I have a fairly short and straightforward question. I am running a dynamic optimization strategy and therefore need to construct the FF5 characteristics. I am using COMPUSTAT quarterly accounting data.
Now my question is why are all accounting variables such as Book-to-market ratio, size etc. constructed using at least 6 months following the FF 1992 convention. I understand that this ensures the availability of data to investors. What I do not understand is why this is not the case with a 3/4 month lag as all firms issue quarterly earning reports and therefore the information would be available correct?
I know that Asness/Frazzini (2013), the Devil in the HML details have written a paper highlighting the fact that updating the price (in book-to-market ratio) is superior to lagging it half a year. Why not also update the accounting variables every month and only include a three month lag (at most)?
I Hope someone provide some perspective.