

Detail for 6
Portfolios Formed on Size and BooktoMarket
Daily Returns: 

July 1, 1926  October 31, 2016 



Weekly Returns: 

July 2, 1926  October 31, 2016 



Monthly Returns: 

July 1926  October 2016 



Annual Returns: 

1927  2015 



Construction: 

The
portfolios, which are constructed at the end of each June, are the
intersections of 2 portfolios formed on size (market equity, ME) and 3
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 t1 divided by ME for December of t1. The BE/ME breakpoints are the
30th and 70th NYSE percentiles. 









Stocks: 

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 t1 and June of t, and
(positive) book equity data for t1.

