Home
Biography
Curriculum Vitae
Working Papers
Data Library
  Benchmarks
  U.S. Research Returns
  U.S. Research Breakpoints
  U.S. Book Equity Data
  International Research Returns
Consulting Relationship
Fama / French Forum
Contact Information
 

Detail for 25 Portfolios Formed Monthly on Size and Short-Term Reversal

Monthly Returns:   February 1926-August 2017
     
Annual Returns:   1927-2016
     
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 (1-1) return. The monthly size breakpoints are the NYSE market quintiles. The monthly prior (1-1) 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-2 and a good return for t-1. Each included stock also must have ME for the end of month t-1.

 

 

Copyright Kenneth R. French