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Detail for 6
Portfolios Formed Monthly on Size and Short-Term Reversal
| Monthly
Returns: |
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February 1926 - August 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 2
portfolios formed on size (market equity, ME) and 3 portfolios formed on prior
(1-1) return. The monthly size breakpoint is the median NYSE market equity. The
monthly prior (1-1) return breakpoints are the 30th and 70th NYSE
percentiles. |
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| Stocks: |
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The
six 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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