A stock analyst downloads all historical stock returns for NYSE and NASDAQ stocks from 1950 to 2020 and does the following analysis. First, she drops penny stocks with stock prices lower than $1 and stocks with negative book-to-market ratios because these stocks have very unpredictable returns. Second, she sorts the stocks into three tertiles by past one-month returns that is, the top 33% stocks with the highest past one-month returns are put into the high portfolio, and the bottom 33% stocks with the lowest past one-month returns are put into the low portfolio. Third, she tracks the portfolio performance after portfolio formation and concludes that the low portfolio gives much higher returns than the high portfolio. The analysts finding is essentially the ________________ effect.

Select one:

a. Size

b. Value

c. Momentum

d. (Short-Term) Reversal

e. Calendar