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Detail for 25 Portfolios Formed Daily on Size and Momentum

Daily Returns:   November 3, 1926-April 30, 2017
     
Construction:   The portfolios, which are constructed daily, are the intersections of 5 portfolios formed on size (market equity, ME) and 5 portfolios formed on prior (2-12) return. The daily size breakpoints are the NYSE market equity quintiles. The daily prior (2-12) return breakpoints are NYSE quintiles.
     
Stocks:   The portfolios constructed each day include NYSE, AMEX, and NASDAQ stocks with prior return data. To be included in a portfolio for day t, a stock must have a price for the day t-251 and a good return for t-21. In addition, any missing returns from day t-250 to t-22 must be -99.0, CRSP's code for a missing price. Each included stock also must have ME for the end of day t-1.

 

 

Copyright Kenneth R. French