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Detail for 25 Portfolios Formed on Book-to-Market and Investment
| Monthly
Returns: |
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July
1963 - February 2024 |
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| Annual Returns: |
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1964 - 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 5
portfolios formed on the ratio of book equity to market equity (BE/ME) and 5
portfolios formed on investment (Inv). 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. Investment is the change in total assets from the fiscal year ending in year t-2
to the fiscal year ending in t-1, divided by t-2 total assets.
The Inv breakpoints are NYSE quintiles. |
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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, (positive) BE for t-1, and total assets data for t-2 and t-1. |
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