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Detail for Monthly Long-Term Reversal Factor (LT_Rev)

Monthly Returns:   January 1931 -August 2017
     
Annual Returns:   1931 - 2016
     
Construction:  

We use six value-weight portfolios formed on size and prior (13-60) returns to construct LT_Rev. The portfolios, which are formed 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.

LT_Rev is the average return on the two low prior return portfolios minus the average return on the two high prior return portfolios,


  LT_Rev = 1/2 (Small Low + Big Low)
 - 1/2(Small High + Big High).
 
     
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 (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.