Variable	Definition
CMA	The average return from two conservative investment portfolios minus two aggressive investment portfolios. Source: French Data Library
Daily alphas	Daily alphas are the intercepts of the regression models of WSB mentioned stocks’ excess returns on six factor models, including market excess return, SMB, HML, CMA, RMW and MOM factors
HML	The average return on a factor that longs the two value portfolios and shorts the two growth portfolios. Source: French Data Library
Last month return	The previous month returns of each stock mentioned in WSB. Source: CRSP
Market to Book	Market value of equity divided by book value of equity. Source: CRSP and COMPUSTAT
Market value of equity	Market value of equity. Source: CRSP
MOM	Average return on the two high prior returns portfolios minus the average return from two low prior return portfolios, in which both high and low prior returns were determined using prior 2–12 months returns. Source: French Data Library
Rm—Rf	Value-weighted return on the market portfolio minus the one-month Treasury bill rate. Source: French Data Library
RMW	The average return from buying two robust operating profitability portfolios and selling two weak operating profitability portfolios. Source: French Data Library
Short interest	Total adjusted short interest scaled by shares outstanding. Source: COMPUSTAT
SMB	The average return on the nine small stock portfolios minus the that on the nine big stock portfolios. Source: French Data Library
Total assets	Total value of assets. Source: COMPUSTAT