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Detail for Country Portfolios formed on B/M, E/P, CE/P, and D/P

Monthly Returns:   January 1975 (or later)-December 2016
Annual Returns:   1975 (or later)-2016
Construction:   We form value and growth portfolios in each country using four valuation ratios: book-to-market (B/M); earnings-price (E/P); cash earnings to price (CE/P); and dividend yield (D/P). We form the portfolios at the end of December each year by sorting on one of the four ratios and then compute value-weighted returns for the following 12 months. The value portfolios (High) contain firms in the top 30% of a ratio and the growth portfolios (Low) contain firms in the bottom 30%. There are two sets of portfolios. In one, firms are included only if we have data on all four ratios. In the other, a firm is included in a sort variable's portfolios if we have data for that variable. The market return (Mkt) for the first set is the value weighted average of the returns for only firms with all four ratios. The market return for the second set includes all firms with book-to-market data, and Firms is the number of firms with B/M data.






Copyright Kenneth R. French