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Description of 6 Portfolios Formed on Size and Book-to-Market for Emerging Markets

Monthly Returns:

 

July 1989–August 2019

 

 

 

Annual Returns:

 

1990–2018

 

 

 

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 market cap and three book-to-market equity (B/M) groups at the end of June of each year t.

Big stocks are those in the top 90% of June market cap for the country, and small stocks are those in the bottom 10%. The B/M breakpoints for big and small stocks in a country are the 30th and 70th percentiles of B/M for the big stocks of the country.

We use size and B/M breakpoints for each country to allocate the stocks to the country portfolios. The independent 2x3 sorts on size and B/M produce six value-weight portfolios, small growth (low B/M), small neutral, small value (high B/M), big growth, big neutral and big value.

 

 

 

Stocks:

 

The portfolios for July of year t to June of t+1 include all stocks for which we have market equity data for December of t–1 and June of t, and (positive) book equity data for 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.