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Detail for 6
Portfolios Formed Daily on Size and Short-Term Reversal
Daily
Returns: |
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January 26, 1926 - September 30, 2024 |
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Construction: |
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The
portfolios, which are constructed daily, are the intersections of 2
portfolios formed on size (market equity, ME) and 3 portfolios formed on prior
(1-1) return. The daily size breakpoint is the median NYSE market equity. The
daily prior (1-1) return breakpoints are the 30th and 70th NYSE
percentiles. |
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Stocks: |
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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 t-21 and a good return for t-1.
In addition, any missing returns from day t-20 to t-2 must also 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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