

Detail for 25 Portfolios Formed on BooktoMarket and Operating Profitability
Monthly
Returns: 

July
1963  February 2020 



Annual Returns: 

1964  2019 



Construction: 

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 profitability (OP).
BE/ME for June of year t is the book equity for the last fiscal year end in t1 divided by ME for December of t1.
The BE/ME breakpoints are NYSE quintiles.
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 t1. The OP 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 ME for December of t1 and June of t, (positive) BE for t1,
nonmissing revenues data for t1, and nonmissing data for at least one of the following:
cost of goods sold, selling, general and administrative expenses, or interest expense for t1. 
