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Detail for Portfolios Formed on Investment

Monthly Returns:   July 1963 -March 2017
     
Annual Returns:   1964 - 2016
     
Portfolios:   Investment bottom 30%, middle 40%, top 30%; quintiles; deciles.
     
Construction:   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.
     
Stocks:   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.

 

 

 

 

 

Copyright Kenneth R. French