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Detail for Daily Short-Term Reversal Factor (ST_Rev)

Daily Returns:   January 26, 1926 - January 31, 2024
     
Construction:  

We use six value-weight portfolios formed on size and prior (1-1) returns to construct ST_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 (1-1) return. The daily size breakpoint is the median NYSE market equity. The daily 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 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-21 and a good return for t-2. In addition, any missing returns from day t-20 to t-2 must also be -99.0, CRSP's code for a missing price. Each included stock also must have ME for the end of day t-1.