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Detail for Daily Long-Term Reversal Factor (LT_Rev)

Daily Returns:   March 20, 1930 - March 31, 2017
     
Construction:  

We use six value-weight portfolios formed on size and prior (13-60) returns to construct LT_Rev. The portfolios, which are formed daily, are the intersections of 2 portfolios formed on size (market equity, ME) and 3 portfolios formed on prior (13-60) return. The daily size breakpoint is the median NYSE market equity. The daily 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 day include NYSE, AMEX, and NASDAQ stocks with prior return data. To be included in a portfolio for day t (formed at the end of day t-1), a stock must have a price for the end of day t-1251 and a good return for t-251. In addition, any missing returns from t-1250 to t-252 must be -99.0, CRSP's code for a missing price. Each included stock also must have ME for the end of day t-1.