Detail for
Portfolios Formed on Dividend Yield

Monthly
Returns: 

July 1927 September 2023 



Annual
Returns: 

19282021 



Portfolios: 

Dividends
= 0; bottom 30%, middle 40%, top 30%; quintiles; deciles. Firms with zero
dividends are in only the Dividends = 0 portfolio. 



Construction: 

Portfolios
are formed on D/P at the end of each June using NYSE breakpoints. The dividend
yield use to form portfolios in June of year t is the total dividends paid from
July of t1 to June of t per dollar of equity in June of t. 



Stocks: 

All
NYSE, AMEX, and NASDAQ stocks for which we have ME for June of year t, and at
least 7 monthly returns (to compute the dividend yield) from July of t1 to
June of t. 