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Detail for 100 Portfolios Formed on Size and Book-to-Market

Daily Returns:   July 1, 1926 - March 31, 2017
     
Monthly Returns:   July 1926 -March 2017
     
Annual Returns:   1927 - 2016
     
Construction:   The portfolios, which are constructed at the end of each June, are the intersections of 10 portfolios formed on size (market equity, ME) and 10 portfolios formed on the ratio of book equity to market equity (BE/ME). The size breakpoints for year t are the NYSE market equity deciles at the end of June of t. 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. The BE/ME breakpoints are NYSE deciles.
     
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 December of t-1 and June of t, and (positive) book equity data for t-1.

 

 

 

 

Copyright Kenneth R. French