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Detail for Portfolios Formed on Net Share Issues

Monthly Returns:   July 1963 - January 2017
     
Annual Returns:   1964 - 2016
     
Portfolios:   Net Share Issues NI < 0; NI = 0; quintiles; deciles.
     
Construction:   The portfolios are formed on Net Share Issues (NI) at the end of each June using NYSE breakpoints. NI for June of year t is the change in the natural log of split-adjusted shares outstanding from the fiscal yearend in t-2 to the fiscal yearend in t-1.
     
Stocks:   All NYSE, AMEX, and NASDAQ stocks for which we have market equity data for June of t and non-missing split-adjusted shares outstanding data for t-2 and t-1.

 

 

 

 

 

Copyright Kenneth R. French