Table
14.3
Momentum Strategies, 1/1980–12/1996: Using Raw Returns and Sorting by Size and Residual Analyst CoverageThis table includes only stocks above the NYSE/AMEX 20th percentile. The relative momentum portfolios are formed based on six-month lagged raw returns and held for six months. The stocks are ranked in ascending order on the basis of six-month lagged returns.Portfolio P1 is an equally weighted portfolio of stocks in the worst performing 30%, portfolio P2 includes the middle 40%, andportfo-lio P3 includes the best performing 30%. This table reports the average monthly returns to portfolios formed by sorts on size and analystcoverage residuals of log size and a NASDAQ dummy. Size is sorted using NYSE/AMEX breakpoints. The least covered firms are inSub1, the medium covered firms in Sub2, the most covered firms in Sub3. Mean (median) size is in millions. T-stats are in parentheses.Size Class:Residual
Coverage Class1:20th–40th Percentile2:40th–60th Percentile3:60th–80th Percentile4:80th–100th PercentileLow:Sub1P3−P1=.01511 (6.46)P3−P1=.01057 (4.49)P3−P1=.00605.(3.11) P3−P1=.00092 (0.49)Mean Size=63 Mean Size=199 Mean Size=653 Mean Size=5056Median Size=59 Median Size=183Median Size=592 Median Size=2363Median Coverage=0.0Median Coverage=0.6Median Coverage=3.7Median Coverage=11.1Medium:Sub2P3−P1=0.01389 (5.48)P3−P1=0.00975 (4.95)P3−P1=0.00316 (1.62)P3−P1=0.00009 (0.05)Mean Size=61 Mean Size=207 Mean Size=678 Mean Size=5163Median Size=56 Median Size=193 Median Size=629 Median Size=2853Median Coverage=0.9Median Coverage=3.6Median Coverage=9.0Median Coverage=18.8High:Sub3P3−P1=0.01147 (5.10)P3−P1=0.00730 (3.60)P3−P1=0.00424 (2.02)P3−P1=0.00070 (0.33)Mean Size=64 Mean Size=202 Mean Size=663 Mean Size=3650Median Size=61 Median Size=188 Median Size=615 Median Size=2511Median Coverage=3.1Median Coverage=7.6Median Coverage=14.7Median Coverage=24.9Sub1-Sub3P3−P1=0.00364(2.13)P3−P1=0.00327 (1.95)P3−P1=0.00180 (1.18)P3−P1=0.00023 (.14)