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Detail
for Monthly Long-Term Reversal Factor (LT_Rev)
| 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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We use six value-weight
portfolios formed on size and prior (13-60) returns to construct LT_Rev. The
portfolios, which are formed 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.
LT_Rev is the average return on the two low prior return portfolios minus the
average return on the two high prior return portfolios,
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LT_Rev =
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1/2
(Small Low + Big Low)
- 1/2(Small High + Big High). |
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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
(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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