

Detail for 6
Portfolios Formed Daily on Size and ShortTerm Reversal
Daily
Returns: 

January 26, 1926  September 30, 2023 



Construction: 

The
portfolios, which are constructed daily, are the intersections of 2
portfolios formed on size (market equity, ME) and 3 portfolios formed on prior
(11) return. The daily size breakpoint is the median NYSE market equity. The
daily prior (11) return breakpoints are the 30^{th} and 70^{th} NYSE
percentiles. 



Stocks: 

The
six 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 t21 and a good return for t1.
In addition, any missing returns from day t20 to t2 must also be 99.0, CRSP's code for a missing price.
Each included stock also must have ME for the end of day t1. 
