|
|
Detail
for Portfolios Formed on Cashflow/Price
|
| Monthly Returns: |
|
July 1951-December 2007 |
| |
|
|
| Annual Returns: |
|
1952-2007 |
| |
|
|
| 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. |
|
