%This file was created by CMPT_ME_PRIOR_RETS using the 200511 CRSP database. It %contains a momentum factor, constructed from six value-weight portfolios formed %using independent sorts on size and prior return of NYSE, AMEX, and NASDAQ stocks. %UMD is the average of the returns on two (big and small) high prior return portfolios %minus the average of the returns on two low prior return portfolios. The portfolios %are constructed monthly. Big means a firm is above the median market cap on the NYSE %at the end of the previous month; small firms are below the median NYSE market cap. %Prior return is measured from month -12 to -2. Firms in the low prior return %portfolio are below the 30th NYSE percentile. Those in the high portfolio are above %the 70th NYSE percentile. % %Missing data are indicated by -99.99 or -999. %updated 2/14/02 to include 12/05 data % UMD 192701 0.17 192702 -2.16 192703 2.79 192704 4.59 192705 2.87 192706 0.79 192707 4.00 192708 0.78 192709 1.84 192710 -1.56 192711 -0.19 192712 2.91 192801 -0.24 192802 -1.37 192803 5.18 192804 -3.88 192805 2.03 192806 1.68 192807 2.68 192808 4.82 192809 3.62 192810 4.37 192811 1.07 192812 1.68 192901 1.80 192902 2.57 192903 -0.02 192904 2.40 192905 -2.83 192906 9.83 192907 3.67 192908 4.10 192909 1.38 192910 4.47 192911 -1.07 192912 3.83 193001 -4.29 193002 0.41 193003 -4.17 193004 2.11 193005 -0.54 193006 6.73 193007 -2.55 193008 3.91 193009 11.34 193010 7.08 193011 -0.86 193012 13.47 193101 -9.25 193102 -15.46 193103 9.87 193104 11.82 193105 9.17 193106 -17.22 193107 8.14 193108 -3.90 193109 9.52 193110 3.36 193111 7.71 193112 14.89 193201 -10.78 193202 3.55 193203 9.96 193204 7.34 193205 13.73 193206 -2.13 193207 -44.13 193208 -50.92 193209 0.52 193210 4.69 193211 -3.21 193212 5.34 193301 -3.05 193302 4.37 193303 3.44 193304 -14.09 193305 -6.52 193306 3.27 193307 -0.63 193308 7.61 193309 1.52 193310 -2.72 193311 5.83 193312 3.12 193401 -3.46 193402 -0.82 193403 -0.32 193404 -4.97 193405 -3.43 193406 -0.46 193407 8.87 193408 2.44 193409 -0.66 193410 6.54 193411 5.01 193412 5.20 193501 2.75 193502 13.77 193503 2.03 193504 -4.69 193505 -3.70 193506 2.99 193507 -4.87 193508 -8.14 193509 8.81 193510 2.03 193511 -4.73 193512 3.93 193601 -3.72 193602 2.62 193603 1.45 193604 -7.85 193605 2.76 193606 0.74 193607 3.30 193608 0.75 193609 1.00 193610 1.38 193611 1.81 193612 1.80 193701 -1.65 193702 2.90 193703 2.66 193704 -3.59 193705 0.54 193706 1.50 193707 -0.27 193708 -1.51 193709 -6.81 193710 -1.31 193711 0.20 193712 4.29 193801 -1.13 193802 -3.30 193803 16.46 193804 -9.22 193805 6.53 193806 -24.20 193807 -5.36 193808 3.52 193809 2.38 193810 -7.66 193811 3.81 193812 1.82 193901 -2.94 193902 3.38 193903 -1.65 193904 3.03 193905 3.78 193906 2.09 193907 0.50 193908 4.99 193909 -31.91 193910 7.06 193911 0.11 193912 5.14 194001 1.67 194002 1.84 194003 -0.50 194004 3.21 194005 2.39 194006 -2.11 194007 0.60 194008 -2.05 194009 -0.14 194010 -6.04 194011 1.59 194012 3.35 194101 -4.02 194102 0.96 194103 1.96 194104 2.76 194105 2.99 194106 -1.07 194107 -2.15 194108 0.14 194109 -1.80 194110 5.67 194111 4.16 194112 0.41 194201 -3.81 194202 -0.82 194203 -0.66 