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  Detail for Prior (2-12) Return Breakpoints

Monthly Breakpoints:   December 1926 -April 2017
     
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%.







 

 

 

Copyright Kenneth R. French