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Detail for
Portfolios Formed on Dividend Yield
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| Monthly
Returns: |
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July
1927-December 2007 |
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| Annual
Returns: |
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1928-2007 |
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| Portfolios: |
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Dividends
= 0; bottom 30%, middle 40%, top 30%; quintiles; deciles. Firms with zero
dividends are in only the Dividends = 0 portfolio. |
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| Construction: |
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Portfolios
are formed on D/P at the end of each June using NYSE breakpoints. The dividend
yield use to form portfolios in June of year t is the total dividends paid from
July of t-1 to June of t per dollar of equity in June of t. |
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| Stocks: |
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All
NYSE, AMEX, and NASDAQ stocks for which we have ME for June of year t, and at
least 7 monthly returns (to compute the dividend yield) from July of t-1 to
June of t. |
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