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Detail for 6
Portfolios Formed on Size and Momentum
| Daily
Returns: |
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July 1, 1963-April 30, 2012 |
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| Monthly
Returns: |
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January 1927-April 2012 |
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| Annual
Returns: |
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1927-2011 |
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| Construction: |
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The
portfolios, which are constructed monthly, are the intersections of 2
portfolios formed on size (market equity, ME) and 3 portfolios formed on prior
(2-12) return. The monthly size breakpoint is the median NYSE market equity.
The monthly prior (2-12) return breakpoints are 30th and 70th
NYSE percentiles. |
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| Stocks: |
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The
six portfolios constructed each month include NYSE, AMEX, and NASDAQ stocks
with prior return data. To be included in a portfolio for month t (formed at
the end of the month t-1), a stock must have a price for the end of month t-13
and a good return for t-2. In addition, any missing returns from t-12 to t-3
must be -99.0, CRSP's code for a missing price. Each included stock also must
have ME for the end of t-1. |
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