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Detail for 10
Portfolios Formed Daily on Momentum
| Daily
Returns: |
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November 3, 1926- August 31, 2024 |
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| Construction: |
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The
portfolios are constructed daily using NYSE prior (2-12) return decile
breakpoints. |
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| Stocks: |
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The
portfolios constructed each day include NYSE, AMEX, and NASDAQ stocks with
prior return data. To be included in a portfolio for day t, a stock must have a price for the day t-251 and a good return for t-21.
In addition, any missing returns from day t-250 to t-22 must be -99.0, CRSP's code for a missing price.
Each included stock also must have ME for the end of day t-1. |
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