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Detail for 32 Portfolios Formed on Size, Book-to-Market, and Investment

Monthly Returns:   July 1963 -April 2017
     
Annual Returns:   1964 - 2016
     
Construction:   The portfolios, which are constructed at the end of each June, are allocated to two Size groups (Small and Big) using NYSE median market cap breakpoint. Stocks in each Size group are allocated independently to four B/M groups (low B/M to High B/M for fiscal year t-1) and four Inv groups (Low Inv to High Inv for fiscal year t-1) using NYSE quartile breakpoints specific to the Size group. BE/ME for June of year t is the book equity for the last fiscal year end in t-1 divided by ME for December of t-1. Inv for June of year t is the change in total assets from the fiscal year ending in year t-2 to the fiscal year ending in t-1, divided by t-2 total assets.
     
Stocks:   The portfolios for July of year t to June of t+1 include all NYSE, AMEX, and NASDAQ stocks for which we have market equity data for June of t, (positive) book equity data for t-1, and total assets data for t-2 and t-1.

 

 

 

 

Copyright Kenneth R. French