Data/Appendices:

Daniel-Mota-Rottke-Santos (2018) Factor and Hedge Portfolio Returns:

Returns to the DMRS hedge-portfolios and factor-portfolios (1963:06-2019:02):

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 04/2019

Daniel-Hirshleifer-Sun (2018) Behavioral Factor Returns:

Monthly returns to the DHS factor-portfolios (1972:07-2018:12):

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:

  1. Total Firm Returns
  2. Industry Returns
  3. Residual Returns (i.e., net of industry)
Also, each set of portfolios is constructed both using all-firm breakpoints and NYSE breakpoints.

The following files are available:

Daniel and Titman (2006) Unpublished Appendices:

The Unpublished Appendices to "Market Reactions to Tangible and Intangible Information" includes a section devoted to the development of a model consistent with our empirical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: