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Detail for 10
Portfolios Formed Monthly on Momentum
| Monthly
Returns: |
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January 1927- September 2024 |
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| Annual
Returns: |
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1927-2023 |
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| Construction: |
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The
portfolios are constructed monthly using NYSE prior (2-12) 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-13 and a good return for t-2.
In addition, any missing returns from t-12 to t-3 must be -99.0, CRSP's code for a missing price.
Each included stock also must have ME for the end of month t-1. |
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