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

Daily Returns:   January 26, 1926 - June 30, 2017
     
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 (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.
     
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 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.

 

 

Copyright Kenneth R. French