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Detail for 25 Portfolios Formed Monthly on Size and Short-Term Reversal

Monthly Returns:   February 1926- October 2024
     
Annual Returns:   1927-2023
     
Construction:   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.
     
Stocks:   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.

 

 

Copyright Eugene F. Fama and Kenneth R. French