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Detail for 10 Portfolios Formed Daily on Momentum

Daily Returns:   November 3, 1926- May 31, 2024
Construction:   The portfolios are constructed daily using NYSE prior (2-12) return decile breakpoints.
Stocks:   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.



Copyright Kenneth R. French