| Construction: |
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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,
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ST_Rev =
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1/2
(Small Low + Big Low)
- 1/2(Small High + Big High). |
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