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Detail for
4
Portfolios Formed on Size and Book-to-Market
| Monthly Returns: |
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July 1926-March 2015 |
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| Annual Returns: |
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1927-2014 |
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| Construction: |
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The
portfolios, which are constructed at the end of each June, are the
intersections of 2 portfolios formed on size (market equity, ME) and 2
portfolios formed on the ratio of book equity to market equity (BE/ME). The
size breakpoint for year t is the median NYSE market equity at the end of June
of year t. BE/ME for June of year t is the book equity for the last fiscal year
end in t-1 divided by ME for December of t-1. The BE/ME breakpoint is the
median of B/M for NYSE stocks. |
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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 December of t-1 and June of t, and
(positive) book equity data for t-1.
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