194204 -0.69 194205 -4.43 194206 -1.42 194207 0.94 194208 0.14 194209 -0.20 194210 -3.61 194211 -0.92 194212 3.96 194301 -0.79 194302 -1.94 194303 4.62 194304 6.24 194305 5.25 194306 -1.38 194307 -4.60 194308 0.35 194309 1.93 194310 -0.23 194311 -4.64 194312 6.25 194401 0.57 194402 0.49 194403 2.68 194404 0.50 194405 1.72 194406 -5.00 194407 0.20 194408 4.11 194409 -1.14 194410 -1.48 194411 1.54 194412 3.01 194501 0.16 194502 2.89 194503 -2.94 194504 4.60 194505 -0.07 194506 4.14 194507 -2.41 194508 -1.96 194509 1.51 194510 -0.05 194511 4.36 194512 1.54 194601 3.87 194602 -1.84 194603 2.25 194604 2.66 194605 -0.70 194606 -2.24 194607 -0.19 194608 -0.16 194609 1.01 194610 0.80 194611 0.26 194612 -0.03 194701 -6.27 194702 -0.56 194703 4.10 194704 4.85 194705 3.54 194706 -1.80 194707 -3.11 194708 3.34 194709 -0.02 194710 1.23 194711 4.41 194712 3.61 194801 -4.17 194802 1.49 194803 -0.47 194804 3.90 194805 2.39 194806 3.95 194807 -1.52 194808 0.25 194809 -1.31 194810 2.82 194811 0.95 194812 4.79 194901 -3.14 194902 -0.36 194903 -0.81 194904 2.96 194905 3.16 194906 -0.84 194907 -1.61 194908 1.60 194909 -1.52 194910 -0.05 194911 1.29 194912 -0.69 195001 -2.44 195002 1.15 195003 1.55 195004 0.42 195005 0.41 195006 -1.94 195007 -0.12 195008 2.98 195009 -0.22 195010 1.64 195011 3.68 195012 4.81 195101 2.40 195102 -1.67 195103 -2.91 195104 5.98 195105 -1.19 195106 -2.14 195107 7.25 195108 0.93 195109 0.67 195110 -0.22 195111 0.73 195112 1.62 195201 1.38 195202 -0.84 195203 1.61 195204 -2.13 195205 0.57 195206 1.50 195207 -0.48 195208 0.32 195209 1.74 195210 2.75 195211 0.42 195212 1.55 195301 0.72 195302 0.84 195303 0.13 195304 1.91 195305 0.84 195306 0.06 195307 -0.27 195308 2.03 195309 2.91 195310 0.30 195311 1.83 195312 5.21 195401 -5.78 195402 1.08 195403 2.14 195404 4.95 195405 -1.84 195406 3.47 195407 0.64 195408 -0.88 195409 2.55 195410 1.00 195411 1.61 195412 -1.25 195501 1.40 195502 1.01 195503 1.03 195504 -0.10 195505 0.62 195506 4.54 195507 -1.31 195508 1.88 195509 1.80 195510 -0.46 195511 2.63 195512 -1.51 195601 -1.45 195602 2.00 195603 3.58 195604 2.56 195605 -1.77 195606 2.67 195607 2.48 195608 -0.30 195609 -1.29 195610 2.13 195611 3.58 195612 3.86 195701 -2.93 195702 0.32 195703 -0.24 195704 0.89 195705 0.36 195706 0.71 195707 -0.01 195708 0.26 195709 0.60 195710 1.84 195711 1.33 195712 7.75 195801 -7.77 195802 3.80 195803 -1.94 195804 1.89 195805 -1.88 195806 -1.03 195807 -3.65 195808 0.29 195809 -1.28 195810 3.14 195811 1.50 195812 -0.62 195901 -0.34 195902 3.42 195903 0.12 195904 3.21 195905 1.52 195906 2.93 195907 -0.34 195908 -1.08 195909 0.82 195910 3.44 195911 2.40 195912 0.95 196001 -3.28 196002 3.59 196003 1.85 196004 2.60 196005 4.77 196006 1.03 196007 -0.80 196008 2.04 196009 0.30 196010 1.27 196011 3.65 196012 1.40 196101 -4.02 196102 0.92 196103 4.10 196104 3.39 196105 -1.48 196106 0.26 196107 0.29 196108 1.54 196109 0.76 196110 3.15 196111 1.14 196112 -2.17 196201 -2.09 196202 -1.01 196203 2.00 196204 2.88 196205 0.45 196206 6.40 196207 0.73 196208 -0.62 196209 3.94 196210 0.77 196211 -7.20 196212 5.89 196301 -2.08 196302 2.52 196303 1.58 196304 0.14 196305 0.37 196306 1.15 