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Detail for 25 Portfolios Formed on Operating Profitability and Investment

Monthly Returns:   July 1963 - January 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 profitability (OP) and 5 portfolios formed on investment (Inv). 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. 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.
Stocks:   The portfolios for July of year t to June of t+1 include all NYSE, AMEX, and NASDAQ stocks for which we have (positive) BE for t-1, total assets data for t-2 and 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.





Copyright Kenneth R. French