I. Data for the UMO Factor
Behavioral theories suggest that investor misperceptions and market mispricing will be correlated across firms. The UMO factor uses equity and debt financing to identify common misvaluation across firms. UMO is a zero-investment portfolio that goes long on firms that issue securities and short on firms that repurchase. UMO captures comovement in returns beyond that in standard multifactor models, substantially improves the Sharpe ratio of the tangency portfolio, and carries heavy weight in the tangency portfolio. Loadings on UMO strongly predict the cross-section of returns on both portfolios and individual stocks, even among firms not recently involved in external financing activities, and even after controlling for other standard predictors. UMO was proposed by Hirshleifer and Jiang (2010), who provide further evidence suggesting that UMO loadings proxy for the common component of a stock’s misvaluation.
Click here for detailed description and analysis of the UMO factor in Hirshleifer and Jiang (2010).
“A Financing-Based Misvaluation Factor and the Cross-Section of Expected Returns,” David Hirshleifer and Danling Jiang, Review of Financial Studies, 23(9), (2010):3401-3436.
Click here to download data on the UMO factor.
II. Data for Hirshleifer and Shumway (2001): “Good Day Sunshine: Stock Returns and the Weather”
Psychological evidence and casual intuition predict that sunny weather is associated with upbeat mood. This paper examines the relation between morning sunshine at a country’s leading stock exchange and market index stock returns that day at 26 stock exchanges internationally from 1982-97. Sunshine is strongly significantly correlated with daily stock returns. After controlling for sunshine, rain and snow are unrelated to returns. There were positive net-of-transaction costs profits from substantial use of weather-based strategies, but the magnitude of the gains was fairly modest. These findings are difficult to reconcile with fully rational price-setting.
Click here for a full-text version of this paper.
“Good Day Sunshine: Stock Returns and the Weather,” David Hirshleifer and Tyler Shumway, Journal of Finance, 58(3), June, (2003):1009-1032.
Click here to download data used in this paper.