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Detail for 10 Portfolios Formed Monthly on Short-Term Reversal

Monthly Returns:   February 1926- January 2024
     
Annual Returns:   1927-2021
     
Construction:   The portfolios are constructed monthly using NYSE prior (1-1) return decile breakpoints.
     
Stocks:   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 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 month t-1.

 

 

Copyright Kenneth R. French