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Detail for 6
Portfolios Formed Monthly 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 - 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
(13-60) return. The monthly size breakpoint is the median NYSE market equity.
The monthly prior (13-60) return breakpoints are the 30th and 70th
NYSE percentiles. |
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| Stocks: |
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The
six portfolios used to construct LT_Rev 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-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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