Home
Biography
Curriculum Vitae
Working Papers
Data Library
  Benchmarks
  U.S. Research Returns
  U.S. Research Breakpoints
  U.S. Book Equity Data
  International Research Returns
Consulting Relationship
Fama / French Forum
Contact Information
 

Detail for 6 Portfolios Formed Monthly on Size and Long-Term Reversal

Monthly Returns:   January 1931 - January 2017
     
Annual Returns:   1931 - 2016
     
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 (13-60) return. The monthly size breakpoint is the median NYSE market equity. The monthly prior (13-60) return breakpoints are the 30th and 70th NYSE percentiles.
     
Stocks:   The six portfolios used to construct LT_Rev 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 t-1), a stock must have a price for the end of month t-61 and a good return for t-13. In addition, any missing returns from t-60 to t-14 must be -99.0, CRSP's code for a missing price. Each included stock also must have ME for the end of month t-1.

 

 

Copyright Kenneth R. French