Curriculum Vitae
Working Papers
Data Library
  U.S. Research Returns
  U.S. Research Breakpoints
  U.S. Book Equity Data
  International Research Returns
Consulting Relationship
Fama / French Forum
Contact Information

Detail for 10 Portfolios Formed Daily on Long-Term Reversal

Daily Returns:   March 20, 1926- May 31, 2024
Construction:   The portfolios are constructed daily using NYSE prior (13-60) 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-1251 and a good return for t-251. In addition, any missing returns from day t-1250 to t-252 must be -99.0, CRSP's code for a missing price. Each included stock also must have ME for day t-1.



Copyright Kenneth R. French