|
|
Detail for 10
Portfolios Formed on Short-Term Reversal
| Daily
Returns: |
|
August
1, 1962-December 31, 2007 |
| |
|
|
| Monthly
Returns: |
|
February
1926-December 2007 |
| |
|
|
| Annual
Returns: |
|
1927-2007 |
| |
|
|
| 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 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. |
|
