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Detail for Portfolios Formed on Investment
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| Daily Returns: |
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July 1, 1963 - September 30, 2024 |
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| Monthly Returns: |
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July 1963 - September 2024 |
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| Annual Returns: |
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1964 - 2023 |
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| Portfolios: |
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Investment bottom 30%, middle 40%, top 30%; quintiles; deciles. |
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| Construction: |
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The portfolios are formed on the change in total assets from the fiscal year ending in year t-2
to the fiscal year ending in t-1, divided by t-2 total assets at the end of each June using NYSE breakpoints. |
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| Stocks: |
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All NYSE, AMEX, and NASDAQ stocks for which we have market equity data for June of t
and total assets data for t-2 and t-1. |
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