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Detail for Monthly Short-Term Reversal Factor (ST_Rev)

Monthly Returns:   February 1926 - January 2017
     
Annual Returns:   1927 - 2016
     
Construction:  

We use six value-weight portfolios formed on size and prior (1-1) returns to construct ST_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 (1-1) return. The monthly size breakpoint is the median NYSE market equity. The monthly prior (1-1) return breakpoints are the 30th and 70th NYSE percentiles.

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


  ST_Rev = 1/2 (Small Low + Big Low)
 - 1/2(Small High + Big High).
 
     
Stocks:   The six portfolios used to construct ST_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-2 and a good return for t-1. Each included stock in either the monthly also must have ME for the end of month t-1.