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Detail for 10
Portfolios Formed Monthly on Short-Term Reversal
| Monthly
Returns: |
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February 1926- August 2025 |
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| Annual
Returns: |
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1927-2024 |
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| Construction: |
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The
portfolios are constructed monthly using NYSE prior (1-1) return decile
breakpoints. |
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| Stocks: |
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The
portfolios constructed 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 also must have ME for the end of month t-1. |
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