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Detail
for 25 Portfolios Formed on Size and Operating Profitability
| Monthly
Returns: |
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July
1963 -May 2017 |
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| Annual Returns: |
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1964 - 2016 |
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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 size
(market equity, ME) and 5 portfolios formed on profitability (OP).
The size breakpoints for year t are the NYSE market equity quintiles at the end of June of year t.
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 t-1. The OP 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 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. |
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