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Detail
for Short-Term Reversal Factor (ST_Rev)
| Daily Returns: |
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September 1, 1962-December 30, 2011 |
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| Monthly Returns: |
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February 1926-December 2011 |
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| Annual
Returns: |
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1927-2011 |
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| Construction: |
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We use six value-weight
portfolios formed on size and prior (1-1) returns to construct ST_Rev. The
portfolios, which are formed monthly, are the intersections of 2 portfolios
formed on size (market equity, ME) and 3 portfolios formed on prior (1-1)
return. The monthly size breakpoint is the median NYSE market equity. The
monthly prior (1-1) return breakpoints are the 30th and 70th
NYSE percentiles.
ST_Rev is the average return on the two low prior return portfolios minus the
average return on the two high prior return portfolios,
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ST_Rev =
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1/2
(Small Low + Big Low)
- 1/2(Small High + Big High). |
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| Stocks: |
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The
six portfolios used to construct ST_Rev 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-2 and a good return for t-1. Each included stock also must have ME for
the end of t-1. |
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