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Two signals needed to be switched to new datasources after the original ones were discontinued:
betaVIX is originally based on VXO (volatility index based on S&P100) which was discontinued in September 2021. We switch to VIX afterwards.
Mom6mJunk is based on S&P ratings data but WRDS S&P credit ratings end in Feb 2017. We switch to Capital IQ S&P ratings data from 2016. In addition, we only assign a stock to "Junk" if it has a proper credit rating and the credit rating is low (previously, we interpreted missing credit ratings as “Junk” as well).
Fixed typos in the signal documentation (signaldoc.csv) for some signals (DivYieldST, dCPVolSpread, AgeIPO).
Fixed low number of observations in some months or years in two signals (FirmAgeMom, ForecastDispersion) that were due to filters that set some observations to missing.
New code for the “zerotrade” signals that more closely follows Liu (2006). Also rationalized naming. zerotrade1M, zerotrade6M and zerotrade12M are the 1-,6- and 12-month versions of the signal (as opposed to zerotradeAlt1, zerotrade, zerotradeAlt12 in earlier versions).
FailureProbability requires book value of equity and its construction now follows Cohen, Polk, and Vuolteenaho (2003) (instead of just using ceqq) as referenced by Campbell, Hilscher and Szilagyi (2008).
We verified that there is no look-ahead bias in signals that use cfacshr or cfacpr.
In the process, we lagged ShareIss5Y by an additional 5 months and we included alternative code (as a comment) for ShareIss1Y that closely follows Pontiff and Woodgate (2008) that gives very similar results to our implemented version.
We still need to check signals that are based on 13F data.
