|
|
Detail for Prior
(2-12) Return Breakpoints
| Monthly
Breakpoints: |
|
December 1926 - February 2024 |
| |
|
|
| Construction: |
|
We
compute prior return breakpoints for each month. The prior return at the end of
month t is the cumulative return from month t-11 to month t-1. |
| |
|
|
| Stocks: |
|
The
breakpoints for month t use NYSE stocks. To be included, a stock must have a
price for the end of month t-12 and a good return for t-1. In addition, any
missing returns from t-11 to t-2 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%. |
|
