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Detail
for Daily Momentum Factor (Mom)
| Daily Returns: |
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November 3, 1926 - February 29, 2024 |
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| Construction: |
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We use six value-weight
portfolios formed on size and prior (2-12) returns to construct Mom. The
portfolios, which are formed daily, are the intersections of 2 portfolios
formed on size (market equity, ME) and 3 portfolios formed on prior (2-12)
return. The daily size breakpoint is the median NYSE market equity. The
daily prior (2-12) return breakpoints are the 30th and 70th
NYSE percentiles.
Mom is the average return on the two high prior return portfolios minus the
average return on the two low prior return portfolios,
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Mom =
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1/2
(Small High + Big High)
- 1/2(Small Low + Big Low). |
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| Stocks: |
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The
six portfolios used to construct Mom each day include NYSE, AMEX, and NASDAQ
stocks with prior return data. To be included in a portfolio for day t
(formed at the end of day t-1), a stock must have a price for the end of
day t-251 and a good return for t-21. In addition, any missing returns from
t-250 to t-22 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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