Industry-adjusted value, momentum, and profitability factors (HML*, UMD*, and PMU*) Details

• These (in conjunction with Fama and French's MKT) make up the four factor model used to explain earnings related anomalies in The other side of value: The gross profitability premium (JFE 2013).

Intra-industry value, momentum, and profitability factors (HMLN, UMDN, and PMUN) Details

• These are similar to the industry-adjusted factors employed in The other side of value: The gross profitability premium (JFE 2013), but are constructed by sorting within industries (as opposed to sorting on industry-adjusted characteristics). They are naturally dollar neutral with respect to each of the Fama-French 49 industries. These should, like the industry-adjusted factors, be used in conjunction with MKT.

Basic profitable-minus-unprofitable factor (PMU) Details

• Constructed like Fama and French's HML factor (details), using gross profits-to-assets instead of book-to-market.