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Detail for 100 Portfolios Formed on Size and Operating Profitability

Monthly Returns:   July 1963 -March 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 profitability (OP). The size breakpoints for year t are the NYSE market equity deciles at the end of June of year t. OP for June of year t is annual revenues minus cost of goods sold, interest expense, and selling, general, and administrative expenses divided by book equity for the last fiscal year end in t-1. The OP 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, (positive) book equity data for t-1, non-missing revenues data for t-1, and non-missing data for at least one of the following: cost of goods sold, selling, general and administrative expenses, or interest expense for t-1.

 

 

 

 

Copyright Kenneth R. French