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Detail for 25 Portfolios Formed on Size and Accruals

Monthly Returns:   July 1963 -October 2017
     
Annual Returns:   1964 - 2016
     
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 accrual (AC). The size breakpoints for year t are the NYSE market equity quintiles at the end of June of year t. AC for June of year t is the change in operating working capital per split-adjusted share from the fiscal yearend t-2 to t-1 divided by book equity per share in t-1. The AC 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 June of t, (positive) book equity data for t-1, and non-missing operating working capital data for t-2 and t-1.

 

 

 

 

Copyright Kenneth R. French