

Detail for 6
Portfolios Formed Monthly on Size and ShortTerm Reversal
Monthly
Returns: 

February 1926  July 2020 



Annual
Returns: 

1927  2019 



Construction: 

The
portfolios, which are constructed monthly, are the intersections of 2
portfolios formed on size (market equity, ME) and 3 portfolios formed on prior
(11) return. The monthly size breakpoint is the median NYSE market equity. The
monthly prior (11) return breakpoints are the 30^{th} and 70^{th} NYSE
percentiles. 



Stocks: 

The
six 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 t1), a stock must have a price for the end of month t2
and a good return for t1. Each included stock also must have ME for the end of month t1. 
