By S. P. Kothari
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If the relevant characteristics of stocks do not change much for a one-year holding period, the investor can anticipate similar portfolio results if the stocks are held for an additional year. This assumption seems plausible for stocks ranked by size and BV/MV but not for those ranked by momentum, which by its nature is relatively short-lived. ■ Portfolio characteristics. Table 5 reports the transition probabilities for stocks moving from one quintile portfolio to another in one year. 9 percent probability of being in the same size quintile in the following year.