Detail for
6
Portfolios Formed on Size and Dividend Yield
Monthly Returns:
July 1927 - September 2024
Annual Returns:
1928 - 2023
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 Dividend Yield (DP). The size breakpoint for year t is the median NYSE market equity at the end of June
of year t.
The dividend yield use to form portfolios in June of year t is the total dividends paid from July of t-1 to June of t per dollar
of equity in June of t. The DP breakpoints are the 30th and 70th NYSE percentiles.
Stocks:
The portfolios for July of year t to June of t+1 include NYSE, AMEX, and NASDAQ stocks for which we have ME for June of year t,
and at least 7 monthly returns (to compute the dividend yield) from July of t-1 to June of t. Firms with negative or zero dividends are excluded.
