Curriculum Vitae
Working Papers
Data Library
  U.S. Research Returns
  U.S. Research Breakpoints
  U.S. Book Equity Data
  International Research Returns
Consulting Relationship
Fama / French Forum
Contact Information

Detail for 10 Portfolios Formed Daily on Short-Term Reversal

Daily Returns:   January 26, 1926- July 31, 2021
Construction:   The portfolios are constructed daily using NYSE prior (1-1) return decile breakpoints.
Stocks:   The portfolios constructed each day include NYSE, AMEX, and NASDAQ stocks with prior return data. To be included in a portfolio for day t, a stock must have a price for the day t-21 and a good return for t-1. In addition, any missing returns from day t-20 to t-2 must be -99.0, CRSP's code for a missing price. Each included stock also must have ME for the end of day t-1.



Copyright Kenneth R. French