Daniel-Moskowitz (2015) Momentum Portfolios:
In conjunction with our work on our Momentum Crashes paper, we created a set of U.S. equity momentum portfolio returns which may be useful to some researchers. Monthly and daily returns from January 1927 through March 2013. (12,2) portfolios were formed based on:
- Total Firm Returns
- Industry Returns
- Residual Returns (i.e., net of industry)
The following files are available:
- This document describes the construction of the DM momentum portfolios, and presents some analysis of the differences between the portfolios.
- This compressed archive contains text files with the DM portfolio returns, as described in the document above, with data through 2013:12. These are the returns we used in the analysis in Daniel-Moskowitz (2015).
- This compressed archive contains the same set of text files, but with returns through 2016:12. (updated 2017:03)
Daniel and Titman (2006) Unpublished Appendices:
The Unpublished Appendices to "Market Reactions to Tangible and Intangible Information" includes a section devoted to the development of a model consistent with our empirical findings, and a documentation on additional set of empirical analyses.