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
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.
Asset Pricing, Behavioral Finance, Empirical Finance