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Construction:
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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 profitability (OP) 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 OP breakpoints for big and
small stocks in a country are the 30th and 70th percentiles of OP for the
big stocks of the country.
We use size and OP breakpoints for each country to allocate the stocks to the country portfolios.
The independent 2x3 sorts on size and OP produce six value-weight
portfolios, small weak (Low OP), small neutral, small robust (high OP), big weak, big neutral, and big robust.
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Stocks:
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The portfolios for July of year t to June of t+1 include
all 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.
The emerging markets countries currently include:
Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Malaysia, Mexico, Pakistan, Peru,
Philippines, Poland, Qatar, Saudi Arabia, South Africa, South Korea, Taiwan, Thailand, Turkey, United Arab Emirates.
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