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Detail
for Momentum Factor (Mom)
| Daily Returns: |
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July 1, 1963-March
31, 2008 |
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| Monthly Returns: |
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January
1927-March 2008 |
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| Annual
Returns: |
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1927-2007 |
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| Construction: |
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We use six value-weight
portfolios formed on size and prior (2-12) returns to construct Mom. The
portfolios, which are formed monthly, are the intersections of 2 portfolios
formed on size (market equity, ME) and 3 portfolios formed on prior (2-12)
return. The monthly size breakpoint is the median NYSE market equity. The
monthly prior (2-12) return breakpoints are the 30th and 70th
NYSE percentiles.
Mom is the average return on the two high prior return portfolios minus the
average return on the two low prior return portfolios,
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Mom =
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1/2
(Small High + Big High)
- 1/2(Small Low + Big Low). |
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| Stocks: |
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The
six portfolios used to construct Mom 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 the month t-1), a stock must have a price for the end of
month t-13 and a good return for t-2. In addition, any missing returns from
t-12 to t-3 must be -99.0, CRSP's code for a missing price. Each included stock
also must have ME for the end of t-1. |
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