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Detail
for Daily Short-Term Reversal Factor (ST_Rev)
| Daily Returns: |
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January 26, 1926 - October 31, 2024 |
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| 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 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,
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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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| Stocks: |
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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. |
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