

Detail
for Daily Momentum Factor (Mom)
Daily Returns: 

November 3, 1926  May 31, 2020 



Construction: 

We use six valueweight
portfolios formed on size and prior (212) 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 (212)
return. The daily size breakpoint is the median NYSE market equity. The
daily prior (212) return breakpoints are the 30^{th} and 70^{th}
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,

Mom =

1/2
(Small High + Big High)
 1/2(Small Low + Big Low). 





Stocks: 

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 t1), a stock must have a price for the end of
day t251 and a good return for t21. In addition, any missing returns from
t250 to t22 must be 99.0, CRSP's code for a missing price. Each included
stock also must have ME for the end of day t1. 
