

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

March 20, 1930  April 30, 2017 



Construction: 

We use six valueweight
portfolios formed on size and prior (1360) 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 (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.
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 t1), a stock must have a price for the end of
day t1251 and a good return for t251. In addition, any missing returns from
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. 
