

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

March 20, 1930  March 31, 2018 



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
(1360) return. The daily size breakpoint is the median NYSE market equity.
The daily prior (1360) return breakpoints are the 30^{th} and 70^{th}
NYSE percentiles. 



Stocks: 

The
six portfolios used to construct LT_Rev 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 t1251 and a good return for t251.
In addition, any missing returns from day t1250 to t252 must be 99.0, CRSP's code for a missing price. Each included
stock also must have ME for the end of day t1. 
