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Detail for Portfolios Formed on Earnings/Price

Monthly Returns:   July 1951-April 2017
     
Annual Returns:   1952-2016
     
Portfolios:   Earnings < 0; bottom 30%, middle 40%, top 30%; quintiles; deciles.
Firms with negative earnings are in only the Earnings < 0 portfolio.
     
Construction:   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.
     
Stocks:   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.

 

 

 

 

 

Copyright Kenneth R. French