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Detail for 6 Portfolios Formed Monthly on Size and Short-Term Reversal

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



Copyright Kenneth R. French