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Detail for
6
Portfolios Formed on Size and Operating Profitability
| Monthly Returns: |
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July 1963 -May 2017 |
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| Annual Returns: |
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1964 - 2016 |
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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 profitability (OP). The size breakpoint for year t is the median NYSE market equity at the end of June
of year t.
OP for June of year t is annual revenues minus cost of goods sold, interest expense, and selling, general, and administrative expenses
divided by book equity for the last fiscal year end in t-1. The OP 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 market equity data for June of t, (positive) book equity data for t-1,
non-missing revenues data for t-1, and non-missing data for at least one of the following:
cost of goods sold, selling, general and administrative expenses, or interest expense for t-1.
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