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Detail for 25 Portfolios Formed Monthly on Size and Momentum

Monthly Returns:   January 1927- July 2021
Annual Returns:   1927-2020
Construction:   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.
Stocks:   The portfolios constructed each month include NYSE, AMEX, and NASDAQ stocks with prior return data. To be included in a portfolio for month t in the monthly returns (formed at the end of 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 month t-1.



Copyright Kenneth R. French