Kenneth R. French - Detail for 25 Portfolios Formed Daily on Size and Long-Term

        Reversal ([original](http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/Data%5FLibrary/det%5F25%5Fport%5Fform%5Fsz%5Fpr%5F60%5F13%5Fdaily.html)) ([raw](?raw))

Detail for 25 Portfolios Formed Daily on Size and Long-Term Reversal

| Daily Returns: | | March 20, 1926- August 31, 2024 | | ------------------ | | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- | | | | | | | Construction: | | The portfolios, which are constructed daily, are the intersections of 5 portfolios formed on size (market equity, ME) and 5 portfolios formed on prior (13-60) return. The daily size breakpoints are the NYSE market quintiles. The daily prior (13-60) return breakpoints are NYSE quintiles. | | | | | | | Stocks: | | The portfolios constructed 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. |