|
|
Detail for
6
Portfolios Formed on Size and Cashflow/Price
| Monthly Returns: |
|
July 1951 - October 2024 |
| |
|
|
| Annual Returns: |
|
1952 - 2023 |
| |
|
|
| Construction: |
|
The
portfolios, which are constructed at the end of each June, are the intersections of 2 portfolios formed on size (market equity, ME)
and 3 portfolios formed on Cashflow/Price (CFP). The size breakpoint for year t is the median NYSE market equity at the end of June
of year t.
The cashflow used in June of year t is total earnings before extraordinary items, plus equity's share of depreciation, plus deferred
taxes (if available) for the last fiscal year end in t-1. P (actually ME) is price times shares outstanding at the end of December of t-1.
The CFP breakpoints are the 30th and 70th NYSE percentiles. |
| |
|
|
| Stocks: |
|
The portfolios for July of year t to June of t+1 include all NYSE, AMEX, and NASDAQ stocks for which we have ME for December of t-1 and June of t,
and cashflow for calendar year t-1. Firms with negative or zero cashflow are excluded.
|
|
