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Detail for 25
Portfolios Formed on Size and Momentum
| Daily
Returns: |
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July
1, 1963-December 31, 2007 |
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| Monthly
Returns: |
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January
1927-December 2007 |
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| Annual
Returns: |
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1927-2007 |
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| Construction: |
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The
portfolios, which are constructed monthly, are the intersections of 5
portfolios formed on size (market equity, ME) and 5 portfolios formed on prior
(2-12) return. The monthly size breakpoints are the NYSE market equity
quintiles. The monthly prior (2-12) return breakpoints are NYSE quintiles. |
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| Stocks: |
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The
portfolios constructed each month include NYSE, AMEX, and NASDAQ stocks with
prior return data. To be included in a portfolio for month t (formed at the end
of the month t-1), a stock must have a price for the end of month t-13 and a
good return for t-2. In addition, any missing returns from t-12 to t-3 must be
-99.0, CRSP's code for a missing price. Each included stock also must have ME
for the end of t-1. |
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