ret // Holding Period ReturnMonthly Holding Period Return (with dividend)
Monthly holding-period return inclusive of cash distributions
| dataset | crsp_msf · CRSP Monthly Stock File |
| type | continuous |
| role | dv,iv |
| data file | msf |
| keywords | returnholding period |
| Size effect on monthly returns | dv |
| Cross-sectional momentum (Jegadeesh-Titman) | dv |
| Cross-sectional momentum (Jegadeesh-Titman) | iv |