Home
Biography
Curriculum Vitae
Working Papers
Data Library
  Benchmarks
  U.S. Research Returns
  U.S. Research Breakpoints
  U.S. Book Equity Data
  International Research Returns
Consulting Relationship
Fama / French Forum
Contact Information
 
Detail for Portfolios Formed on Accruals

Monthly Returns:   July 1963 - January 2017
     
Annual Returns:   1964 - 2016
     
Portfolios:   Accrual quintiles; deciles.
     
Construction:   The portfolios are formed on Accruals (AC) at the end of each June using NYSE breakpoints. AC for June of year t is the change in operating working capital per split-adjusted share from the fiscal yearend t-2 to t-1 divided by book equity per share in t-1.
     
Stocks:   All NYSE, AMEX, and NASDAQ stocks for which we have market equity data for June of t, (positive) book equity data for t-1, and non-missing operating working capital data for t-2 and t-1.

 

 

 

 

 

Copyright Kenneth R. French