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Detail for 25
Portfolios Formed Daily on Size and Momentum
| Daily
Returns: |
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November 3, 1926- October 31, 2024 |
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| Construction: |
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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. |
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| Stocks: |
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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. |
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