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Detail for 6 Portfolios Formed on Size and Short-Term Reversal

Daily Returns:   August 1, 1962-March 31, 2008
     
Monthly Returns:   February 1926-March 2008
     
Annual Returns:   1927-2007
     
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 (1-1) return. The monthly size breakpoint is the median NYSE market equity. The monthly prior (1-1) return breakpoints are 30th and 70th 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 (formed at the end of the 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 t-1.

 

 

Copyright Kenneth R. French