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Construction:
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All returns are in U.S. dollars, include dividends and
capital gains, and are not continuously compounded. We sort stocks in a
country into two Book-to-market (Btm) groups and two Investment (Inv) groups at
the end of June of each year t.
The Btm and Inv breakpoints in a country are the 50% percentile of Inv and Btm for
all the eligible stocks of the country.
We use book-to-market and investment breakpoints for each country to allocate the stocks to the country portfolios.
The independent 2x2 sorts on Btm and Inv produce four value-weight
portfolios, Low Btm Low Inv, Low Btm High Inv, High Btm Low Inv and High Btm High Inv
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Stocks:
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The portfolios for July of year t to June of t+1 include
all stocks for which we have market equity data for June of t and total assets data for t-2 and t-1.
The emerging markets countries currently include:
Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Malaysia, Mexico, Kuwait, Peru, Philippines, Poland, Qatar, Saudi Arabia, South Africa, South Korea, Taiwan, Thailand, Turkey, United Arab Emirates.
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