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Detail for Portfolios Formed on Cashflow/Price

Monthly Returns:   July 1951-April 2017
     
Annual Returns:   1952-2016
     
Portfolios:   Cashflow < 0; bottom 30%, middle 40%, top 30%; quintiles; deciles.
Firms with negative cashflow are in only the Cashflow < 0 portfolio.
     
Construction:   Portfolios are formed on CF/P at the end of each June using NYSE breakpoints. The cashflow used in June of year t is total earnings before extraordinary items, plus equity's share of depreciation, plus deferred taxes (if available) for the last fiscal year end in t-1. P (actually 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 cashflow for calendar year t-1.

 

 

 

 

 

Copyright Kenneth R. French