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Detail for 100
Portfolios Formed on Size and Book-to-Market
| Daily Returns: |
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July 1, 1926 - October 31, 2024 |
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| Monthly Returns: |
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July 1926 - October 2024 |
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| Annual
Returns: |
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1927 - 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 10 portfolios formed on size (market equity, ME) and 10
portfolios formed on the ratio of book equity to market equity (BE/ME). The
size breakpoints for year t are the NYSE market equity deciles at the end of
June of t. 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
deciles. |
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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 December of t-1 and June of t,
and (positive) book equity data for t-1. |
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