te = Log of total equity value of portfolio in thousands nstk = Number of stocks in portfolio For all of the following variables, see Bushee [2001] for more details pturn = Factor that combines pt1, pt2, stab1, stab2 pt1 = Portfolio turnover using change in te pt2 = Portfolio turnover using only sales transactions stab1 = Pct of total dollar holdings held for 2 years stab2 = Pct of number of portfolio firms held for 2 years block = Factor that combines lbph, lbpf, aph, and conc lbph = Pct of total dollar holdings with greater than 5% stake lbpn = Pct of number of portfolio firms with greater than 5% stake aph = Average pct ownership in portfolio firms conc = Average investment per stock (te/nstk) For all of the following variables, see Abarbanell, Bushee, and Raedy [2003] for more details fsize = Factor that combines wamc, wasp, watime, waprc wamc = Wtd avg market cap of portfolio firms wasp = Wtd avg S&P 500 membership watime = Wtd avg time listed waprc = Wtd avg price per share pgrow = Factor that combines waegr, wasgr, wabta, wastd waegr = Wtd avg earnings growth wasgr = Wtd avg sales growth wabta = Wtd avg beta wastd = Wtd avg standard deviation of returns value = Factor that combines waep, wadp, wabp waep = Wtd avg E/P ratio wadp = Wtd avg D/P ratio wabp = Wtd avg B/P ratio fiduc = Factor that combines wadup, waped, warate, wade wadup = Wtd avg. portfolio firms with 5-consec yrs earnings growth warate = Wtd avg S&P stock rating (now called "Quality Rating") waped = Wtd avg positive earrnings dummy wade = Wtd avg Debt/Equity ratio For all of the following variables, see Blouin, Bushee, and Sikes [2017] for more details aprl1 = abnormal percent of realized losses in quarter 1 (relative to quarters 2 and 3) aprl4 = abnormal percent of realized losses in quarter 4 (relative to quarters 2 and 3) aprg1 = abnormal percent of realized gains in quarter 1 (relative to quarters 2 and 3) aprg4 = abnormal percent of realized gains in quarter 4 (relative to quarters 2 and 3)