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Detail for Portfolios Formed on Book-to-Market

Daily Returns:   July 1, 1926 - April 30, 2016
     
Monthly Returns:   July 1926 - April 2016
     
Annual Returns:   1927 - 2015
     
Portfolios:   BE < 0; bottom 30%, middle 40%, top 30%; quintiles; deciles.
Firms with negative book equity are in only the BE < 0 portfolio.
     
Construction:   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.
     
Stocks:   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.

 

 

 

 

Copyright Kenneth R. French