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Detail
for Portfolios Formed on Earnings/Price
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| Monthly Returns: |
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July 1951-December 2007 |
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| Annual Returns: |
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1952-2007 |
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| Portfolios: |
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Earnings < 0;
bottom 30%, middle 40%, top 30%; quintiles; deciles.
Firms with negative earnings are in only the Earnings < 0 portfolio. |
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| Construction: |
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Portfolios are
formed on E/P at the end of each June using NYSE breakpoints. The earnings used
in June of year t are total earnings before extraordinary items 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. |
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| Stocks: |
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All NYSE, AMEX, and
NASDAQ stocks for which we have ME for December of t-1 and June of t, and
earnings before extraordinary items for calendar year t-1. |
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