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Detail for 10
Portfolios Formed on Short-Term Reversal
| Daily
Returns: |
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September
1, 1962-September 30, 2009 |
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| Monthly
Returns: |
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February
1926-September 2009 |
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| Annual
Returns: |
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1927-2008 |
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| Construction: |
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The
portfolios are constructed monthly using NYSE prior (1-1) return decile
breakpoints. |
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| Stocks: |
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The
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-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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