|
|
Detail for 25
Portfolios Formed Daily on Size and Long-Term Reversal
| Daily
Returns: |
|
March 20, 1926- February 29, 2024 |
| |
|
|
| Construction: |
|
The
portfolios, which are constructed daily, are the intersections of 5
portfolios formed on size (market equity, ME) and 5 portfolios formed on prior
(13-60) return. The daily size breakpoints are the NYSE market quintiles. The daily
prior (13-60) return breakpoints are NYSE quintiles. |
| |
|
|
| 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 the end of day t-1. |
|
