

Detail for 6
Portfolios Formed Daily on Size and Momentum
Daily
Returns: 

November 3, 1926  November 30, 2020 



Construction: 

The
portfolios, which are constructed daily, are the intersections of 2 portfolios formed on size (market equity, ME) and 3 portfolios formed on prior
(212) return. The daily size breakpoint is the median NYSE market equity.
The daily prior (212) return breakpoints are the 30^{th} and 70^{th}
NYSE percentiles. 









Stocks: 

The
six 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 t251 and a good return for t21.
In addition, any missing returns from day t250 to t22 must be 99.0, CRSP's code for a missing price. Each included
stock also must have ME for the end of day t1. 
