

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

January 1931 March 2018 



Annual
Returns: 

1931  2017 



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
(1360) return. The monthly size breakpoint is the median NYSE market equity.
The monthly prior (1360) return breakpoints are the 30^{th} and 70^{th}
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 t1), a stock must have a price for the end of
month t61 and a good return for t13. In addition, any missing returns from
t60 to t14 must be 99.0, CRSP's code for a missing price. Each included
stock also must have ME for the end of month t1. 
