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Detail for Portfolios Formed on Dividend Yield

Monthly Returns:   July 1927-December 2013
     
Annual Returns:   1928-2013
     
Portfolios:   Dividends = 0; bottom 30%, middle 40%, top 30%; quintiles; deciles. Firms with zero dividends are in only the Dividends = 0 portfolio.
     
Construction:   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.
     
Stocks:   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.

 

 

 

 

 

Copyright Kenneth R. French