196307 1.03 196308 1.10 196309 0.15 196310 3.12 196311 -0.78 196312 1.68 196401 1.07 196402 0.24 196403 0.77 196404 -0.59 196405 2.62 196406 0.49 196407 -0.31 196408 -0.19 196409 -0.40 196410 0.16 196411 1.10 196412 -0.71 196501 -1.37 196502 0.32 196503 0.10 196504 2.57 196505 0.54 196506 -3.16 196507 4.08 196508 2.56 196509 3.30 196510 3.43 196511 4.41 196512 0.11 196601 5.38 196602 4.54 196603 1.36 196604 6.15 196605 -4.70 196606 3.34 196607 -1.38 196608 -2.10 196609 -1.76 196610 -5.13 196611 5.68 196612 1.07 196701 -6.76 196702 3.57 196703 1.43 196704 0.62 196705 0.58 196706 6.03 196707 -1.07 196708 -1.42 196709 2.54 196710 3.63 196711 1.29 196712 3.23 196801 -4.65 196802 -3.39 196803 3.17 196804 5.12 196805 3.76 196806 -1.88 196807 -0.90 196808 1.88 196809 -0.59 196810 -1.44 196811 1.73 196812 0.28 196901 -0.15 196902 -2.42 196903 4.02 196904 1.16 196905 1.63 196906 -2.28 196907 1.70 196908 2.17 196909 2.50 196910 -4.32 196911 3.64 196912 4.97 197001 0.60 197002 0.18 197003 -0.27 197004 -0.70 197005 -2.63 197006 5.76 197007 -3.12 197008 -6.45 197009 -8.90 197010 9.54 197011 2.86 197012 -2.21 197101 -6.60 197102 0.78 197103 -1.34 197104 1.45 197105 0.90 197106 2.76 197107 -2.33 197108 3.53 197109 2.08 197110 0.52 197111 1.45 197112 -0.62 197201 0.28 197202 2.55 197203 2.92 197204 2.67 197205 3.29 197206 1.94 197207 2.81 197208 -5.37 197209 1.80 197210 0.74 197211 -5.18 197212 4.99 197301 3.68 197302 2.16 197303 3.61 197304 6.32 197305 7.11 197306 4.34 197307 -11.57 197308 3.48 197309 -7.23 197310 6.79 197311 8.69 197312 10.33 197401 -8.89 197402 0.13 197403 -0.90 197404 2.15 197405 -0.38 197406 2.33 197407 3.15 197408 2.99 197409 4.16 197410 -0.81 197411 2.17 197412 2.94 197501 -13.83 197502 -0.55 197503 -2.01 197504 1.39 197505 -0.55 197506 0.06 197507 0.43 197508 -0.14 197509 0.40 197510 -0.14 197511 -0.45 197512 -0.13 197601 4.47 197602 0.36 197603 0.17 197604 0.52 197605 -1.13 197606 -0.42 197607 -0.10 197608 -0.86 197609 0.21 197610 -0.45 197611 2.92 197612 0.76 197701 3.96 197702 0.38 197703 0.54 197704 4.20 197705 2.08 197706 1.78 197707 0.36 197708 -1.69 197709 2.07 197710 -0.06 197711 2.18 197712 1.59 197801 -0.67 197802 1.97 197803 1.40 197804 0.88 197805 2.87 197806 2.76 197807 4.17 197808 2.85 197809 -3.13 197810 -8.38 197811 5.40 197812 3.07 197901 -1.40 197902 -1.10 197903 2.91 197904 0.75 197905 -0.58 197906 0.86 197907 -1.10 197908 -0.22 197909 5.29 197910 2.15 197911 7.96 197912 4.78 198001 7.50 198002 7.87 198003 -9.59 198004 -0.44 198005 -1.11 198006 1.59 198007 0.39 198008 3.16 198009 5.43 198010 7.29 198011 15.21 198012 -6.65 198101 -7.93 198102 -1.37 198103 0.74 198104 -0.94 198105 3.74 198106 -5.86 198107 -2.47 198108 -1.10 198109 2.02 198110 4.10 198111 -0.27 198112 1.31 198201 1.71 198202 4.88 198203 2.93 198204 -0.41 198205 2.53 198206 5.04 198207 4.43 198208 -3.53 198209 4.20 198210 0.00 198211 5.95 198212 0.02 198301 -1.72 198302 3.82 198303 0.91 198304 1.80 198305 -1.58 198306 1.78 198307 -3.15 198308 -5.44 198309 -0.09 198310 -4.54 198311 -0.17 198312 0.80 198401 -2.47 198402 0.21 198403 1.01 198404 2.11 198405 1.62 198406 -0.68 198407 2.87 198408 -5.59 198409 3.69 