Detail for
6
Portfolios Formed on Size and Earnings/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 Earnings/Price (EP). The size breakpoint for year t is the median NYSE market equity at the end of June
of year t.
The earnings used in June of year t are total earnings before extraordinary items 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 EP 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 earnings before extraordinary
items for calendar year t-1. Firms with negative or zero earnings are excluded.
