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Construction:
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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
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Stocks:
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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.
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