Data for: The Ordering of Historical Returns and the Cross-Section of Subsequent Returns

Name: Data for: The Ordering of Historical Returns and the Cross-Section of Subsequent Returns
Creator: Hannes Mohrschladt
Published: 2021-01-27T06:49:08.512Z
Keywords: Asset Pricing, Behavioral Finance, Empirical Finance

Mohrschladt, Hannes

doi:10.17632/jd5jstp7p9.1

Data for: The Ordering of Historical Returns and the Cross-Section of Subsequent Returns

Published: 27 January 2021| Version 1 | DOI: 10.17632/jd5jstp7p9.1

Contributor:

Hannes Mohrschladt

Description

This file contains monthly long-short returns from decile portfolio sorts based on CRO_M and CRO_A. Portfolios are value-weighted and based on NYSE breakpoints.

Data for: The Ordering of Historical Returns and the Cross-Section of Subsequent Returns

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