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Detail for Portfolios Formed on Size

Daily Returns:   July 1, 1926 - May 31, 2016
     
Monthly Returns:   July 1926 - May 2016
     
Annual Returns:   1927 - 2015
     
Portfolios:   ME < 0 (not used); bottom 30%, middle 40%, top 30%; quintiles; deciles.
     
Construction:   The portfolios are constructed at the end of each June using the June market equity and NYSE breakpoints.
     
Stocks:   The portfolios for July of year t to June of t+1 include all NYSE, AMEX, and NASDAQ stocks for which we have market equity data for June of t.

 

 

 

 

Copyright Kenneth R. French