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Detail for Portfolios Formed on Accruals

Monthly Returns:   July 1963 - January 2024
     
Annual Returns:   1964 - 2023
     
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