

Detail
for Monthly LongTerm Reversal Factor (LT_Rev)
Monthly Returns: 

January 1931 July 2018 



Annual
Returns: 

1931  2017 



Construction: 

We use six valueweight
portfolios formed on size and prior (1360) 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 (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.
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 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. 
