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Detail for
Portfolios Formed on Size
| Daily Returns: |
|
July 1, 1963-December 31, 2007 |
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| Monthly Returns: |
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July 1926-December 2007 |
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| Annual Returns: |
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1927-2007 |
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| Portfolios: |
|
ME
< 0 (not used); bottom 30%, middle 40%, top 30%; quintiles; deciles. |
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| Construction: |
|
The
portfolios are constructed at the end of each June using the June market equity
and NYSE breakpoints. |
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| Stocks: |
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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. |
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