Data/Appendices:

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:

  1. Total Firm Returns
  2. Industry Returns
  3. Residual Returns (i.e., net of industry)
Also, each set of portfolios is constructed both using all-firm breakpoints and NYSE breakpoints.

The following files are available:

Daniel and Titman (2006) Unpublished Appendices:

The Unpublished Appendices to "Market Reactions to Tangible and Intangible Information" includes a section devoted to the development of a model consistent with our empirical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.

DGTW (1997) Online Appendices: