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Detail for 25
Portfolios Formed Monthly on Size and Short-Term Reversal
Monthly
Returns: |
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February 1926- October 2024 |
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Annual
Returns: |
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1927-2023 |
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Construction: |
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The
portfolios, which are constructed monthly, are the intersections of 5
portfolios formed on size (market equity, ME) and 5 portfolios formed on prior
(1-1) return. The monthly size breakpoints are the NYSE market quintiles. The monthly
prior (1-1) return breakpoints are NYSE quintiles. |
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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 in the monthly
returns (formed at the end of month t-1), a stock must have a price for the end of month t-2 and a
good return for t-1. Each included stock also must have ME for the end of month t-1. |
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