lu (2017) over the 1976:02-2013:08 time period.
Daniel-Moskowitz (2015) Momentum Portfolios:
In conjunction with our work on our Momentum Crashes paper, we created a set of U.S. equity momentum portfolio returns which may be useful to some researchers. Monthly and daily returns from January 1927 through March 2013. (12,2) portfolios were formed based on:
- Total Firm Returns
- Industry Returns
- Residual Returns (i.e., net of industry)
The following files are available:
- This document describes the construction of the DM momentum portfolios, and presents some analysis of the differences between the portfolios.
- This compressed archive contains text files with the DM portfolio returns, as described in the document above, with data through 2013:12. These are the returns we used in the analysis in Daniel-Moskowitz (2015).
- This compressed archive contains the same set of text files, but with returns through 2016:12. (updated 2017:03)
Daniel and Titman (2006) Unpublished Appendices:
The Unpublished Appendices to "Market Reactions to Tangible and Intangible Information" includes a section devoted to the development of a model consistent with our empirical findings, and a documentation on additional set of empirical analyses.
DGTW (1997) Online Appendices:
- The unpublished appendix includes details on and statistical analysis of the benchmark portfolios from Daniel, Grinblatt, Titman and Wermers (1997)
- Russ Wermers' DGTW page has returns, breakpoints, etc., for the DGTW portfolios which are frequently updated.