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

Monthly Returns:

 

July 1991 – February, 2024

 

 

 

Annual Returns:

 

1992–2023

 

 

 

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 Operation Profitability (Prof) groups at the end of June of each year t.

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

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

 

 

 

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

 

 

 

Data:

 

The raw data incorporate data from both International Finance Corporation and Bloomberg for 1989 to 1994 and from Bloomberg for 1995 to present.