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Detail for Portfolios Formed on Operating Profitability

Monthly Returns:   July 1963 -August 2017
     
Annual Returns:   1964 - 2016
     
Portfolios:   Operating Profitability bottom 30%, middle 40%, top 30%; quintiles; deciles.
     
Construction:   The portfolios are formed on profitability (OP) at the end of each June using NYSE breakpoints. OP for June of year t is annual revenues minus cost of goods sold, interest expense, and selling, general, and administrative expenses divided by book equity for the last fiscal year end in t-1.
     
Stocks:   All NYSE, AMEX, and NASDAQ stocks for which we have market equity data for June of t, (positive) book equity data for t-1, non-missing revenues data for t-1, and non-missing data for at least one of the following: cost of goods sold, selling, general and administrative expenses, or interest expense for t-1.

 

 

 

 

 

Copyright Kenneth R. French