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Detail
for Portfolios Formed on Book-to-Market
| Daily Returns: |
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July 1,
1963-December 31, 2007 |
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| Monthly Returns: |
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July 1926-December 2007 |
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| Annual Returns: |
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1927-2007 |
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| Portfolios: |
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BE
< 0; bottom 30%, middle 40%, top 30%; quintiles; deciles.
Firms with negative book equity are in only the BE < 0 portfolio. |
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| Construction: |
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Portfolios
are formed on BE/ME at the end of each June using NYSE breakpoints. The BE used
in June of year t is the book equity for the last fiscal year end in t-1. ME is
price times shares outstanding at the end of December of t-1. |
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| Stocks: |
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All
NYSE, AMEX, and NASDAQ stocks for which we have ME for December of t-1 and June
of t, and BE for t-1. |
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