198410 3.21 198411 1.65 198412 1.53 198501 -6.89 198502 1.83 198503 1.68 198504 3.02 198505 3.98 198506 3.63 198507 -3.93 198508 1.76 198509 1.50 198510 4.87 198511 -0.46 198512 -0.08 198601 2.95 198602 2.70 198603 2.45 198604 -0.50 198605 2.03 198606 5.14 198607 1.79 198608 -5.00 198609 -5.86 198610 2.71 198611 -0.31 198612 0.39 198701 2.19 198702 -2.17 198703 1.62 198704 0.21 198705 -0.73 198706 -0.21 198707 2.71 198708 -0.87 198709 0.70 198710 -7.87 198711 -1.16 198712 5.77 198801 -7.44 198802 -1.56 198803 0.65 198804 2.26 198805 0.67 198806 -2.94 198807 0.62 198808 0.31 198809 0.26 198810 1.31 198811 0.40 198812 0.43 198901 -0.15 198902 0.87 198903 3.56 198904 1.70 198905 1.54 198906 0.65 198907 5.40 198908 -0.14 198909 3.35 198910 1.40 198911 2.60 198912 2.76 199001 -3.31 199002 -0.53 199003 1.73 199004 2.36 199005 3.04 199006 2.37 199007 5.94 199008 1.81 199009 5.52 199010 6.65 199011 -5.66 199012 0.12 199101 -6.61 199102 -4.79 199103 2.81 199104 -2.42 199105 -0.15 199106 0.43 199107 4.39 199108 1.58 199109 1.73 199110 3.18 199111 1.24 199112 8.28 199201 -2.46 199202 -0.68 199203 -0.32 199204 -2.54 199205 0.09 199206 -0.60 199207 1.46 199208 -0.52 199209 1.43 199210 2.71 199211 -0.25 199212 4.45 199301 4.80 199302 3.09 199303 3.73 199304 0.32 199305 0.26 199306 4.50 199307 3.23 199308 2.55 199309 3.45 199310 -2.67 199311 -4.76 199312 2.28 199401 0.01 199402 -0.26 199403 -1.31 199404 0.42 199405 -2.18 199406 -0.85 199407 0.19 199408 1.53 199409 1.29 199410 1.46 199411 -0.19 199412 3.48 199501 -1.82 199502 -0.36 199503 0.43 199504 1.83 199505 -0.44 199506 2.88 199507 2.54 199508 0.15 199509 2.86 199510 4.18 199511 -0.60 199512 2.53 199601 0.53 199602 0.60 199603 -1.86 199604 -0.92 199605 1.63 199606 0.96 199607 -0.13 199608 0.02 199609 2.68 199610 3.87 199611 -2.24 199612 0.58 199701 1.94 199702 -2.02 199703 0.96 199704 4.92 199705 -5.21 199706 2.53 199707 3.81 199708 -2.57 199709 1.48 199710 -0.44 199711 0.31 199712 3.92 199801 0.19 199802 -1.11 199803 2.11 199804 0.76 199805 1.84 199806 7.31 199807 3.76 199808 1.87 199809 -0.67 199810 -5.30 199811 1.22 199812 9.02 199901 3.01 199902 -0.12 199903 -1.35 199904 -9.13 199905 -5.25 199906 5.06 199907 1.63 199908 3.12 199909 6.44 199910 5.48 199911 5.68 199912 13.23 200001 1.83 200002 18.38 200003 -6.77 200004 -8.49 200005 -9.15 200006 16.42 200007 -0.06 200008 5.73 200009 2.18 200010 -4.70 200011 -2.46 200012 6.83 200101 -25.00 200102 12.68 200103 8.37 200104 -8.05 200105 2.09 200106 0.31 200107 5.51 200108 5.45 200109 11.57 200110 -8.45 200111 -8.60 200112 0.03 200201 3.73 200202 6.84 200203 -1.66 200204 7.92 200205 3.05 200206 6.17 200207 3.37 200208 1.70 200209 9.11 200210 -5.18 200211 -16.25 200212 9.68 200301 1.54 200302 1.30 200303 1.50 200304 -9.55 200305 -10.83 200306 -1.03 200307 -0.37 200308 -0.50 200309 -0.08 200310 3.72 200311 1.64 200312 -5.67 200401 2.54 200402 -1.13 200403 0.21 200404 -5.37 200405 1.65 200406 2.13 200407 -2.35 200408 -1.50 200409 5.28 200410 -1.54 200411 3.18 200412 -2.78 200501 3.08 200502 3.26 200503 0.95 200504 -0.82 200505 0.35 200506 2.08 200507 0.12 200508 2.19 200509 3.46 200510 -1.34 200511 0.39 200512 0.72