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Detail for Country
Portfolios formed on B/M, E/P, CE/P, and D/P
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| Monthly
Returns: |
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January
1975 (or later)-December 2023 |
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| Annual
Returns: |
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1975
(or later)-2023 |
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| Construction: |
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We
form value and growth portfolios in each country using four valuation ratios:
book-to-market (B/M); earnings-price (E/P); cash earnings to price (CE/P); and
dividend yield (D/P). We form the portfolios at the end of December each year
by sorting on one of the four ratios and then compute value-weighted returns
for the following 12 months. The value portfolios (High) contain firms in the
top 30% of a ratio and the growth portfolios (Low) contain firms in the bottom
30%. There are two sets of portfolios. In one, firms are included only if we
have data on all four ratios. In the other, a firm is included in a sort
variable's portfolios if we have data for that variable. The market return
(Mkt) for the first set is the value weighted average of the returns for only
firms with all four ratios. The market return for the second set includes all
firms with book-to-market data, and Firms is the number of firms with B/M data. |
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