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Detail for 100 Portfolios Formed on Size and Investment

Monthly Returns:   July 1963 - January 2017
     
Annual Returns:   1964 - 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 investment (Inv). The size breakpoints for year t are the NYSE market equity deciles at the end of June of year t. Investment 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. The Inv 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 June of t and total assets data for t-2 and t-1.

 

 

 

 

Copyright Kenneth R. French