|
|
Detail
for 25 Portfolios Formed on Size and Book-to-Market
| Daily
Returns: |
|
July 1, 2007 - December 31, 2007 |
| |
|
|
| Monthly Returns: |
|
July 1926-December 2007 |
| |
|
|
| Annual Returns: |
|
1927-2007 |
| |
|
|
| Construction: |
|
The portfolios,
which are constructed at the end of each June, are the intersections of 5
portfolios formed on size (market equity, ME) and 5 portfolios formed on the
ratio of book equity to market equity (BE/ME). The size breakpoints for year t
are the NYSE market equity quintiles at the end of June of t. BE/ME for June of
year t is the book equity for the last fiscal year end in t-1 divided by ME for
December of t-1. The BE/ME breakpoints are NYSE quintiles. |
| |
|
|
| Stocks: |
|
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 December of t-1 and June of t, and
(positive) book equity data for t-1. |
|
