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Detail for 6
Portfolios Formed Daily on Size and Momentum
Daily
Returns: |
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November 3, 1926 - September 30, 2024 |
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Construction: |
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The
portfolios, which are constructed daily, are the intersections of 2 portfolios formed on size (market equity, ME) and 3 portfolios formed on prior
(2-12) return. The daily size breakpoint is the median NYSE market equity.
The daily prior (2-12) return breakpoints are the 30th and 70th
NYSE percentiles. |
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Stocks: |
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The
six 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-251 and a good return for t-21.
In addition, any missing returns from day t-250 to t-22 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. |
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