

Detail for Prior
(212) Return Breakpoints
Monthly
Breakpoints: 

December 1926  May 2020 



Construction: 

We
compute prior return breakpoints for each month. The prior return at the end of
month t is the cumulative return from month t11 to month t1. 



Stocks: 

The
breakpoints for month t use NYSE stocks. To be included, a stock must have a
price for the end of month t12 and a good return for t1. In addition, any
missing returns from t11 to t2 must be 99.0, CRSP's code for a missing
price. 



Percentiles: 

The
file contains every fifth percentile of Prior Return, from 5% to 100%. 
