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Construction:
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All returns are in U.S. dollars, include dividends and
capital gains, and are not continuously compounded. We sort stocks in a
country into two market cap and three lagged momentum return groups at the
end of each month t.
Big stocks are those in the top 90% of market cap for the country, and small
stocks are those in the bottom 10%. For portfolios formed at the end of
month t–1, the lagged momentum return is a stock's cumulative return for
t–12 to t–2. The momentum breakpoints for all stocks in a country are the
30th and 70th percentiles of the lagged momentum returns of the country's
big stocks.
We use size and momentum breakpoints for each country to allocate the stocks to the country portfolios.
The independent 2x3 sorts on size and momentum produce six
value-weight portfolios, small losers (low momentum), small neutral, small winners (high momentum), big losers, big neutral, and big winners.
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Stocks:
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The six portfolios constructed each month include stocks
with prior return data. To be included in a portfolio for month t (formed
at the end of the month t–1), a stock must have a price for the end of
month t–13 and a good return for t–2.
The emerging markets countries currently include:
Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Malaysia, Mexico, Kuwait, Peru,
Philippines, Poland, Qatar, Saudi Arabia, South Africa, South Korea, Taiwan, Thailand, Turkey, United Arab Emirates.
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