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Detail for
6
Portfolios Formed on Size and Cashflow/Price
| Monthly Returns: |
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July 1951 - September 2024 |
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| Annual Returns: |
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1952 - 2023 |
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| Construction: |
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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 Cashflow/Price (CFP). The size breakpoint for year t is the median NYSE market equity at the end of June
of year t.
The cashflow used in June of year t is total earnings before extraordinary items, plus equity's share of depreciation, plus deferred
taxes (if available) for the last fiscal year end in t-1. P (actually ME) is price times shares outstanding at the end of December of t-1.
The CFP breakpoints are the 30th and 70th NYSE percentiles. |
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| Stocks: |
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The portfolios for July of year t to June of t+1 include all NYSE, AMEX, and NASDAQ stocks for which we have ME for December of t-1 and June of t,
and cashflow for calendar year t-1. Firms with negative or zero cashflow are excluded.
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