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Detail for 10 Portfolios Formed Daily on Short-Term Reversal

Daily Returns:   January 26, 1926-January 31, 2017
     
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