|
|
Detail for 10
Portfolios Formed Daily on Short-Term Reversal
| Daily
Returns: |
|
January 26, 1926- February 29, 2024 |
| |
|
|
| Construction: |
|
The
portfolios are constructed daily using NYSE prior (1-1) 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-21 and a good return for t-1.
In addition, any missing returns from day t-20 to t-2 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. |
|
