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Description of 4 Portfolios Formed on Book-to-market and Investment for Emerging Markets

Monthly Returns:

 

July 1992–August 2019

 

 

 

Annual Returns:

 

1993–2018

 

 

 

Construction:

 

All returns are in U.S. dollars, include dividends and capital gains, and are not continuously compounded. We sort stocks in a country into two Book-to-market (Btm) groups and two Investment (Inv) groups at the end of June of each year t.

The Btm and Inv breakpoints in a country are the 50% percentile of Inv and Btm for all the eligible stocks of the country.

We use book-to-market and investment breakpoints for each country to allocate the stocks to the country portfolios. The independent 2x2 sorts on Btm and Inv produce four value-weight portfolios, Low Btm Low Inv, Low Btm High Inv, High Btm Low Inv and High Btm High Inv

 

 

 

Stocks:

 

The portfolios for July of year t to June of t+1 include all stocks for which we have market equity data for June of t and total assets data for t-2 and t-1.

The emerging markets countries currently include:
Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, Saudi Arabia, South Africa, South Korea, Taiwan, Thailand, Turkey, United Arab Emirates.