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Detail for 25
Portfolios Monthly Formed on Size and Long-Term Reversal
| Monthly
Returns: |
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January 1931- February 2024 |
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| Annual
Returns: |
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1931-2021 |
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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
(13-60) return. The monthly size breakpoints are the NYSE market quintiles. The monthly
prior (13-60) 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 (formed at the end
of month t-1), a stock must have a price for the end of month t-61 and a
good return for t-13. In addition, any missing returns from t-60 to t-14 must
be -99.0, CRSP's code for a missing price. Each included stock also must have ME for the end of month t-1. |
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