sS Strategies by Size Construction Details:
| Construction: | All strategies consist of a time-series of value-weighted returns on a long/short self-financing portfolio, constructed using a decile sort on a signal. The strategies are constructed using a buy/hold (sS) rule, under which a trader will buy (sell short) stocks when they get into the top (bottom) s%, and hold them by restricting sales (short covers) only for stocks that leave the top (bottom) S%. |
| Universe: | All domestic common shares trading on NYSE, AMEX, and NASDAQ with available accounting data and returns. For the strategies using the annual files, accounting data for fiscal-year end of year t is matched with stock returns data from July of year t+1 until June of year t+2 to avoid look-ahead bias. For the strategies that use the quarterly files, the accounting data for a given quarter are matched to the end of the month in which they were reported. In each month, the universe of firms is split into Micro-, Small-, and Large-caps based on NYSE 20th and 50th percentile breakpoints. |
| Period: | July 1963 - December 2012 (full period) for the anomalies using the annual files July 1973 - December 2012 (recent period) for the anomalies using the quarterly files. |
| Transactions Costs: | The trading costs used come from the effective bid-ask spread measure proposed by Hasbrouck (2009). His SAS code that constructs the costs is available here. |
| Further Details: | You can find details on the signals used for the construction of the strategies here. For further details, please see the paper. |