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Detail for 6
Portfolios Formed Daily on Size and Long-Term Reversal
| Daily
Returns: |
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March 20, 1930 - August 31, 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
(13-60) return. The daily size breakpoint is the median NYSE market equity.
The daily 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 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. |
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